# EDGAR Filing Document

**Accession Number:** 0000729528
**File Stem:** 0001145549-25-053092
**Filing Date:** 2025-8
**Character Count:** 195385
**Document Hash:** 6f0ddf672ba3f6f8355314bfd7296156
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-053092.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001145549-25-053092

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INSURANCE SERIES
- **CENTRAL INDEX KEY:** 0000729528

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03857
- **FILM NUMBER:** 251249263

**BUSINESS ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FL
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 213-486-9200

**MAIL ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FL
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN FUND INSURANCE SERIES
- **DATE OF NAME CHANGE:** 20010829

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN VARIABLE INSURANCE SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN PATHWAY FUND
- **DATE OF NAME CHANGE:** 19880531

## Series and Classes Contracts Data

### American Funds Mortgage Fund (Series ID: S000031860)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000099203 | Class 1      |  |
| C000099204 | Class 2      |  |
| C000121518 | Class 4      |  |
| C000176250 | Class 1A     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AMERICAN FUNDS INSURANCE SERIES

- **b. Investment Company Act file number:** 811-03857

- **c. CIK number of Registrant:** 0000729528

- **d. LEI of Registrant:** 5493006ZFTN01BKM5294

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

  - **Street Address 1:** 333 South Hope Street

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** American Funds Mortgage Fund

- **b. EDGAR series identifier (if any):** S000031860

- **c. LEI of Series:** 33730ZIO15J7RYERPX98

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $149024652.52

**Total Liabilities:** $31389571.95

**Net Assets:** $117635080.57

**Cash Not Reported:** $197388.71

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -21.774909900000 | **1-Year:** -247.243439700000 | **5-Year:** -294.425068400000 | **10-Year:** -85.240241000000 | **30-Year:** -21.953643800000

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

- **3-Month:** -10.810734500000 | **1-Year:** -140.353320100000 | **5-Year:** -286.231742600000 | **10-Year:** -73.712950000000 | **30-Year:** -2.280023100000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000099203 | 1.06%                | -1.16%               | 1.79%                |
| Class ID C000099204 | 1.08%                | -1.17%               | 1.77%                |
| Class ID C000121518 | 0.98%                | -1.08%               | 1.65%                |
| Class ID C000176250 | 0.97%                | -1.18%               | 1.78%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $66304.94                | $184711.88                                 |
| Month 2  | $-50222.08               | $-1220712.96                               |
| Month 3  | $-45092.66               | $1264954.38                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities Index

- **Index Identifier:** LUMSTRUU

### 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 NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5136 09-01-53                  | CUSIP: 31418EV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    254392 | PA      | $243730.02    | 0.21%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5070 07-01-53                  | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    137620 | PA      | $131928.93    | 0.11%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5165 10-01-53                  | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    841132 | PA      | $842507.88    | 0.72%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS5343 07-01-53                  | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    415259 | PA      | $423144.29    | 0.36%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS6809 02-01-54                  | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    148832 | PA      | $148960.42    | 0.13%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5215 12-01-53                  | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77531 | PA      | $77637.77     | 0.07%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB1235 04-01-54                  | CUSIP: 3140AALR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    129011 | PA      | $132282.28    | 0.11%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI2895 04-01-54                  | CUSIP: 3133W9GC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    100504 | PA      | $103007.01    | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8371 11-01-53                  | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1009086 | PA      | $991396.59    | 0.84%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8387 04-01-54                  | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17305 | PA      | $18061.55     | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3386 07-01-53                  | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49918 | PA      | $49992.22     | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI0006 02-01-54                  | CUSIP: 3133W6AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     50062 | PA      | $50943.22     | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1448 05-01-54                  | CUSIP: 3142GRTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     61940 | PA      | $62023.93     | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1447 05-01-54                  | CUSIP: 3142GRTD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     64062 | PA      | $66726.97     | 0.06%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BY2249 04-01-53                  | CUSIP: 3140NJQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26349 | PA      | $24546.76     | 0.02%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5404 05-01-54                  | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    436192 | PA      | $454276.58    | 0.39%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1726 06-01-54                  | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    215800 | PA      | $224746.76    | 0.19%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0765 09-01-63                     | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    719449 | PA      | $637445.16    | 0.54%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2602 12-01-52                  | CUSIP: 3132DP3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29533 | PA      | $25587.38     | 0.02%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8755 06-01-54                  | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21071 | PA      | $21556.24     | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8153 06-01-54                  | CUSIP: 3140XQBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    238945 | PA      | $244652.36    | 0.21%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8447 07-01-54                  | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     72374 | PA      | $73626.71     | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5421 07-01-54                  | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7655 | PA      | $7786.40      | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8872 07-01-54                  | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    435228 | PA      | $453272.67    | 0.39%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8725 06-01-54                  | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    278856 | PA      | $289817.36    | 0.25%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1964 07-01-54                  | CUSIP: 3142GSFE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    179656 | PA      | $184738.68    | 0.16%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8876 07-01-54                  | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    131293 | PA      | $136502.49    | 0.12%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8318 07-01-54                  | CUSIP: 3140XQG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59882 | PA      | $61456.63     | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1975 07-01-54                  | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    199833 | PA      | $203598.01    | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8858 07-01-54                  | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    130922 | PA      | $133714.25    | 0.11%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8317 07-01-54                  | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     78415 | PA      | $81660.18     | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8454 08-01-54                  | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    172101 | PA      | $175028.34    | 0.15%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.8215% 04-23-25/04-23-35 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1189.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRU5C C @ 98 09-12-25      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |        47 | NC      | $881.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRU5C C @ 97 09-12-25      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |        18 | NC      | $675.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRZ5P P @ 95.6875 12-12-25 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |       120 | NC      | $3000.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT SFRM5 09-16-25                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        62 | NC      | $-2404.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 5YR FUT FVU5 09-30-25                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       191 | NC      | $229060.64    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT TYU5 09-19-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        45 | NC      | $97923.86     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 2YR FUT TUU5 09-30-25                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       212 | NC      | $169594.80    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 30YR FUT ULTRA WNU5 09-19-25               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         5 | NC      | $-21998.80    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT ULTRA UXYU5 09-19-25              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        17 | NC      | $44033.31     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BJ5015 12-01-47                  | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26345 | PA      | $24959.76     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK9743 08-01-48                  | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6079 | PA      | $5740.85      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1290 02-01-42                  | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4063 | PA      | $4093.05      | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                     | SCRT 2017-1 HA FRN 01-25-56                    | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     78608 | PA      | $73858.03     | 0.06%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 HA FRN 08-25-56                    | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    106395 | PA      | $99784.88     | 0.08%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 17-2 MA 3.0% 08-25-56                     | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    151773 | PA      | $141794.19    | 0.12%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5445 08-01-54                  | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    226285 | PA      | $230201.32    | 0.20%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6878 06-01-54                  | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    270684 | PA      | $275456.11    | 0.23%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6901 07-01-54                  | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    168583 | PA      | $171555.97    | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5706 06-01-54                  | CUSIP: 3132DTKT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    663634 | PA      | $691776.44    | 0.59%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7510 11-01-53                  | CUSIP: 3140QTKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    298399 | PA      | $310570.80    | 0.26%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8619 07-01-54                  | CUSIP: 3140XQSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    696348 | PA      | $725164.61    | 0.62%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8607 07-01-54                  | CUSIP: 3140XQR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    127336 | PA      | $132605.27    | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5905 07-01-54                  | CUSIP: 3132DTR28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     72233 | PA      | $75222.31     | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1986 07-01-54                  | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    198354 | PA      | $205353.23    | 0.17%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0854 01-01-54                  | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10410 | PA      | $10788.12     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1725 06-01-54                  | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     15876 | PA      | $16587.39     | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC0296 08-01-54                  | CUSIP: 3140AMKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9475 | PA      | $9698.19      | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8455 08-01-54                  | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     50940 | PA      | $52649.13     | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7687 08-01-54                  | CUSIP: 3140AHRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18719 | PA      | $19182.46     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QX1414 12-01-54                  | CUSIP: 31425VSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    377270 | PA      | $377459.36    | 0.32%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Z40273 10-01-48                      | CUSIP: 3132FCJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35565 | PA      | $34645.04     | 0.03%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS9792 12-01-50                  | CUSIP: 3140XR3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22770 | PA      | $22151.91     | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8795 08-01-54                  | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25364 | PA      | $25815.80     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BQ6356 11-01-50                  | CUSIP: 3140KSB22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     34772 | PA      | $27585.31     | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6332 02-01-51                  | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    166025 | PA      | $131610.25    | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD1406 08-01-52                  | CUSIP: 3132DNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    124059 | PA      | $98417.40     | 0.08%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5587 01-01-55                  | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    231034 | PA      | $234951.84    | 0.20%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RJ3264 02-01-55                  | CUSIP: 3142GTTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    274123 | PA      | $262492.40    | 0.22%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5631 02-01-55                  | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99001 | PA      | $102307.66    | 0.09%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8507 02-01-55                  | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    134159 | PA      | $136420.64    | 0.12%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8516 03-01-55                  | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16159 | PA      | $16432.30     | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8503 02-01-55                  | CUSIP: 3132DWNU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    508798 | PA      | $473443.98    | 0.40%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5615 02-01-55                  | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    442353 | PA      | $449823.06    | 0.38%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5647 03-01-55                  | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     89251 | PA      | $90749.61     | 0.08%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8491 12-01-54                  | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    572180 | PA      | $561276.56    | 0.48%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5674 04-01-55                  | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42689 | PA      | $43411.45     | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8525 04-01-55                  | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     45526 | PA      | $46291.22     | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 FS9819 07-01-54                  | CUSIP: 3140XR4D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    479327 | PA      | $505694.84    | 0.43%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 7.0 MA5696 03-01-45                  | CUSIP: 31418FKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36693 | PA      | $38721.35     | 0.03%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 CB3701 05-01-37                  | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     97135 | PA      | $90735.96     | 0.08%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 SB1388 01-01-38                  | CUSIP: 3132CXRH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     40802 | PA      | $38124.64     | 0.03%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 SB0649 04-01-37                  | CUSIP: 3132CWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    142521 | PA      | $133319.15    | 0.11%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA0287 12-01-54                  | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    551901 | PA      | $561276.30    | 0.48%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1138 05-01-55                  | CUSIP: 31427NHQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14970 | PA      | $15223.27     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1137 05-01-55                  | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14934 | PA      | $15187.46     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0028 07-01-55                  | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    941000 | PA      | $956772.10    | 0.81%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNIONP 5.0 256583 12-01-36                     | CUSIP: 31371M6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27689 | PA      | $27697.24     | 0.02%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.2 725897 01-20-66                       | CUSIP: 3620ACNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1194 | PA      | $1194.72      | 0.00%             | 2066-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.517 AN1825 06-20-65                     | CUSIP: 36185KA22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20736 | PA      | $20654.12     | 0.02%             | 2065-06-20      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.311 AO0385 01-20-66                     | CUSIP: 3617A0NA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     92576 | PA      | $91995.57     | 0.08%             | 2066-01-20      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.576 AO0409 12-20-65                     | CUSIP: 3617A0N28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23240 | PA      | $23129.09     | 0.02%             | 2065-12-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 5.0 ZA1922 02-01-26                  | CUSIP: 31329KD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       127 | PA      | $126.36       | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BN7466 10-01-50                  | CUSIP: 3140JQJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $79800.57     | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6973 03-01-52                  | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    686869 | PA      | $544785.29    | 0.46%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS3759 02-01-53                  | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     94140 | PA      | $97145.34     | 0.08%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4919 02-01-53                  | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63549 | PA      | $63742.86     | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA4916 02-01-53                  | CUSIP: 31418EPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8724 | PA      | $8121.70      | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6106 04-01-53                  | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60104 | PA      | $62767.86     | 0.05%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6131 04-01-53                  | CUSIP: 3140QRY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    216434 | PA      | $226211.68    | 0.19%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5008 05-01-53                  | CUSIP: 31418ER69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41752 | PA      | $39972.98     | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.559 AO0461 08-20-65                     | CUSIP: 3617A0QN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5794 | PA      | $5772.37      | 0.00%             | 2065-08-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 6.5 005165 08-20-41                         | CUSIP: 36202FW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     77290 | PA      | $77885.08     | 0.07%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 5.0 005104 06-20-41                         | CUSIP: 36202FU53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    154051 | PA      | $153791.14    | 0.13%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.0 004410 04-20-39                         | CUSIP: 36202E3T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46943 | PA      | $44691.44     | 0.04%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.0 004823 10-20-40                         | CUSIP: 36202FLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72905 | PA      | $69405.54     | 0.06%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA6994 11-20-50                       | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83223 | PA      | $67867.39     | 0.06%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD8322 05-01-53                  | CUSIP: 3132DWG72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    124006 | PA      | $118863.56    | 0.10%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8323 05-01-53                  | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1079601 | PA      | $1060951.76   | 0.90%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 3.5 MA0366 06-20-42                         | CUSIP: 36179MMP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    180062 | PA      | $165643.62    | 0.14%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.0 783690 09-20-39                       | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63027 | PA      | $66442.22     | 0.06%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5009 05-01-53                  | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1710226 | PA      | $1682024.52   | 1.43%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5010 05-01-53                  | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     49023 | PA      | $49128.09     | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA7051 12-20-50                       | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     73990 | PA      | $60320.56     | 0.05%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF AA5326 05-20-42                           | CUSIP: 36178C4K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76630 | PA      | $68703.09     | 0.06%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751   | FHMS K751 A2 (MF) 4.412% 03-25-30              | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    300000 | PA      | $303137.40    | 0.26%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BQ7816 04-01-41                  | CUSIP: 3140KTVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    220832 | PA      | $183009.07    | 0.16%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AD0028 110K MAX 07-20-38            | CUSIP: 36180BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    231541 | PA      | $218401.68    | 0.19%             | 2038-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7881 02-20-52                       | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     67194 | PA      | $57157.74     | 0.05%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4388 07-01-41                  | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     70784 | PA      | $62854.67     | 0.05%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4447 10-01-41                  | CUSIP: 31418D5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    149562 | PA      | $133165.67    | 0.11%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7987 04-20-52                       | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    217690 | PA      | $185174.94    | 0.16%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7988 04-20-52                       | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58789 | PA      | $52055.54     | 0.04%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4502 12-01-41                  | CUSIP: 31418EAC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    169540 | PA      | $151250.15    | 0.13%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BR0986 05-01-41                  | CUSIP: 3140KYCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    277675 | PA      | $230114.48    | 0.20%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8346 10-20-52                       | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    153240 | PA      | $143576.09    | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2          | GNMA 21-2 AH 1.5% 06-16-63                     | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    203608 | PA      | $148848.15    | 0.13%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 FM9117 10-01-41                  | CUSIP: 3140XDDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82078 | PA      | $73283.94     | 0.06%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4707 07-01-54                  | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    115213 | PA      | $117240.50    | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6035 08-01-54                  | CUSIP: 3132DTV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27869 | PA      | $29022.40     | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5701 06-01-54                  | CUSIP: 3132DTKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49080 | PA      | $51110.84     | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786647 03-20-52                       | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    162271 | PA      | $137435.21    | 0.12%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 BZ3978 11-20-50                       | CUSIP: 3617QYM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34089 | PA      | $28828.68     | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB4620 09-01-52                  | CUSIP: 3140QQD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    977595 | PA      | $966534.30    | 0.82%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD6286 08-01-54                  | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    290334 | PA      | $292432.18    | 0.25%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786502 02-20-52                       | CUSIP: 3622ACDF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    311325 | PA      | $263249.76    | 0.22%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786706 12-20-51                       | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    495133 | PA      | $416292.07    | 0.35%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786701 03-20-52                       | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    132693 | PA      | $112208.28    | 0.10%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785575 08-20-51                       | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    316620 | PA      | $265123.87    | 0.23%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785659 10-20-51                       | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75992 | PA      | $63514.93     | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7936 03-20-52                       | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42035 | PA      | $35756.80     | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 MA9016 07-20-53                       | CUSIP: 36179YAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13356 | PA      | $13160.04     | 0.01%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 MA8266 09-20-52                       | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4331 | PA      | $3952.05      | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8471 10-01-54                  | CUSIP: 3132DWMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    163766 | PA      | $169260.58    | 0.14%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                | CHEVRON CORP 4(a)(2) CP 9/12/2025              | CUSIP: 16677JWC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1486710.00   | 1.26%             | 2025-09-12      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MA9015 07-20-53                       | CUSIP: 36179YAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    238730 | PA      | $229629.29    | 0.20%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AH5894 85K MAX 05-20-34             | CUSIP: 36182NRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    556994 | PA      | $543832.23    | 0.46%             | 2034-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.25 AH5884 07-20-44                      | CUSIP: 36182NRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    774961 | PA      | $734839.50    | 0.62%             | 2044-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AH5897 110K MAX 07-20-39            | CUSIP: 36182NRS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    473103 | PA      | $445932.65    | 0.38%             | 2039-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                           | JOHNSON & JOHNSON 4(a)(2) CP 7/3/2025          | CUSIP: 47816FU33<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $999643.00    | 0.85%             | 2025-07-03      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| NOVARTIS FINANCE CORP                                       | NOVARTIS FINANCE CORP 4(a)(2) CP 7/7/2025      | CUSIP: 6698M4U75<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $499581.50    | 0.42%             | 2025-07-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA9776 07-20-54                       | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78939 | PA      | $73518.61     | 0.06%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MB0024 11-20-54                       | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    108154 | PA      | $103604.32    | 0.09%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                                       | PACCAR FINANCIAL CORP. CP 7/10/2025            | CUSIP: 69372AUA8<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1498176.00   | 1.27%             | 2025-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING LLC                                      | PRUDENTIAL FUNDING LLC CP 7/2/2025             | CUSIP: 74433GU20<br>LEI: 1DG4ZOS0QLU53YYD8O46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1999522.00   | 1.70%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $100975.16    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.6025% 01-08-24/01-08-34 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $364.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 TBA 07-01-55                          | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     80000 | PA      | $78596.80     | 0.07%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA4805 11-01-52                  | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    148979 | PA      | $142865.03    | 0.12%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3031 03-01-52                  | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    383132 | PA      | $319361.72    | 0.27%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD8287 01-01-53                  | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     56821 | PA      | $54492.60     | 0.05%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8288 01-01-53                  | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     39455 | PA      | $38875.17     | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV9613 04-01-52                  | CUSIP: 3140MPVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41299 | PA      | $36032.78     | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD1895 11-01-52                  | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    319863 | PA      | $312577.13    | 0.27%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8280 11-01-52                  | CUSIP: 3132DWFV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    695168 | PA      | $722766.77    | 0.61%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QE4001 05-01-52                  | CUSIP: 3133BDNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     42250 | PA      | $36648.59     | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4785 10-01-52                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     97692 | PA      | $96266.79     | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA6598 01-01-52                  | CUSIP: 3133KNKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    143341 | PA      | $130119.50    | 0.11%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS1630 09-01-51                  | CUSIP: 3140XGY45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22529 | PA      | $18704.91     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8242 09-01-52                  | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    110962 | PA      | $96239.06     | 0.08%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8225 07-01-52                  | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1254303 | PA      | $1087884.33   | 0.92%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.625% 02-15-55    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    345000 | PA      | $335808.99    | 0.29%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.25% 02-15-28     | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $466224.58    | 0.40%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.75% 02-15-45     | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $188960.93    | 0.16%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC7626 09-01-51                  | CUSIP: 3133ASPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    206121 | PA      | $180117.26    | 0.15%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5011 05-01-53                  | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    255978 | PA      | $261155.17    | 0.22%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5040 06-01-53                  | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    343672 | PA      | $350117.05    | 0.30%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5038 06-01-53                  | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    259433 | PA      | $254951.99    | 0.22%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6113 01-01-51                  | CUSIP: 3140X9YK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1394426 | PA      | $1165492.21   | 0.99%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9279 06-01-53                  | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     57374 | PA      | $58745.06     | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9281 06-01-53                  | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     35190 | PA      | $36025.26     | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9283 06-01-53                  | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49550 | PA      | $50637.38     | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9284 06-01-53                  | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27587 | PA      | $28455.44     | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8342 07-01-53                  | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    801612 | PA      | $803691.56    | 0.68%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8331 06-01-53                  | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    274981 | PA      | $275537.13    | 0.23%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5072 07-01-53                  | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    199534 | PA      | $199912.14    | 0.17%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8316 04-01-53                  | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     85909 | PA      | $86094.09     | 0.07%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8341 07-01-53                  | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1754 | PA      | $1726.60      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2222 08-01-54                  | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    244809 | PA      | $254958.93    | 0.22%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB9071 08-01-54                  | CUSIP: 3140QVCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    159904 | PA      | $166576.09    | 0.14%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4693 01-01-54                  | CUSIP: 3132DSGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     51053 | PA      | $52941.04     | 0.05%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6034 08-01-54                  | CUSIP: 3132DTV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    113948 | PA      | $118672.09    | 0.10%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6047 08-01-54                  | CUSIP: 3132DTWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     42642 | PA      | $44422.45     | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7792 08-01-54                  | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74840 | PA      | $76156.93     | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2024-2                                                 | SCRT 24-2 MT 144A 3.5% 05-25-64                | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    630417 | PA      | $546275.33    | 0.46%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.5 UMBS TBA 07-01-55                     | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5043809 | PA      | $4182745.06   | 3.56%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 07-01-55                     | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2634737 | PA      | $2372422.58   | 2.02%             | 2055-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.0 UMBS TBA 07-01-55                     | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5228118 | PA      | $5313226.53   | 4.52%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.0 UMBS TBA 07-01-55                     | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $24503.38     | 0.02%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | UMBS  30YR TBA(REG A) 7.0 UMBS TBA 07-01-55    | CUSIP: 01F070674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    371000 | PA      | $390639.26    | 0.33%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 07-01-55                     | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    325930 | PA      | $303102.19    | 0.26%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 4.0 UMBS TBA 07-01-40                     | CUSIP: 01F040479<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $122281.88    | 0.10%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.5 UMBS TBA 08-01-55                     | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2839060 | PA      | $2927380.32   | 2.49%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.0 UMBS TBA 08-01-55                     | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1495000 | PA      | $1293502.41   | 1.10%             | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 08-01-55                     | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    689609 | PA      | $641175.00    | 0.55%             | 2055-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 08-01-55                     | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1180000 | PA      | $934759.42    | 0.79%             | 2055-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                   | APPLE INC 4(a)(2) CP 8/13/2025                 | CUSIP: 03785DVD5<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2387371.20   | 2.03%             | 2025-08-13      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CAFCO LLC                                                   | CAFCO LLC 4(a)(2) CP 8/19/2025                 | CUSIP: 1247P2VK7<br>LEI: 8O46YQAGJ63WE5QHIG35 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1192696.80   | 1.01%             | 2025-08-19      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHEVRON CORP                                                | CHEVRON CORP 4(a)(2) CP 7/22/2025              | CUSIP: 16677JUN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997366.00    | 0.85%             | 2025-07-22      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4053 10-01-53                  | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    316233 | PA      | $322054.23    | 0.27%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8395 01-01-54                  | CUSIP: 3132DWKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    431325 | PA      | $431808.92    | 0.37%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FS6362 08-01-52                  | CUSIP: 3140XNB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    163164 | PA      | $147305.69    | 0.13%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ0668 01-01-54                  | CUSIP: 3142GQW65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1625839 | PA      | $1658954.29   | 1.41%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4795 01-01-54                  | CUSIP: 3132DSKG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1282881 | PA      | $1309451.65   | 1.11%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD4977 11-01-53                  | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    242107 | PA      | $237924.70    | 0.20%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6873 01-01-54                  | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    447393 | PA      | $462664.99    | 0.39%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5296 03-01-54                  | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    138912 | PA      | $139013.96    | 0.12%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5271 02-01-54                  | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1471846 | PA      | $1473115.88   | 1.25%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9854 09-01-53                  | CUSIP: 3133KR5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    112079 | PA      | $114953.01    | 0.10%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD2861 05-01-53                  | CUSIP: 3132DQFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49956 | PA      | $50928.63     | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1216 04-01-54                  | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     63977 | PA      | $64439.71     | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1215 04-01-54                  | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13077 | PA      | $13114.29     | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                                 | FARM 2024-1 A 144A FRN 10-01-53                | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    183902 | PA      | $178948.34    | 0.15%             | 2053-10-01      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5422 07-01-54                  | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    304392 | PA      | $314605.84    | 0.27%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4700 07-01-54                  | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    554496 | PA      | $564950.65    | 0.48%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI8874 07-01-54                  | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    229906 | PA      | $234235.79    | 0.20%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7039 07-01-54                  | CUSIP: 3140AGZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39327 | PA      | $40160.16     | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7690 08-01-54                  | CUSIP: 3140AHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18588 | PA      | $19025.28     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI3333 04-01-54                  | CUSIP: 3133W9V24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     18675 | PA      | $19091.79     | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5692 05-01-54                  | CUSIP: 3132DTKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25113 | PA      | $25768.88     | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8219 06-01-54                  | CUSIP: 3140XQDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37423 | PA      | $38384.11     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3432 07-01-53                  | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34390 | PA      | $35313.54     | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5896 07-01-54                  | CUSIP: 3132DTRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32164 | PA      | $32790.31     | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8223 06-01-54                  | CUSIP: 3140XQD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43857 | PA      | $44685.28     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2210 08-01-54                  | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    253237 | PA      | $258096.60    | 0.22%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2247 08-01-54                  | CUSIP: 3142GSP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     98822 | PA      | $102853.66    | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2216 08-01-54                  | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    141316 | PA      | $143980.74    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2228 08-01-54                  | CUSIP: 3142GSPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     60654 | PA      | $62831.69     | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BY1411 02-01-53                  | CUSIP: 3140NHR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1112652 | PA      | $1035857.14   | 0.88%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7242 10-01-53                  | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     40859 | PA      | $42429.19     | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9025 09-01-54                  | CUSIP: 3140XRA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    506510 | PA      | $509400.24    | 0.43%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5552 12-01-54                  | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    430952 | PA      | $422740.09    | 0.36%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS9507 02-01-54                  | CUSIP: 3140XRR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    205795 | PA      | $197171.68    | 0.17%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5531 11-01-54                  | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58326 | PA      | $58368.78     | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3163 12-01-54                  | CUSIP: 3142GTQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    520566 | PA      | $510886.13    | 0.43%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5583 01-01-55                  | CUSIP: 31418FFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    144110 | PA      | $134096.78    | 0.11%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8469 10-01-54                  | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9271 | PA      | $9278.24      | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 DC7042 12-01-54                  | CUSIP: 3140AUZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    186291 | PA      | $178684.47    | 0.15%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8475 11-01-54                  | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    469033 | PA      | $469377.67    | 0.40%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SL0761 09-01-52                  | CUSIP: 31427MZ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    870161 | PA      | $787035.53    | 0.67%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FA0608 02-01-55                  | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    579644 | PA      | $580070.20    | 0.49%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5699 05-01-55                  | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    297956 | PA      | $292208.11    | 0.25%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8532 05-01-55                  | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    274023 | PA      | $268757.83    | 0.23%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5735 06-01-55                  | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183165 | PA      | $183256.69    | 0.16%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0013 06-01-55                  | CUSIP: 3142J6AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    423063 | PA      | $423275.19    | 0.36%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5701 05-01-55                  | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42057 | PA      | $42764.17     | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5734 06-01-55                  | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    153455 | PA      | $150482.51    | 0.13%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RQ0012 06-01-55                  | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1199000 | PA      | $1175777.93   | 1.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SL1094 04-01-55                  | CUSIP: 31427NGC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    128713 | PA      | $126219.92    | 0.11%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0797 02-01-55                  | CUSIP: 31427M3F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     63975 | PA      | $65434.59     | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5670 04-01-55                  | CUSIP: 31418FJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    484817 | PA      | $451127.65    | 0.38%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0796 04-01-55                  | CUSIP: 31427M3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77451 | PA      | $78758.49     | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC7035 12-01-54                  | CUSIP: 3140AUY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42775 | PA      | $43493.62     | 0.04%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX4065 01-01-55                  | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     26582 | PA      | $27026.94     | 0.02%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD0835 01-01-55                  | CUSIP: 3140B04V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39524 | PA      | $40186.68     | 0.03%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8534 05-01-55                  | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12710 | PA      | $12922.94     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 DC3477 09-01-54                  | CUSIP: 3140AQ2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    236473 | PA      | $244407.67    | 0.21%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA1163 04-01-55                  | CUSIP: 3140W1JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2075000 | PA      | $2144713.90   | 1.82%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2095 11-01-51                  | CUSIP: 3140QMKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31794 | PA      | $27555.92     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5762 07-01-55                  | CUSIP: 31418FML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27460 | PA      | $28377.11     | 0.02%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA3576 09-01-50                  | CUSIP: 3133KJ6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    681315 | PA      | $540088.94    | 0.46%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB3523 05-01-52                  | CUSIP: 3140QN4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    916352 | PA      | $794874.57    | 0.68%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 5142 08-20-41                         | CUSIP: 36202FWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10687 | PA      | $10312.39     | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 AD4360 175K MAX 07-20-43              | CUSIP: 36180FZZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38459 | PA      | $35195.35     | 0.03%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7937 03-20-52                       | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49702 | PA      | $44021.49     | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST SYNIT_23-A1                   | SYNIT 23-A A 5.54% 07-15-29/26                 | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12000 | PA      | $12141.30     | 0.01%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SDART 2023-4                                                | SDART 23-4 A3 5.73% 04-17-28/03-16-26          | CUSIP: 802927AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3312 | PA      | $3321.42      | 0.00%             | 2028-04-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| SDART 2024-4                                                | SDART 24-4 A2 5.41% 07-15-27/11-17-25          | CUSIP: 802919AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26689 | PA      | $26717.51     | 0.02%             | 2027-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SDART 2024-5                                                | SDART 24-5 A2 4.88% 09-15-27                   | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12933 | PA      | $12937.63     | 0.01%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                           | SORT 20-1 A1 144A 1.69% 07-15-60/25            | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89945 | PA      | $88998.89     | 0.08%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_23-1             | TALNT 23-1 A 144A 4.93% 06-25-36/06-26-28      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102105.50    | 0.09%             | 2036-06-25      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1           | USRE 21-1 A1 144A 1.91% 10-20-61/26            | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $94229.60     | 0.08%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING LLC WFLF_24-2                    | WFLF 24-2 A1 144A 4.87% 06-21-39               | CUSIP: 96328GBT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484248 | PA      | $487146.62    | 0.41%             | 2039-06-21      | Fixed         | 4.87%                 | Yes           |                  2 | On Loan: No      |
| ACAR 2024-4                                                 | ACAR 24-4 A 144A 4.81% 03-13-28                | CUSIP: 024945AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4741 | PA      | $4740.31      | 0.00%             | 2028-03-13      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 11/14/2025                     | CUSIP: 313385PF7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    900000 | PA      | $885947.04    | 0.75%             | 2025-11-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/3/2025                       | CUSIP: 313385LF1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   2200000 | PA      | $2183552.80   | 1.86%             | 2025-09-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                      | FED FARM CR DISC NT 8/21/2025                  | CUSIP: 313313KS6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   1600000 | PA      | $1590470.40   | 1.35%             | 2025-08-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/17/2025                      | CUSIP: 313385LV6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1500000 | PA      | $1486362.00   | 1.26%             | 2025-09-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-41    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    240100 | PA      | $165162.97    | 0.14%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.25% 05-15-42     | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    106000 | PA      | $87672.97     | 0.07%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 02-28-30      | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $333232.45    | 0.28%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 07-31-28    | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $455431.23    | 0.39%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.5% 05-31-29      | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $1053086.95   | 0.90%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.375% 07-31-26    | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    535000 | PA      | $537215.22    | 0.46%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 09-30-26      | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    465000 | PA      | $462674.58    | 0.39%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 03-31-30      | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $100930.18    | 0.09%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.875% 03-15-28    | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $552642.26    | 0.47%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.75% 06-30-27     | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    295000 | PA      | $295195.88    | 0.25%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 11-15-51    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $36165.45     | 0.03%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_22-IND                                          | BX 2022-IND A 144A FRN 04-15-37                | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     96108 | PA      | $96258.92     | 0.08%             | 2037-04-15      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                      | BX 2022-CSMO A 144A FRN 06-15-27               | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100755.50    | 0.09%             | 2027-06-15      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| BX 2025-GW                                                  | BX 2025-GW A 144A FRN 07-15-42                 | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $200840.40    | 0.17%             | 2042-07-15      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                          | COLT 2021-5 A1 144A FRN 11-26-66               | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55530 | PA      | $50154.06     | 0.04%             | 2066-11-26      | Variable      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CIM TRUST CIM_22-R2                                         | CIM 2022-R2 A1 144A FRN 12-25-61               | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136166 | PA      | $129768.21    | 0.11%             | 2061-12-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST CGCMT_23-SMRT           | CGCMT 23-SMRT A 144A FRN 10-12-40              | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379000 | PA      | $391705.60    | 0.33%             | 2040-10-12      | Variable      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                      | ESA 2021-ESH A 144A FRN 07-15-38               | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     85773 | PA      | $85848.34     | 0.07%             | 2038-07-15      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FHARM FRN 760014 08-01-45                      | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    247601 | PA      | $246831.92    | 0.21%             | 2045-08-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                     | SCRT 18-3 MA 3.5% 08-25-57                     | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     80905 | PA      | $78028.89     | 0.07%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 932606 02-01-40                      | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1586 | PA      | $1606.89      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BH3122 06-01-47                  | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1205 | PA      | $1140.88      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AE1283 12-01-41                      | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1861 | PA      | $1886.92      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 BK9761 08-01-48                  | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3309 | PA      | $3258.36      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1274 10-01-41                  | CUSIP: 31419BMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4065 | PA      | $4119.70      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q52069 11-01-47                      | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21776 | PA      | $19888.40     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1277 11-01-41                  | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2988 | PA      | $3025.08      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 931768 08-01-39                  | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1005 | PA      | $1018.03      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AT0300 03-01-43                      | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1019 | PA      | $960.93       | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AD3566 10-01-35                  | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       635 | PA      | $644.86       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 695412 06-01-33                  | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        82 | PA      | $84.11        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK5232 05-01-48                  | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15405 | PA      | $14589.78     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56175 05-01-48                      | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11776 | PA      | $11169.04     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 20YR FUT USU5 09-19-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        15 | NC      | $62787.62     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ACAR 2024-3                                                 | ACAR 24-3 A 144A 5.76% 11-12-27                | CUSIP: 02490BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11976 | PA      | $11999.40     | 0.01%             | 2027-11-12      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-4    | BLAST 24-4 A2 4.84% 09-15-27/11-17-25          | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5963 | PA      | $5966.74      | 0.01%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CPS 2024-D                                                  | CPS 24-D A 144A 4.91% 06-15-28/03-16-26        | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53531 | PA      | $53570.90     | 0.05%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 24-2 A3 4.5% 09-15-28/07-15-26           | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21000 | PA      | $20995.21     | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 24-2 A2 4.94% 12-15-27/25                | CUSIP: 26207AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12971 | PA      | $12983.54     | 0.01%             | 2027-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| EART 2024-4A                                                | EART 24-4 A2 5.6% 05-17-27                     | CUSIP: 30166UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3028 | PA      | $3030.18      | 0.00%             | 2027-05-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_23-2                     | FORDR 23-2 A 144A 5.28% 02-15-36/8-15-28       | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257000 | PA      | $264969.83    | 0.23%             | 2036-02-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 24-3 A2 144A 5.35% 08-16-27               | CUSIP: 37989AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16865 | PA      | $16884.31     | 0.01%             | 2027-08-16      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 24-3 A3 144A 5.02% 04-17-28               | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45000 | PA      | $45112.82     | 0.04%             | 2028-04-17      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-4A                                                | GCAR 24-4 A2 144A 4.76% 10-15-27/02-17-26      | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12195 | PA      | $12196.39     | 0.01%             | 2027-10-15      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-A                         | NSLT 21-A APT1 144A 1.36% 04-20-62             | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101333 | PA      | $95365.82     | 0.08%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST NAVSL_21-C             | NAVSL 21-C A 144A 1.06% 10-15-69/09-15-28      | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85127 | PA      | $76673.31     | 0.07%             | 2069-10-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                         | NSLT 2021-CA AFL 144A FRN 04-20-62             | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83716 | PA      | $83332.91     | 0.07%             | 2062-04-20      | Variable      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_21-A                       | NAVSL 21-A A 144A 0.84% 05-15-69/03-15-29      | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66016 | PA      | $60218.67     | 0.05%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-4           | SDART 22-4 B 4.42% 11-15-27/09-15-25           | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5322 | PA      | $5317.55      | 0.00%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SDART 2023-1                                                | SDART 23-1 B 4.98% 02-15-28/11-17-25           | CUSIP: 80287GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1610 | PA      | $1611.19      | 0.00%             | 2028-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK6840 06-01-48                  | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21784 | PA      | $20628.31     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AC0794 10-01-39                  | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4473 | PA      | $4531.08      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QA2748 09-01-49                  | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14157 | PA      | $13015.62     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55971 05-01-48                      | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14683 | PA      | $13805.16     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AY1829 12-01-44                  | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1696 | PA      | $1591.44      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q47615 04-01-47                      | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15323 | PA      | $13942.54     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT3954 04-01-43                  | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1455 | PA      | $1366.88      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56599 06-01-48                      | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22791 | PA      | $21558.80     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58411 09-01-48                      | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41293 | PA      | $40218.37     | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55970 05-01-48                      | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7035 | PA      | $6612.65      | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 AJ1873 10-01-41                  | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4823 | PA      | $4661.39      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58436 09-01-48                      | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19436 | PA      | $18919.68     | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 17-3 HT 3.25% 07-25-56                    | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     79070 | PA      | $69877.77     | 0.06%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                    | SCRT 18-1 HT 3.0% 05-25-57                     | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     20649 | PA      | $17638.47     | 0.01%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS SD7512 02-01-50                      | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    128805 | PA      | $113694.99    | 0.10%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI6 3.0 BF0497 07-01-60                     | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42673 | PA      | $36795.30     | 0.03%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0481 06-01-60                     | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    123815 | PA      | $110779.63    | 0.09%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0379 04-01-59                     | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    114842 | PA      | $102778.87    | 0.09%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0041 04-01-51                  | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    174374 | PA      | $154646.99    | 0.13%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4208 12-01-50                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10797 | PA      | $8619.28      | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4387 07-01-41                  | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15327 | PA      | $13226.59     | 0.01%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9492 11-01-51                  | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    386476 | PA      | $325763.35    | 0.28%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9804 12-01-51                  | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    198804 | PA      | $167837.47    | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9694 11-01-51                  | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    180780 | PA      | $153369.90    | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2544 01-01-52                  | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    231650 | PA      | $202925.31    | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5145 02-01-42                  | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     76830 | PA      | $66045.98     | 0.06%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9976 12-01-51                  | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     78762 | PA      | $69650.47     | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0965 11-01-51                  | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2300 | PA      | $1832.50      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA4840 12-01-52                  | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    427304 | PA      | $409768.25    | 0.35%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA3384 08-01-50                  | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4054 | PA      | $3547.95      | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CA7052 09-01-50                  | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4113 | PA      | $3601.84      | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1243 10-01-52                  | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31880 | PA      | $32026.66     | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 FS4563 05-01-53                  | CUSIP: 3140XLB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48537 | PA      | $47958.96     | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8315 04-01-53                  | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    111377 | PA      | $109706.31    | 0.09%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD2716 04-01-53                  | CUSIP: 3132DQAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     76639 | PA      | $75741.46     | 0.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1289 10-01-52                  | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35068 | PA      | $35188.93     | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF0924 09-01-52                  | CUSIP: 3133BNAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    215546 | PA      | $216320.40    | 0.18%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8820 02-01-51                  | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    342921 | PA      | $275235.77    | 0.23%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8108 12-01-50                  | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    129032 | PA      | $103563.83    | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS5192 06-01-53                  | CUSIP: 3140XLXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    735706 | PA      | $737383.72    | 0.63%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RA8059 10-01-52                  | CUSIP: 3133KP5U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     96993 | PA      | $97693.74     | 0.08%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM5940 02-01-51                  | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1485102 | PA      | $1194658.81   | 1.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3767 04-01-47                  | CUSIP: 3140XKFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25709 | PA      | $20852.57     | 0.02%             | 2047-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SI2062 09-01-50                  | CUSIP: 3133USJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    169787 | PA      | $136078.94    | 0.12%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4978 04-01-53                  | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1934705 | PA      | $1903376.75   | 1.62%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8350 08-01-53                  | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2559826 | PA      | $2606944.29   | 2.22%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3745 08-01-50                  | CUSIP: 3140XKET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17103 | PA      | $13669.38     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8758 08-01-54                  | CUSIP: 3140XQWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    191969 | PA      | $195596.11    | 0.17%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5470 09-01-54                  | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    213554 | PA      | $213710.84    | 0.18%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5497 10-01-54                  | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    109037 | PA      | $109117.20    | 0.09%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9009 09-01-54                  | CUSIP: 3140XRAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    274284 | PA      | $276265.97    | 0.23%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QI9547 07-01-54                  | CUSIP: 3133WGTC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     95771 | PA      | $99185.38     | 0.08%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3056 10-01-52                  | CUSIP: 3140XJME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    689864 | PA      | $547266.49    | 0.47%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA6409 07-01-50                  | CUSIP: 3140QEDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     91316 | PA      | $75956.80     | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5498 10-01-54                  | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    408997 | PA      | $415955.30    | 0.35%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8463 09-01-54                  | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16750 | PA      | $17034.35     | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8462 09-01-54                  | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    212246 | PA      | $212401.89    | 0.18%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6323 08-01-54                  | CUSIP: 3132DUAY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1609903 | PA      | $1667632.81   | 1.42%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU5165 11-01-54                  | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     49543 | PA      | $49625.56     | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU5166 10-01-54                  | CUSIP: 3140M6W41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25571 | PA      | $26053.88     | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5530 11-01-54                  | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    325683 | PA      | $319452.19    | 0.27%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB9432 11-01-54                  | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42570 | PA      | $43434.60     | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8493 12-01-54                  | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      7582 | PA      | $7587.07      | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8432 05-01-54                  | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      8207 | PA      | $8351.65      | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM 2024-2                                                 | FARM 2024-2 A1 144A FRN 08-01-54               | CUSIP: 307910AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     86268 | PA      | $86206.04     | 0.07%             | 2054-08-01      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 TBA 07-01-55                          | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    273001 | PA      | $273444.63    | 0.23%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 TBA 07-01-55                          | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    355000 | PA      | $330126.22    | 0.28%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST MSRM_24-INV2 | MSRM 2024-INV2 A1 144A FRN 02-25-54/08-25-45   | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    183631 | PA      | $187195.70    | 0.16%             | 2054-02-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| PMTLT 2024-INV1                                             | PMTLT 2024-INV1 A2 144A FRN 10-25-59           | CUSIP: 73015BAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94323 | PA      | $95130.66     | 0.08%             | 2059-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1              | SLST 18-1 A1 3.5% 06-25-28                     | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    187915 | PA      | $182583.70    | 0.16%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                                | SLST 18-2 A1 3.5% 11-25-28                     | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     10475 | PA      | $10186.44     | 0.01%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                     | SCRT 19-3 MT 3.5% 10-25-58                     | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     15227 | PA      | $13645.08     | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                     | SCRT 19-2 MT 3.5% 08-25-58                     | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     25827 | PA      | $23058.51     | 0.02%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1       | SLST 22-1 A1 3.5% 05-25-32                     | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    252160 | PA      | $242543.38    | 0.21%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-3                                       | SLST 20-3 AC 2.0% 11-25-30                     | CUSIP: 35564CJD0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    289055 | PA      | $260489.92    | 0.22%             | 2030-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_21-1       | SLST 21-1 AC 2.25% 05-26-31                    | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    293417 | PA      | $267626.99    | 0.23%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-2                                       | SLST 20-2 AC 2.0% 09-27-60                     | CUSIP: 35564CGW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    300950 | PA      | $271864.13    | 0.23%             | 2060-09-27      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_21-2                                | SLST 21-2 AD 2.0% 07-25-31                     | CUSIP: 35564CLN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    251113 | PA      | $225321.15    | 0.19%             | 2031-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8258 10-01-52                  | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    225990 | PA      | $222692.31    | 0.19%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8220 06-01-52                  | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    664635 | PA      | $575834.11    | 0.49%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 5.0 ZS8950 10-01-29                  | CUSIP: 3132A95K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       686 | PA      | $687.13       | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2314 09-01-54                  | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    123568 | PA      | $125895.08    | 0.11%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2325 09-01-54                  | CUSIP: 3142GSSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     19836 | PA      | $20610.73     | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2320 09-01-54                  | CUSIP: 3142GSSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     35987 | PA      | $37475.87     | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2309 09-01-54                  | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     35744 | PA      | $36418.51     | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2306 09-01-54                  | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     57161 | PA      | $58654.16     | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2308 09-01-54                  | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     64215 | PA      | $65902.42     | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2312 09-01-54                  | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     65773 | PA      | $67294.82     | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5221 04-01-54                  | CUSIP: 3132DSYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     55468 | PA      | $57741.05     | 0.05%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS7653 03-01-54                  | CUSIP: 3140XPQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38022 | PA      | $39580.79     | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6767 01-01-54                  | CUSIP: 3140XNQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    213947 | PA      | $222353.54    | 0.19%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0326 11-01-53                  | CUSIP: 3142GQLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     70492 | PA      | $73208.22     | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8756 08-01-54                  | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28845 | PA      | $29512.70     | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD6029 08-01-54                  | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37541 | PA      | $38409.87     | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4916 08-01-54                  | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28637 | PA      | $29177.97     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5813 07-01-54                  | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     63802 | PA      | $65403.73     | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8757 08-01-54                  | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     54813 | PA      | $56118.97     | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4968 08-01-54                  | CUSIP: 3140M6QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139985 | PA      | $142363.08    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8866 09-01-54                  | CUSIP: 3140XQZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    461641 | PA      | $472341.51    | 0.40%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1248 06-01-41                  | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6992 | PA      | $7065.69      | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q15874 02-01-43                      | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       758 | PA      | $726.39       | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58378 09-01-48                      | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13907 | PA      | $13522.08     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD0873 02-01-52                  | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    940499 | PA      | $862322.54    | 0.73%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4305 04-01-51                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       735 | PA      | $584.95       | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4232 01-01-41                  | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    125962 | PA      | $108809.09    | 0.09%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA4352 01-01-51                  | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    299062 | PA      | $239848.23    | 0.20%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA3987 11-01-50                  | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    179270 | PA      | $150101.90    | 0.13%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8128 02-01-51                  | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1761 | PA      | $1403.86      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8134 03-01-51                  | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2816 | PA      | $2242.49      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM8038 07-01-51                  | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31455 | PA      | $27486.25     | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 1.5 RB5113 06-01-41                  | CUSIP: 3133KYVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1459758 | PA      | $1209716.08   | 1.03%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.5 RB5115 06-01-41                  | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    274552 | PA      | $245704.23    | 0.21%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6406 11-01-51                  | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     67463 | PA      | $53811.07     | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RA7938 09-01-52                  | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    568707 | PA      | $560217.47    | 0.48%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8213 05-01-52                  | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1360149 | PA      | $1179825.83   | 1.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 5.0 A18781 03-01-34                      | CUSIP: 31296TXJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    458628 | PA      | $461434.92    | 0.39%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA4626 06-01-52                  | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    284036 | PA      | $264825.88    | 0.23%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4521 01-01-42                  | CUSIP: 31418EAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    213125 | PA      | $190066.97    | 0.16%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5288 05-01-51                  | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    278485 | PA      | $223938.40    | 0.19%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QD7089 02-01-52                  | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6461 | PA      | $5864.72      | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ3005 10-01-50                  | CUSIP: 3140KNKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63313 | PA      | $52999.17     | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1385 11-01-51                  | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     55967 | PA      | $47153.36     | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1527 09-01-51                  | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    371240 | PA      | $310984.49    | 0.26%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7900 07-01-51                  | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22312 | PA      | $18814.64     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.5 BF0585 12-01-61                     | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42283 | PA      | $40508.42     | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB6853 08-01-53                  | CUSIP: 3140QSTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     88238 | PA      | $84527.26     | 0.07%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BX5673 12-01-52                  | CUSIP: 3140NAJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     96554 | PA      | $94922.24     | 0.08%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9857 09-01-53                  | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    926307 | PA      | $943444.43    | 0.80%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB5912 03-01-53                  | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77356 | PA      | $79193.21     | 0.07%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5138 09-01-53                  | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    279371 | PA      | $279914.97    | 0.24%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8368 10-01-53                  | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    421819 | PA      | $429402.88    | 0.37%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5167 10-01-53                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12747 | PA      | $13179.48     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 QF0213 09-01-52                  | CUSIP: 3133BMGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1057057 | PA      | $1013915.47   | 0.86%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS5851 07-01-52                  | CUSIP: 3140XMQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    951244 | PA      | $886857.70    | 0.75%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

**Name of Applicant:** AMERICAN FUNDS INSURANCE SERIES

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Lead Analyst