# EDGAR Filing Document

**Accession Number:** 0000729528
**File Stem:** 0001145549-23-011791
**Filing Date:** 2023-2
**Character Count:** 175454
**Document Hash:** ada1909657b9ffccde363133eafdb6fb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011791.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011791

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INSURANCE SERIES
- **CENTRAL INDEX KEY:** 0000729528
- **IRS NUMBER:** 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:** 23675841

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

**MAIL ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FL (MICG)
- **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

### U.S. Government Securities Fund (Series ID: S000008788)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000023908 | Class 1      |  |
| C000023909 | Class 2      |  |
| C000023910 | Class 3      |  |
| C000121504 | Class 4      |  |
| C000176236 | 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:** U.S. Government Securities Fund

- **b. EDGAR series identifier (if any):** S000008788

- **c. LEI of Series:** ZIZPYJJVT4JGEJFM4E41

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1907161169.72

**Total Liabilities:** $406879601.33

**Net Assets:** $1500281568.39

**Cash Not Reported:** $573774.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -124.552962800000 | **1-Year:** -679.351800900000 | **5-Year:** -1490.920000000000 | **10-Year:** -1026.680000000000 | **30-Year:** -113.846350000000

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

- **3-Month:** -344.879410600000 | **1-Year:** -9816.810000000000 | **5-Year:** -17826.790000000000 | **10-Year:** -5363.250000000000 | **30-Year:** -84.103233800000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023908 | -1.17%               | 3.06%                | -0.63%               |
| Class ID C000023909 | -1.19%               | 3.01%                | -0.58%               |
| Class ID C000023910 | -1.07%               | 2.96%                | -0.61%               |
| Class ID C000121504 | -1.09%               | 2.91%                | -0.60%               |
| Class ID C000176236 | -1.18%               | 3.08%                | -0.65%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-22047750.02            | $11208301.85                               |
| Month 2  | $-4209411.58             | $36561639.43                               |
| Month 3  | $779502.35               | $-11951747.15                              |

**Designated Index Information**

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

- **Index Identifier:** I01262US

### Schedule of Portfolio Investments

| Name                                                  | Title                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8237 08-01-52                                | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4913239 | PA      | $4613413.30   | 0.31%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHMS K029 A2 (MF) 3.32% 02-25-23                             | CUSIP: 3137B36J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    133818 | PA      | $133384.43    | 0.01%             | 2023-02-25      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8244 09-01-52                                | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3275419 | PA      | $3075536.73   | 0.20%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 MA4600 05-01-52                                | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17861268 | PA      | $16244091.23  | 1.08%             | 2052-05-01      | Fixed         | 3.50%                 | 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        |   2958943 | PA      | $2421957.10   | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 CB0290 04-01-51                                | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    925829 | PA      | $757364.81    | 0.05%             | 2051-04-01      | 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        |    216162 | PA      | $196916.86    | 0.01%             | 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        |    604230 | PA      | $514036.87    | 0.03%             | 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        |    531233 | PA      | $455802.22    | 0.03%             | 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        |    701579 | PA      | $595983.95    | 0.04%             | 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        |    194732 | PA      | $167259.54    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA7257 10-01-50                                | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    195226 | PA      | $168033.21    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FS0523 02-01-52                                | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    199485 | PA      | $170573.26    | 0.01%             | 2052-02-01      | 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        |    458874 | PA      | $447654.10    | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB2286 12-01-51                                | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1265856 | PA      | $1082285.08   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA6593 08-01-50                                | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    926307 | PA      | $797567.06    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | 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        |     50553 | PA      | $41443.63     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 BR1035 05-01-51                                | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6383 | PA      | $5216.75      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW6231 09-01-52                                | CUSIP: 3140MX4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    222679 | PA      | $214551.69    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF2445 11-01-52                                | CUSIP: 3133BPWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4769022 | PA      | $4594924.18   | 0.31%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 MA4784 10-01-52                                | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5035202 | PA      | $4851382.02   | 0.32%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD8257 10-01-52                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    742946 | PA      | $715823.46    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | 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        |    995123 | PA      | $958796.35    | 0.06%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BU3058 12-01-51                                | CUSIP: 3140M4MG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1511753 | PA      | $1283665.47   | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD8275 12-01-52                                | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36150622 | PA      | $34830907.47  | 2.32%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QE6097 07-01-52                                | CUSIP: 3133BFX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    634884 | PA      | $539305.69    | 0.04%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF2846 11-01-52                                | CUSIP: 3133BQET9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    997838 | PA      | $961412.92    | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 CB4959 10-01-52                                | CUSIP: 3140QQQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    992522 | PA      | $956287.62    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF2936 11-01-52                                | CUSIP: 3133BQHM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    968979 | PA      | $933706.54    | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BX0097 10-01-52                                | CUSIP: 3140N4DB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    998171 | PA      | $961730.23    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW8981 10-01-52                                | CUSIP: 3140N16T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    994777 | PA      | $958459.48    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF2136 10-01-52                                | CUSIP: 3133BPLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    998756 | PA      | $962293.50    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW1192 09-01-52                                | CUSIP: 3140MSKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1847538 | PA      | $1780092.13   | 0.12%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF2560 11-01-52                                | CUSIP: 3133BPZZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    998718 | PA      | $964992.97    | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF1431 10-01-52                                | CUSIP: 3133BNSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    998753 | PA      | $962290.10    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW8996 10-01-52                                | CUSIP: 3140N17J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    994307 | PA      | $958006.53    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF1765 10-01-52                                | CUSIP: 3133BN6A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    994709 | PA      | $958395.84    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW9458 10-01-52                                | CUSIP: 3140N2QL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    998700 | PA      | $964975.71    | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 CB3774 06-01-52                                | CUSIP: 3140QPFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3249728 | PA      | $3052424.09   | 0.20%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 SD8276 12-01-52                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1865575 | PA      | $1841524.03   | 0.12%             | 2052-12-01      | Fixed         | 5.00%                 | 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        |   7348000 | PA      | $7253269.58   | 0.48%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 MA4868 01-01-53                                | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1456732 | PA      | $1437951.81   | 0.10%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 MA4804 11-01-52                                | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2491755 | PA      | $2339697.83   | 0.16%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 MA4803 11-01-52                                | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    612073 | PA      | $556819.91    | 0.04%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 SD8285 01-01-53                                | CUSIP: 3132DWF24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    345674 | PA      | $314466.90    | 0.02%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW1310 11-01-52                                | CUSIP: 3140MSN43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    232299 | PA      | $218123.82    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW9348 09-01-52                                | CUSIP: 3140N2L66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    219293 | PA      | $205955.74    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 CB4159 07-01-52                                | CUSIP: 3140QPTR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    234066 | PA      | $219782.54    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW8103 09-01-52                                | CUSIP: 3140N1AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    207836 | PA      | $195173.79    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QE9057 08-01-52                                | CUSIP: 3133BKB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    189160 | PA      | $177616.70    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BX0509 10-01-52                                | CUSIP: 3140N4R74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    222494 | PA      | $208915.68    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QF1464 10-01-52                                | CUSIP: 3133BNTV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    234304 | PA      | $220054.76    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW7326 09-01-52                                | CUSIP: 3140N0D85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    253722 | PA      | $238239.15    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BV8024 08-01-52                                | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    295640 | PA      | $277598.12    | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QE9625 09-01-52                                | CUSIP: 3133BKVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    244018 | PA      | $229126.91    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW1210 10-01-52                                | CUSIP: 3140MSKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    619827 | PA      | $582002.51    | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QF3364 11-01-52                                | CUSIP: 3133BQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    381106 | PA      | $357849.89    | 0.02%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW7356 10-01-52                                | CUSIP: 3140N0E68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    515639 | PA      | $484172.05    | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW8980 10-01-52                                | CUSIP: 3140N16S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    820732 | PA      | $770644.74    | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | 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        |   1271901 | PA      | $1249468.50   | 0.08%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 SD8246 09-01-52                                | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    224999 | PA      | $222098.69    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 MA4877 12-01-52                                | CUSIP: 31418EM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  39345007 | PA      | $40361524.39  | 2.69%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 MA4820 10-01-52                                | CUSIP: 31418ELA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    299999 | PA      | $308296.31    | 0.02%             | 2052-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 6.5 SD8281 12-01-52                                | CUSIP: 3132DWFW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2051625.88   | 0.14%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 MA4895 01-01-53                                | CUSIP: 31418ENM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8827585 | PA      | $9055672.14   | 0.60%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 406607 08-01-24                                | CUSIP: 31378RU80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10313 | PA      | $10578.58     | 0.00%             | 2024-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 6.5 SD8282 01-01-53                                | CUSIP: 3132DWFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10431455 | PA      | $10700743.01  | 0.71%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 MA4806 11-01-52                                | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1312683 | PA      | $1295760.25   | 0.09%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF0671 09-01-52                                | CUSIP: 3133BMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    503315 | PA      | $484940.57    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.5% 02-29-24                               | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    368800 | PA      | $355578.48    | 0.02%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 02-15-52                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1459586 | PA      | $942972.06    | 0.06%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 04-15-27                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7315891 | PA      | $6816635.07   | 0.45%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.625% 07-31-29                             | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19809300 | PA      | $18244818.93  | 1.22%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 3.0% 07-31-24                               | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3685000 | PA      | $3594463.60   | 0.24%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 3.125% 08-15-25                             | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $378679.28    | 0.03%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.75% 08-15-32                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7500000 | PA      | $6828556.50   | 0.46%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 3.0% 08-15-52                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7025000 | PA      | $5824848.30   | 0.39%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 3.125% 08-31-29                             | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22520700 | PA      | $21382388.97  | 1.43%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 3.5% 09-15-25                               | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28000000 | PA      | $27447397.60  | 1.83%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 1.625% 10-15-27                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12137692 | PA      | $12121572.06  | 0.81%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 4.0% 11-15-52                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2290000 | PA      | $2302266.61   | 0.15%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 4.0% 12-15-25                               | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5694300 | PA      | $5658710.63   | 0.38%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.125% 07-15-24                          | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56970146 | PA      | $55180633.20  | 3.68%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.375% 07-15-25                          | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57807035 | PA      | $55542808.85  | 3.70%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 01-15-26                          | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3379853 | PA      | $3244828.51   | 0.22%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.125% 11-30-23                             | CUSIP: 912828U57<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200 | PA      | $195.36       | 0.00%             | 2023-11-30      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 2.25% 12-31-23                              | CUSIP: 912828V23<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1332000 | PA      | $1300056.64   | 0.09%             | 2023-12-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | U S TREASURY BILL 11/2/2023                                  | CUSIP: 912796YT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24780000 | PA      | $23853921.84  | 1.59%             | 2023-11-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.5% 02-15-45                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4850000 | PA      | $3667937.15   | 0.24%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 2.125% 02-15-41                              | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    421832 | PA      | $446030.48    | 0.03%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.75% 02-15-42                               | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8558882 | PA      | $7170859.41   | 0.48%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-23                              | CUSIP: 912828UH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21975572 | PA      | $21933272.55  | 1.46%             | 2023-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.625% 02-15-43                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4523459 | PA      | $3648037.67   | 0.24%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.375% 07-15-23                              | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21858861 | PA      | $21606077.72  | 1.44%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.5% 02-15-46                               | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $2930995.08   | 0.20%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.5% 05-15-46                               | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5400000 | PA      | $4049087.40   | 0.27%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.875% 11-15-46                             | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2174230.08   | 0.14%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.875% 05-15-49                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $5094762.12   | 0.34%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.25% 08-15-49                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1635000 | PA      | $1157187.76   | 0.08%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.375% 08-15-50                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4330000 | PA      | $2422564.42   | 0.16%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 0.125% 12-15-23                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1934300 | PA      | $1853072.55   | 0.12%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.0% 08-15-51                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5545700 | PA      | $3650362.75   | 0.24%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.875% 11-15-51                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3163600 | PA      | $2014639.01   | 0.13%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 0.5% 11-30-23                               | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12068800 | PA      | $11611505.93  | 0.77%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.875% 05-15-52                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $281850.94    | 0.02%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 2.75% 05-15-25                              | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7458500 | PA      | $7192855.08   | 0.48%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 4.0 MA2746 09-01-36                                | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1375696 | PA      | $1325912.13   | 0.09%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 4.0 MA2588 04-01-36                                | CUSIP: 31418B2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    666154 | PA      | $642053.75    | 0.04%             | 2036-04-01      | Fixed         | 4.00%                 | No            |                  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        |    267980 | PA      | $259102.23    | 0.02%             | 2045-08-01      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNIONP 7.0 256828 07-01-37                                   | CUSIP: 31371NHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2763 | PA      | $2876.62      | 0.00%             | 2037-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNIONP 6.5 256860 08-01-37                                   | CUSIP: 31371NJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10827 | PA      | $11201.70     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNIONP 7.0 888698 10-01-37                                   | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13089 | PA      | $13646.43     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNIONP 6.0 970343 02-01-38                                   | CUSIP: 31414MP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14012 | PA      | $13982.84     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 1H1354 11-01-36                                    | CUSIP: 3128NGE35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     53196 | PA      | $54389.82     | 0.00%             | 2036-11-01      | Variable      | 4.34%                 | 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        |    509352 | PA      | $483561.24    | 0.03%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 G67711 03-01-48                                    | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1406561 | PA      | $1350637.70   | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 RA1580 10-01-49                                | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    204309 | PA      | $191479.90    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 QA0284 06-01-49                                | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    193917 | PA      | $180442.53    | 0.01%             | 2049-06-01      | 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        |      8656 | PA      | $8703.81      | 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        |      5157 | PA      | $4961.71      | 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        |      9560 | PA      | $9598.89      | 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        |     19931 | PA      | $19678.02     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54701 03-01-48                                    | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57001 | PA      | $52973.33     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |     77647 | PA      | $72152.06     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BJ8411 08-01-49                                | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    113076 | PA      | $105219.69    | 0.01%             | 2049-08-01      | 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        |     18073 | PA      | $18318.49     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | 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        |    154480 | PA      | $148169.94    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BJ4901 03-01-48                                | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42874 | PA      | $39896.17     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |     31375 | PA      | $30093.05     | 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        |     17723 | PA      | $17905.36     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH2848 05-01-47                                | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6751 | PA      | $6292.02      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE8742 05-01-47                                | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16572 | PA      | $15494.47     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM1443 09-01-49                                | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    326252 | PA      | $303583.62    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM1062 06-01-49                                | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    436122 | PA      | $407766.10    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | 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        |      5486 | PA      | $5560.49      | 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        |      4852 | PA      | $4540.61      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH2847 05-01-47                                | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5145 | PA      | $4787.65      | 0.00%             | 2047-05-01      | 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        |      6148 | PA      | $6207.25      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH2846 05-01-47                                | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7802 | PA      | $7294.66      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | 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        |       543 | PA      | $553.61       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54700 03-01-48                                    | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40377 | PA      | $37613.64     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q19133 06-01-43                                    | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31383 | PA      | $29399.50     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | 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        |     78573 | PA      | $75363.76     | 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        |     74095 | PA      | $71148.45     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AT7161 06-01-43                                | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41376 | PA      | $38727.52     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 RA1463 10-01-49                                | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    392675 | PA      | $368017.37    | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 10 2.85% 08-01-24                                   | CUSIP: 911759MF2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2250000 | PA      | $2189844.90   | 0.15%             | 2024-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 13 3.15% 08-01-27                                   | CUSIP: 911759MJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  11482000 | PA      | $10812145.86  | 0.72%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 12 3.10% 08-01-26                                   | CUSIP: 911759MH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2625000 | PA      | $2497156.73   | 0.17%             | 2026-08-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 18 3.60% 08-01-32                                   | CUSIP: 911759MP0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2377000 | PA      | $2158910.25   | 0.14%             | 2032-08-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 15 3.35% 08-01-29                                   | CUSIP: 911759ML9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2650000 | PA      | $2449545.79   | 0.16%             | 2029-08-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 20 3.70% 08-01-34                                   | CUSIP: 911759MR6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    651000 | PA      | $588645.27    | 0.04%             | 2034-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 14 3.25% 08-01-28                                   | CUSIP: 911759MK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3856000 | PA      | $3597893.24   | 0.24%             | 2028-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 19 3.65% 08-01-33                                   | CUSIP: 911759MQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2059000 | PA      | $1866413.49   | 0.12%             | 2033-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 17 3.55% 08-01-31                                   | CUSIP: 911759MN5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2475000 | PA      | $2349896.18   | 0.16%             | 2031-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 9 2.80% 08-01-23                                    | CUSIP: 911759ME5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1500000 | PA      | $1481326.80   | 0.10%             | 2023-08-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 11 2.95% 08-01-25                                   | CUSIP: 911759MG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2640000 | PA      | $2531929.22   | 0.17%             | 2025-08-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT        | HUD 15-A 16 3.50% 08-01-30                                   | CUSIP: 911759MM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2482000 | PA      | $2360677.36   | 0.16%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ETHIOPIAN LEASING 2012 LLC                            | ETHAIR SR SEC SF 2.646% 05-12-26                             | CUSIP: 29766DAF1<br>LEI: N/A                  | Long             | DBT              | USGA              | ET        |    308280 | PA      | $296264.44    | 0.02%             | 2026-05-12      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORPORATION                    | PEFCO 1.4% 07-15-28                                          | CUSIP: 742651DY5<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGA              | US        |   3000000 | PA      | $2536419.00   | 0.17%             | 2028-07-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORPORATION                    | PEFCO 3.55% 01-15-24                                         | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGA              | US        |   3190000 | PA      | $3143275.75   | 0.21%             | 2024-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SOUTHAVEN COMBINED CYCLE GENERATION LLC               | TVA SOUTHAVEN  STRUCTURED SR SEC 1ST LIEN SF 3.846% 08-15-33 | CUSIP: 841215AA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    887072 | PA      | $819799.70    | 0.05%             | 2033-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                     | STATE STREET CORP CD 12/11/2023                              | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | Long             | STIV             | CORP              | US        |  40000000 | PA      | $40000000.00  | 2.67%             | 2023-12-11      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHLMC_K035  | FHMS K035 A2 (MF) 3.458% 08-25-23                            | CUSIP: 3137B5KW2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2525889 | PA      | $2502481.73   | 0.17%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMA 7.125% 01-15-30                                         | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2000000 | PA      | $2353105.40   | 0.16%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 1/11/2023                                    | CUSIP: 313384AL3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  20700000 | PA      | $20679693.30  | 1.38%             | 2023-01-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                | FED FARM CR DISC NT 1/12/2023                                | CUSIP: 313312AM2<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   5500000 | PA      | $5493975.85   | 0.37%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/24/2023                                    | CUSIP: 313384CG2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $9936098.00   | 0.66%             | 2023-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/8/2023                                     | CUSIP: 313384BQ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  25000000 | PA      | $24896432.50  | 1.66%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/10/2023                                    | CUSIP: 313384BS7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   6750000 | PA      | $6719951.03   | 0.45%             | 2023-02-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 3/3/2023                                     | CUSIP: 313384CP2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  20000000 | PA      | $19855438.00  | 1.32%             | 2023-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/22/2023                                    | CUSIP: 313384CE7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   4400000 | PA      | $4373431.92   | 0.29%             | 2023-02-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FHLB 3.25% 11-16-28                                          | CUSIP: 3130AFFX0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   6500000 | PA      | $6250166.65   | 0.42%             | 2028-11-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FHLB 5.5% 07-15-36                                           | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    300000 | PA      | $328375.05    | 0.02%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                            | TVA BOND 4.65% 06-15-35                                      | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1780000 | PA      | $1764392.07   | 0.12%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                            | TVA BOND 5.88% 04-01-36                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    875000 | PA      | $970659.99    | 0.06%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                            | TVA BOND SER A 4.625% 09-15-60                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    250000 | PA      | $231944.40    | 0.02%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                            | TVA BOND 0.75% 05-15-25                                      | CUSIP: 880591EW8<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3700000 | PA      | $3389701.72   | 0.23%             | 2025-05-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                            | TVA BOND 2.875% 02-01-27                                     | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4741594.00   | 0.32%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT    | AID-ISRAEL 5.5% 09-18-23                                     | CUSIP: 46513EFF4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1250000 | PA      | $1255203.75   | 0.08%             | 2023-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT    | AID-JORDAN 3.0% 06-30-25                                     | CUSIP: 418097AF8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  14779000 | PA      | $14230616.34  | 0.95%             | 2025-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT    | AID-MOROCCO SF 7.55% 07-15-26                                | CUSIP: 34459RAB1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1908622 | PA      | $2000187.84   | 0.13%             | 2026-07-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 04-15-23                          | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31117679 | PA      | $30816537.85  | 2.05%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 2.5% 01-31-24                               | CUSIP: 9128285Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26000000 | PA      | $25394673.20  | 1.69%             | 2024-01-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 1.0% 02-15-49                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4914513 | PA      | $4113865.95   | 0.27%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.5% 04-15-24                            | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14570392 | PA      | $14178733.69  | 0.95%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 10-15-24                              | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26586629 | PA      | $25621817.35  | 1.71%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.25% 02-15-50                               | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    336829 | PA      | $227504.06    | 0.02%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 04-15-25                              | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8421718 | PA      | $8025963.10   | 0.53%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.25% 05-15-50                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19460000 | PA      | $10526575.64  | 0.70%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.125% 05-15-40                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $4392665.90   | 0.29%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 01-15-24                          | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55902279 | PA      | $54749373.49  | 3.65%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND I/L 0.125% 07-15-30                         | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7293182 | PA      | $6528535.10   | 0.44%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 10-15-25                              | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7805921 | PA      | $7418979.07   | 0.49%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.625% 11-15-50                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26165200 | PA      | $15671094.45  | 1.04%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-31                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6877767 | PA      | $6101867.84   | 0.41%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.875% 02-15-51                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6672200 | PA      | $4263668.58   | 0.28%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 12-15-51                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6032051 | PA      | $3890909.56   | 0.26%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 04-15-26                              | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5750764 | PA      | $5405719.89   | 0.36%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 07-15-31                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000647 | PA      | $882914.40    | 0.06%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 10-15-26                              | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34219100 | PA      | $32092439.91  | 2.14%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-32                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4411908 | PA      | $3859901.95   | 0.26%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  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        |   4261532 | PA      | $4069631.13   | 0.27%             | 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        |  18482412 | PA      | $17645694.46  | 1.18%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2               | SCRT 19-2 MA 3.5% 08-25-58                                   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2148041 | PA      | $2026917.11   | 0.14%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1               | SCRT 19-1 MA 3.5% 07-25-58                                   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    587440 | PA      | $555825.51    | 0.04%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-4               | SCRT 19-4 MA 3.0% 02-25-59                                   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1819113 | PA      | $1686838.16   | 0.11%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-3                          | SLST 19-3 A1C 2.75% 11-25-2029                               | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4786104 | PA      | $4398108.78   | 0.29%             | 2029-11-25      | Fixed         | 2.75%                 | 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        |    395957 | PA      | $358290.97    | 0.02%             | 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        |    730997 | PA      | $660923.96    | 0.04%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1               | SCRT 19-1 MT 3.5% 07-25-58                                   | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    762566 | PA      | $689488.79    | 0.05%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1 | SLST 20-1 A1D 2.0% 07-25-30                                  | CUSIP: 35564CEV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1377221 | PA      | $1230917.34   | 0.08%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1 | SLST 20-1 A2D 2.0% 07-25-30                                  | CUSIP: 35564CEZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    435000 | PA      | $355697.76    | 0.02%             | 2030-07-25      | Fixed         | 2.00%                 | 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        |   4667824 | PA      | $4503469.83   | 0.30%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.0 UMBS TBA 01-01-53                                   | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29742197 | PA      | $30190382.17  | 2.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.5 UMBS TBA 01-01-53                                   | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  81263120 | PA      | $83236757.40  | 5.55%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.5 UMBS TBA 01-01-53                                   | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  53779039 | PA      | $53928490.95  | 3.59%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.5 UMBS TBA 01-01-53                                   | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4573684 | PA      | $4402486.43   | 0.29%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | UMBS  30YR TBA(REG A) 2.0 UMBS TBA 01-01-53                  | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14848664 | PA      | $12085758.24  | 0.81%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCI 4.0 UMBS TBA 01-01-38                                   | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    920000 | PA      | $896961.36    | 0.06%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCI 2.0 UMBS TBA 01-01-38                                   | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1115380 | PA      | $992177.36    | 0.07%             | 2038-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCI 2.5 UMBS TBA 01-01-38                                   | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2275000 | PA      | $2082057.25   | 0.14%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.0 UMBS TBA 02-01-53                                   | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19157803 | PA      | $19430016.22  | 1.30%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.0 UMBS TBA 02-01-53                                   | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1392000 | PA      | $1305984.14   | 0.09%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.5 UMBS TBA 02-01-53                                   | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31200000 | PA      | $31270855.20  | 2.08%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTA LLC                                            | CHARTA LLC 4(2) CP 1/11/2023                                 | CUSIP: 16115WNB9<br>LEI: 5493000FNFK79LCM6M65 | Long             | STIV             | CORP              | US        |   5680000 | PA      | $5671809.44   | 0.38%             | 2023-01-11      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                   | CHARIOT FUNDING LLC 4(2) CP 1/3/2023                         | CUSIP: N/A<br>LEI: 549300EEWRNP448AMT79       | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9995200.00   | 0.67%             | 2023-01-03      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                   | CHARIOT FUNDING LLC 4(2) CP 1/27/2023                        | CUSIP: 15963UNT9<br>LEI: 549300EEWRNP448AMT79 | Long             | STIV             | CORP              | US        |   8000000 | PA      | $7973032.00   | 0.53%             | 2023-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                   | CHARIOT FUNDING LLC 4(2) CP 2/10/2023                        | CUSIP: 15963UPA8<br>LEI: 549300EEWRNP448AMT79 | Long             | STIV             | CORP              | US        |  15000000 | PA      | $14922885.00  | 0.99%             | 2023-02-10      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| COCA-COLA CO                                          | COCA-COLA COMPANY (THE) 4(2) CP 2/21/2023                    | CUSIP: 19121BPM5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | STIV             | CORP              | US        |  15000000 | PA      | $14903100.00  | 0.99%             | 2023-02-21      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                          | CITIGROUP GLOBAL MARKETS INC. 4(2) CP 2/21/2023              | CUSIP: 17327BPM1<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | STIV             | CORP              | US        |   6000000 | PA      | $5959350.00   | 0.40%             | 2023-02-21      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                           | HONEYWELL INTERNATIONAL 4(2) CP 2/1/2023                     | CUSIP: 43851UP15<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2988129.00   | 0.20%             | 2023-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                           | HONEYWELL INTERNATIONAL 4(2) CP 2/21/2023                    | CUSIP: 43851UPM9<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | STIV             | CORP              | US        |  15300000 | PA      | $15200595.90  | 1.01%             | 2023-02-21      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                           | HONEYWELL INTERNATIONAL 4(2) CP 2/27/2023                    | CUSIP: 43851UPT4<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | STIV             | CORP              | US        |   6050000 | PA      | $6005889.45   | 0.40%             | 2023-02-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                     | JOHNSON & JOHNSON 4(2) CP 2/13/2023                          | CUSIP: 47816GPD5<br>LEI: 549300G0CFPGEF6X2043 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9945810.00   | 0.66%             | 2023-02-13      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                     | JOHNSON & JOHNSON 4(2) CP 1/30/2023                          | CUSIP: 47816GNW5<br>LEI: 549300G0CFPGEF6X2043 | Long             | STIV             | CORP              | US        |   9000000 | PA      | $8966835.00   | 0.60%             | 2023-01-30      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| LINDE INC                                             | LINDE INC CP 2/6/2023                                        | CUSIP: 53522MP60<br>LEI: ZU69GUVJQGZ6Z1UOOO79 | Long             | STIV             | CORP              | US        |  15000000 | PA      | $14932125.00  | 1.00%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO                                   | PROCTER & GAMBLE COMPANY (THE) 4(2) CP 2/9/2023              | CUSIP: 74271UP95<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | STIV             | CORP              | US        |  14500000 | PA      | $14428428.00  | 0.96%             | 2023-02-09      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO                                   | PROCTER & GAMBLE COMPANY (THE) 4(2) CP 2/10/2023             | CUSIP: 74271UPA2<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | STIV             | CORP              | US        |  18500000 | PA      | $18406353.00  | 1.23%             | 2023-02-10      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                                 | PACCAR FINANCIAL CORP. CP 1/6/2023                           | CUSIP: 69372BN63<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | STIV             | CORP              | US        |  20000000 | PA      | $19983180.00  | 1.33%             | 2023-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STARBIRD FUNDING CORP                                 | STARBIRD FUNDING CORP 4(2) CP 1/3/2023                       | CUSIP: 85520MN33<br>LEI: 549300A8DDPP6QJBB522 | Long             | STIV             | CORP              | US        |   8500000 | PA      | $8495920.00   | 0.57%             | 2023-01-03      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | FSWP: IRS PAYFIX USD 1.867% 07-11-22/07-11-25 LCH            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3063985.60   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | FSWP: OIS PAYFIX USD 0.11% 05-18-23/05-18-24 LCH             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $4355975.84   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS PAYFIX USD 2.963% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $492811.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS PAYFIX USD 2.986% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $379714.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS RECFIX USD 2.925% 02-01-23/02-01-28 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-615872.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS RECFIX USD 2.92% 02-02-23/02-02-28 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-589270.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS RECFIX USD 0.833% 04-03-20/04-03-40 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-5962752.52  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS RECFIX USD 0.913% 06-09-20/06-09-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-5925138.50  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS PAYFIX USD 0.811% 07-27-20/07-27-50 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2474048.91   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 0.5385% 03-26-20/03-26-30 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $9492951.30   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 0.1275% 06-25-20/06-25-25 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1931390.91   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 0.126% 06-25-20/06-25-25 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1932092.40   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 0.106% 06-30-20/06-30-25 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2180553.35   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 0.666% 11-19-20/11-19-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3081229.50   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 0.241% 03-01-21/03-01-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-6210185.04  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 0.45801% 10-26-21/10-26-23 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1084275.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 0.471% 10-26-21/10-26-23 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1081133.50   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 3.497% 06-16-22/06-16-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-423991.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 3.4325% 06-17-22/06-17-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-328642.98   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 3.4585% 06-17-22/06-17-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-67312.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.345% 09-29-22/09-29-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-81700.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.197% 09-30-22/09-30-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-128373.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.1735% 09-30-22/09-30-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-138655.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.15% 10-06-22/10-06-24 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-143466.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.5645% 10-19-22/10-19-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-757.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.533% 10-20-22/10-20-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-5661.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.5245% 10-27-22/10-27-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-6495.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 4.56% 10-27-22/10-27-24 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $24.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 2.93542% 12-06-22/12-06-52 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $28762.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS PAYFIX USD 2.85282% 12-06-22/12-06-52 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $36590.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | SOFR 90DAY FUT SFRH3 06-20-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       270 | NC      | $919856.87    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 10YR FUT ULTRA UXYH3 03-22-23                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       164 | NC      | $-294218.97   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 20YR FUT USH3 03-22-23                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       447 | NC      | $-764746.36   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 10YR FUT TYH3 03-22-23                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       603 | NC      | $-373127.05   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 30YR FUT ULTRA WNH3 03-22-23                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        35 | NC      | $111306.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 5YR FUT FVH3 03-31-23                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3872 | NC      | $-536002.06   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 2YR FUT TUH3 03-31-23                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       298 | NC      | $147714.22    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | EURO$90DAY FUT EDU3 09-18-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1495 | NC      | $-15730793.71 | -1.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | EURO$90DAY FUT EDZ3 12-18-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       923 | NC      | $8804984.92   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | EURO$90DAY FUT EDZ4 12-16-24                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       885 | NC      | $4538953.04   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54781 03-01-48                                    | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35095 | PA      | $32693.01     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54699 03-01-48                                    | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21851 | PA      | $20453.24     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54831 03-01-48                                    | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17355 | PA      | $16244.17     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    106045 | PA      | $101713.45    | 0.01%             | 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        |     19943 | PA      | $20214.21     | 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        |     51290 | PA      | $47726.21     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q28558 09-01-44                                    | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    207820 | PA      | $194255.87    | 0.01%             | 2044-09-01      | 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        |     78281 | PA      | $75168.15     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54709 03-01-48                                    | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56176 | PA      | $52183.09     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q56590 06-01-48                                    | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27469 | PA      | $25505.25     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | 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        |     32729 | PA      | $33172.77     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 6.5 AL9870 02-01-28                                | CUSIP: 3138ER6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45303 | PA      | $46470.99     | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 6.5 735070 10-01-24                                | CUSIP: 31402QT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1128 | PA      | $1156.77      | 0.00%             | 2024-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q56589 06-01-48                                    | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17233 | PA      | $16053.04     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 CA4151 09-01-49                                | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    581840 | PA      | $545304.01    | 0.04%             | 2049-09-01      | Fixed         | 3.50%                 | 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        |      3310 | PA      | $3182.83      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE5017 02-01-45                                | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     62970 | PA      | $58664.21     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 6.5 745316 02-01-26                                | CUSIP: 31403DAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55794 | PA      | $57804.78     | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 940890 06-01-37                                | CUSIP: 31413BXT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       478 | PA      | $491.22       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | 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        |     80451 | PA      | $78878.16     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | 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        |      7639 | PA      | $7150.07      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 6.5 ZA2024 09-01-27                                | CUSIP: 31329KG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1800 | PA      | $1846.83      | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 BX1071 12-01-52                                | CUSIP: 3140N5FM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82383 | PA      | $84507.58     | 0.01%             | 2052-12-01      | Fixed         | 6.50%                 | 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        |     49839 | PA      | $46296.87     | 0.00%             | 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        |      7984 | PA      | $7481.09      | 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        |    113596 | PA      | $109079.50    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE8740 05-01-47                                | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     57132 | PA      | $53060.17     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BW1201 09-01-52                                | CUSIP: 3140MSKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4199814 | PA      | $4145669.87   | 0.28%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BX1766 11-01-52                                | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1900001 | PA      | $1875505.90   | 0.13%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54782 03-01-48                                    | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34009 | PA      | $31577.34     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    204468 | PA      | $202094.80    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q17696 04-01-43                                    | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29636 | PA      | $27800.00     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | 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        |     26052 | PA      | $25042.37     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BX0902 10-01-52                                | CUSIP: 3140N5AC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    915817 | PA      | $904010.76    | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QF0706 09-01-52                                | CUSIP: 3133BMYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     64457 | PA      | $63664.95     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QF0151 09-01-52                                | CUSIP: 3133BMEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    799174 | PA      | $788870.58    | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8286 01-01-53                                | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    199212 | PA      | $187054.89    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 CB3897 06-01-52                                | CUSIP: 3140QPKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16999984 | PA      | $15465361.31  | 1.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 SD1496 08-01-52                                | CUSIP: 3132DNUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     54290 | PA      | $53590.01     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54698 03-01-48                                    | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14415 | PA      | $13525.08     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    110316 | PA      | $108796.78    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BV0954 09-01-52                                | CUSIP: 3140MEBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1797169 | PA      | $1773999.88   | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QE6926 08-01-52                                | CUSIP: 3133BGVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    861673 | PA      | $850564.26    | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BM3788 03-01-48                                | CUSIP: 3140J8F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3242832 | PA      | $3017588.20   | 0.20%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    332601 | PA      | $299844.94    | 0.02%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 FS2489 08-01-52                                | CUSIP: 3140XHXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60071 | PA      | $59321.26     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BX1761 11-01-52                                | CUSIP: 3140N55X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    921029 | PA      | $909155.41    | 0.06%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                          | SCRT 17-3 MT 3.0% 07-25-56                                   | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    822033 | PA      | $723724.42    | 0.05%             | 2056-07-25      | Fixed         | 3.00%                 | 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        |    909895 | PA      | $799736.03    | 0.05%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM2179 01-01-50                                | CUSIP: 3140X5M59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3675290 | PA      | $3276840.73   | 0.22%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 ZT0522 09-01-48                                | CUSIP: 3132ACSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     21021 | PA      | $20631.06     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2               | SCRT 18-2 MA 3.5% 11-25-57                                   | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    251742 | PA      | $239362.49    | 0.02%             | 2057-11-26      | Fixed         | 3.50%                 | 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        |   1428724 | PA      | $1251727.70   | 0.08%             | 2060-07-01      | 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        |    227984 | PA      | $186682.29    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 5.0 C03518 09-01-40                                    | CUSIP: 31292K4B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    278579 | PA      | $282682.35    | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD0726 10-01-51                                | CUSIP: 3132DMYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14343662 | PA      | $12315554.46  | 0.82%             | 2051-10-01      | 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        |   2361488 | PA      | $2088093.55   | 0.14%             | 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        |    771670 | PA      | $651383.00    | 0.04%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5148 03-01-42                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1822622 | PA      | $1538506.40   | 0.10%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4540 02-01-42                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1366363 | PA      | $1153370.29   | 0.08%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4570 03-01-42                                | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    884243 | PA      | $746400.72    | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD7550 02-01-52                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3397172 | PA      | $3035349.02   | 0.20%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |    845073 | PA      | $755090.58    | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | 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        |  14058587 | PA      | $13011390.52  | 0.87%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM7687 06-01-51                                | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5752115 | PA      | $5108487.42   | 0.34%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD7553 03-01-52                                | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    308303 | PA      | $274117.33    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHR 1567 A FRN (L+40) 08-15-23                               | CUSIP: 3133T0WA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |       959 | PA      | $951.03       | 0.00%             | 2023-08-15      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QF2976 11-01-52                                | CUSIP: 3133BQJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     81253 | PA      | $80205.45     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BX0892 10-01-52                                | CUSIP: 3140N47E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    101849 | PA      | $100535.60    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4501 12-01-41                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2961291 | PA      | $2499723.33   | 0.17%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5138 12-01-41                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    794225 | PA      | $670430.84    | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QE8695 08-01-52                                | CUSIP: 3133BJUU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     58861 | PA      | $58102.37     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QF1305 10-01-52                                | CUSIP: 3133BNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     73869 | PA      | $72917.14     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QE8282 08-01-52                                | CUSIP: 3133BJFX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    816898 | PA      | $806366.67    | 0.05%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BV2558 06-01-52                                | CUSIP: 3140MFZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     62144 | PA      | $61342.91     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BW9411 08-01-52                                | CUSIP: 3140N2N56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    925651 | PA      | $913717.85    | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 FS2159 06-01-52                                | CUSIP: 3140XHMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64079 | PA      | $63422.34     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | 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        |     10660 | PA      | $8716.47      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AI3510 06-01-41                                | CUSIP: 3138AG3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    204724 | PA      | $206945.35    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QE7647 08-01-52                                | CUSIP: 3133BHP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     57530 | PA      | $56788.01     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.5 MA4852 11-01-52                                | CUSIP: 31418EMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    244270 | PA      | $250575.49    | 0.02%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AI1862 05-01-41                                | CUSIP: 3138AFB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    372100 | PA      | $376139.22    | 0.03%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AJ0704 09-01-41                                | CUSIP: 3138ARYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    173628 | PA      | $176428.04    | 0.01%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.5 BX1274 11-01-52                                | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    165027 | PA      | $165721.01    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CB3495 05-01-52                                | CUSIP: 3140QN3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5807463 | PA      | $5102866.34   | 0.34%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AJ5391 11-01-41                                | CUSIP: 3138AW7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    125271 | PA      | $126970.55    | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 5.0 G06459 05-01-41                                    | CUSIP: 3128M8QL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    659778 | PA      | $669487.11    | 0.04%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 CB5380 10-01-52                                | CUSIP: 3140QQ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    478172 | PA      | $472007.41    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BX1072 12-01-52                                | CUSIP: 3140N5FN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1942941 | PA      | $1917892.60   | 0.13%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 SD1710 10-01-52                                | CUSIP: 3132DN3T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25999 | PA      | $25759.19     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BW8088 09-01-52                                | CUSIP: 3140N07A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    326987 | PA      | $322771.26    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | 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        |     37190 | PA      | $30446.42     | 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        |     61857 | PA      | $50600.64     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 QF0311 09-01-52                                | CUSIP: 3133BMKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1323952 | PA      | $1306883.17   | 0.09%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BX4020 12-01-52                                | CUSIP: 3140N8PE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29481 | PA      | $29100.93     | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8106 11-01-50                                | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2906380 | PA      | $2379476.33   | 0.16%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 8D0226 05-01-52                                    | CUSIP: 3142BNHB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    513414 | PA      | $461599.60    | 0.03%             | 2052-05-01      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 6.0 MA4894 01-01-53                                | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2032316.00   | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNA 14-M3 A2 (MF) 3.46% 01-25-24                             | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    367924 | PA      | $361262.78    | 0.02%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FS0647 02-01-52                                | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3881485 | PA      | $3464753.45   | 0.23%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |    487685 | PA      | $399810.24    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K040   | FHMS K040 A2 (MF) 3.241% 09-25-24                            | CUSIP: 3137BEVH4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1363000 | PA      | $1328488.84   | 0.09%             | 2024-09-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNR 01-4 GA WAC FRN 04-17-25                                 | CUSIP: 31359SGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |         2 | PA      | $1.77         | 0.00%             | 2025-04-17      | Variable      | 9.00%                 | 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        |  11869963 | PA      | $11716935.04  | 0.78%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM9416 07-01-45                                | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4486860 | PA      | $4154626.35   | 0.28%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNR 2001-4 NA WAC FRN 10-25-25                               | CUSIP: 31359SGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |        49 | PA      | $49.32        | 0.00%             | 2025-10-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q23190 125K MAX 11-01-43                           | CUSIP: 3132M3F77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    145172 | PA      | $140175.64    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM3280 05-01-49                                | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1170108 | PA      | $1084084.12   | 0.07%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 MA4732 09-01-52                                | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2012351 | PA      | $1889546.98   | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNA 14-M1 A2 (MF) FRN 07-25-23                               | CUSIP: 3136AH2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    186484 | PA      | $184720.71    | 0.01%             | 2023-07-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 6.0 782365 07-15-38                                     | CUSIP: 36241KTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84318 | PA      | $89466.38     | 0.01%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD7552 01-01-52                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    332882 | PA      | $284639.09    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 MA4700 08-01-52                                | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6346262 | PA      | $5958987.90   | 0.40%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 5.5 700778 10-15-38                                     | CUSIP: 36296TQ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20667 | PA      | $21350.94     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 5.5 698668 11-15-38                                     | CUSIP: 36296RFH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28432 | PA      | $28864.67     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 6.5 004269 10-20-38                                     | CUSIP: 36202EW62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    163999 | PA      | $175550.60    | 0.01%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 5.0 698406 07-15-39                                     | CUSIP: 36296Q3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186040 | PA      | $189960.56    | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.5 783689 02-20-40                                     | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2598355 | PA      | $2757547.93   | 0.18%             | 2040-02-20      | Fixed         | 5.50%                 | 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        |     80910 | PA      | $85622.86     | 0.01%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 783688 06-20-41                                     | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    870482 | PA      | $894015.67    | 0.06%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 783687 12-20-41                                     | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    570089 | PA      | $562171.83    | 0.04%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.0 MA0533 11-20-42                                     | CUSIP: 36179MSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19060 | PA      | $17418.57     | 0.00%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.5 TBA 01-01-53                                        | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14351337 | PA      | $14436067.29  | 0.96%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 2.0 TBA 01-01-53                                        | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1394822 | PA      | $1169284.86   | 0.08%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.5 TBA 01-01-53                                        | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2260000 | PA      | $2076777.28   | 0.14%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 2.5 TBA 01-01-53                                        | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2485737 | PA      | $2154703.95   | 0.14%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.0 TBA 01-01-53                                        | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1755000 | PA      | $1563092.51   | 0.10%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 TBA 01-01-53                                        | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6848000 | PA      | $6786655.62   | 0.45%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 MA8488 12-20-52                                     | CUSIP: 36179XND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3100000 | PA      | $2936357.20   | 0.20%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA8347 10-20-52                                     | CUSIP: 36179XHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    675031 | PA      | $655569.50    | 0.04%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA8427 11-20-52                                     | CUSIP: 36179XLG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32820315 | PA      | $31874072.88  | 2.12%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA8489 12-20-52                                     | CUSIP: 36179XNE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13100000 | PA      | $12721632.70  | 0.85%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 MA8426 11-20-52                                     | CUSIP: 36179XLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  28092335 | PA      | $26611363.34  | 1.77%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1               | SCRT 17-1 HA FRN 01-25-56                                    | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4524926 | PA      | $4234375.59   | 0.28%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2               | SCRT 17-2 HA FRN 08-25-56                                    | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4134594 | PA      | $3865812.67   | 0.26%             | 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        |   4525027 | PA      | $4203913.43   | 0.28%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4               | SCRT 17-4 HT FRN% 06-25-57                                   | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1311279 | PA      | $1196710.00   | 0.08%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2               | SCRT 18-2 MT 3.5% 11-25-57                                   | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4147618 | PA      | $3752524.07   | 0.25%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Analyst