# EDGAR Filing Document

**Accession Number:** 0000356349
**File Stem:** 0002071691-26-008227
**Filing Date:** 2026-4
**Character Count:** 335825
**Document Hash:** 119cb7b8e2a2245749210c9405dddeef
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-008227.hdr.sgml**: 20260422

**ACCESSION NUMBER**: 0002071691-26-008227

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260422

**DATE AS OF CHANGE**: 20260422

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XIII
- **CENTRAL INDEX KEY:** 0000356349

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03327
- **FILM NUMBER:** 26882501

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT SECURITIES FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT GUARANTEED SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19910522

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WORKING CAPITAL TRUST
- **DATE OF NAME CHANGE:** 19840529

## Series and Classes Contracts Data

### MFS Government Securities Fund (Series ID: S000000693)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002006 | I            | MGSIX           |
| C000002007 | A            | MFGSX           |
| C000002008 | R4           | MFGJX           |
| C000002012 | B            | MFGBX           |
| C000002013 | C            | MFGDX           |
| C000002015 | R1           | MFGGX           |
| C000002017 | R2           | MGVSX           |
| C000002018 | R3           | MFGHX           |
| C000117927 | R6           | MFGKX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS Series Trust XIII

- **b. Investment Company Act file number:** 811-03327

- **c. CIK number of Registrant:** 0000356349

- **d. LEI of Registrant:** 5493000SCRZM3WD72S74

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

  - **Street Address 1:** 111 Huntington Avenue

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

  - **Telephone number:** 617-954-5000

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

- **a. Name of Series:** MFS Government Securities Fund

- **b. EDGAR series identifier (if any):** S000000693

- **c. LEI of Series:** UWWK6TDSOPDQSQMMEB12

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

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

- **b. Date as of which information is reported:** 2026-02-28

**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:** $2154237773.47

**Total Liabilities:** $128331379.64

**Net Assets:** $2025906393.83

**Delayed Delivery Securities:** $121581352.54

**Cash Not Reported:** $290539.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1871.83566600 | **1-Year:** -14569.12742520 | **5-Year:** -16345.59169010 | **10-Year:** -86099.16307070 | **30-Year:** -51434.10828400

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

- **3-Month:** -1534.99703660 | **1-Year:** -12487.44981830 | **5-Year:** -12502.60633310 | **10-Year:** -4661.77120710 | **30-Year:** -2234.14141810

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002006 | -0.27%               | 0.19%                | 1.69%                |
| Class ID C000002007 | -0.40%               | 0.17%                | 1.66%                |
| Class ID C000002008 | -0.26%               | 0.19%                | 1.68%                |
| Class ID C000002012 | -0.35%               | 0.11%                | 1.60%                |
| Class ID C000002013 | -0.35%               | 0.11%                | 1.60%                |
| Class ID C000002015 | -0.35%               | 0.11%                | 1.49%                |
| Class ID C000002017 | -0.42%               | 0.15%                | 1.65%                |
| Class ID C000002018 | -0.29%               | 0.17%                | 1.66%                |
| Class ID C000117927 | -0.26%               | 0.20%                | 1.69%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-930000.47              | $-7701173.31                               |
| Month 2  | $-936312.26              | $933533.49                                 |
| Month 3  | $20192.50                | $20953668.13                               |

**Designated Index Information**

- **Index Name:** BBG U.S. Govt/Mortgage Bond Index

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACREC Ltd.                                     | ACREC Ltd., Series 2021-FL1, Class AS                                           | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1977559 | PA      | $1978047.76   | 0.10%             | 2036-10-16      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20450000 | PA      | $16937381.62  | 0.84%             | 2056-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  39725000 | PA      | $32907795.53  | 1.62%             | 2056-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4575000 | PA      | $4136660.51   | 0.20%             | 2056-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8800000 | PA      | $8292067.96   | 0.41%             | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3800000 | PA      | $3757630.72   | 0.19%             | 2056-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust   | American Credit Acceptance Receivables Trust, Series 2026-1, Class A            | CUSIP: 02531FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9100000 | PA      | $9100074.62   | 0.45%             | 2029-07-12      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| AREIT Trust                                    | AREIT Trust, Series 2022-CRE6, Class AS                                         | CUSIP: 04002VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7155500 | PA      | $7130270.35   | 0.35%             | 2037-01-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                          | ARI Fleet Lease Trust, Series 2023-B, Class A2                                  | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473270 | PA      | $476354.44    | 0.02%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                           | BBCMS Mortgage Trust, Series 2021-C9, Class XA                                  | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13123259 | PA      | $789944.05    | 0.04%             | 2054-02-15      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                           | BBCMS Mortgage Trust, Series 2022-C18, Class XA                                 | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22353733 | PA      | $734011.64    | 0.04%             | 2055-12-15      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                    | BBCMS Trust, Series 2021-C10, Class XA                                          | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18985941 | PA      | $903301.70    | 0.04%             | 2054-07-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                        | BDS LLC, Series 2024-FL13, Class A                                              | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1558000 | PA      | $1561757.90   | 0.08%             | 2039-09-19      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                      | BXMT Ltd., Series 2021-FL4, Class AS                                            | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7779500 | PA      | $7731776.66   | 0.38%             | 2038-05-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN35, Class XA                                                | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13117470 | PA      | $515011.54    | 0.03%             | 2064-06-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN31, Class XA                                                | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32362903 | PA      | $1597597.96   | 0.08%             | 2054-02-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN32, Class XA                                                | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18817966 | PA      | $521069.48    | 0.03%             | 2054-04-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                               | Barings CLO Ltd., Series 2021-3A, Class B1R                                     | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5511962.50   | 0.27%             | 2035-01-18      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B23, Class XA                             | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43088380 | PA      | $1905704.24   | 0.09%             | 2054-02-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B24, Class XA                             | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26036848 | PA      | $1020144.52   | 0.05%             | 2054-03-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B26, Class XA                             | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36921690 | PA      | $1141437.74   | 0.06%             | 2054-06-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B28, Class XA                             | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38965459 | PA      | $1841745.30   | 0.09%             | 2054-08-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B27, Class XA                             | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32591591 | PA      | $1480349.19   | 0.07%             | 2054-07-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B29, Class XA                             | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44636811 | PA      | $1495667.96   | 0.07%             | 2054-09-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class A                            | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    879255 | PA      | $909741.50    | 0.04%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-CBM, Class A2                                  | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395974 | PA      | $1427905.23   | 0.07%             | 2041-12-10      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                      | Chesapeake Funding II LLC, Series 2023-2A, Class A2                             | CUSIP: 165183DA9<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1192000 | PA      | $1196976.80   | 0.06%             | 2035-10-15      | Floating      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class XA                   | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20841991 | PA      | $577448.21    | 0.03%             | 2072-12-15      | Variable      | 0.81%                 | Yes           |                  2 | On Loan: No      |
| Conservation Fund A Nonprofit Corp. (The)      | Conservation Fund A Nonprofit Corp. (The), Series 2019                          | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2018000 | PA      | $1952176.47   | 0.10%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7275000 | PA      | $7299682.55   | 0.36%             | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                      | EQT Trust, Series 2024-EXTR, Class B                                            | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503054 | PA      | $1537189.56   | 0.08%             | 2041-07-05      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128K8GJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39745 | PA      | $40912.99     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128KYA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111238 | PA      | $117376.70    | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78580 | PA      | $81898.47     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193562 | PA      | $202849.29    | 0.01%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXC57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222239 | PA      | $227291.20    | 0.01%             | 2030-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119838 | PA      | $125344.56    | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57246 | PA      | $58928.42     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34165 | PA      | $35735.46     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M4GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16910 | PA      | $17272.68     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74183 | PA      | $77654.04     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M5HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29107 | PA      | $30800.38     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81351 | PA      | $85090.23     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6HH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12860 | PA      | $13389.60     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65023 | PA      | $66947.80     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6K49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38490 | PA      | $40238.81     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60320 | PA      | $62979.60     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223489 | PA      | $236451.78    | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M72C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56793 | PA      | $59402.88     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132953 | PA      | $136915.00    | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83966 | PA      | $85249.46     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245756 | PA      | $253724.74    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253969 | PA      | $262252.53    | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542285 | PA      | $550521.91    | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700324 | PA      | $681969.12    | 0.03%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633719 | PA      | $632601.54    | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295317 | PA      | $308892.05    | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1683631 | PA      | $1625906.22   | 0.08%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162309 | PA      | $1085179.01   | 0.05%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925436 | PA      | $892990.01    | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224580 | PA      | $223986.87    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167506 | PA      | $1118930.00   | 0.06%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292HVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97097 | PA      | $100260.00    | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30633 | PA      | $31381.19     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1021355 | PA      | $993006.37    | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002666 | PA      | $971109.66    | 0.05%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4488547 | PA      | $4347278.65   | 0.21%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201321 | PA      | $206796.62    | 0.01%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91469 | PA      | $94295.77     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312934RV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166655 | PA      | $171803.50    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312940BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92194 | PA      | $94535.68     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312940ZV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34409 | PA      | $35284.36     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175934 | PA      | $177656.27    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3129456R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804241 | PA      | $829356.83    | 0.04%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166225 | PA      | $168717.82    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31296L3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18879 | PA      | $19199.22     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31296LFZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17712 | PA      | $18013.16     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54670 | PA      | $55663.62     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297DCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1544 | PA      | $1602.64      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48836 | PA      | $50943.70     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1311023 | PA      | $1259257.90   | 0.06%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132CWVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54469 | PA      | $52230.69     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30922 | PA      | $27273.55     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DMWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1063753 | PA      | $846619.11    | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183528 | PA      | $145732.84    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129495 | PA      | $1024140.69   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2560772 | PA      | $2135160.25   | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811033 | PA      | $707875.30    | 0.03%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1955371 | PA      | $2021788.38   | 0.10%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DQMV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55645 | PA      | $57551.89     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DSRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508637 | PA      | $513033.50    | 0.03%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DTZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032667 | PA      | $1090148.91   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91473 | PA      | $79864.54     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291802 | PA      | $232180.32    | 0.01%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32565 | PA      | $28463.46     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3734671 | PA      | $2970297.18   | 0.15%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115558 | PA      | $100968.01    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159880 | PA      | $139619.63    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311708 | PA      | $247515.01    | 0.01%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390235 | PA      | $324014.02    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7065630 | PA      | $6402932.24   | 0.32%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5905684 | PA      | $4913566.99   | 0.24%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8118071 | PA      | $7077928.22   | 0.35%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663044 | PA      | $577883.54    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13125106 | PA      | $11894046.07  | 0.59%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2406065 | PA      | $2429125.88   | 0.12%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20227 | PA      | $20468.10     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1607399 | PA      | $1618110.14   | 0.08%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1944450 | PA      | $2008754.34   | 0.10%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339248 | PA      | $350194.54    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2115214 | PA      | $2182617.78   | 0.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4510558 | PA      | $4588064.33   | 0.23%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4055985 | PA      | $4125680.18   | 0.20%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686280 | PA      | $705468.56    | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446481 | PA      | $448985.67    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3376593 | PA      | $3433927.25   | 0.17%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12221004 | PA      | $12536793.09  | 0.62%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1584445 | PA      | $1625526.43   | 0.08%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GETS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164228 | PA      | $166422.06    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GEV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292281 | PA      | $301317.34    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672510 | PA      | $653635.43    | 0.03%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132HL3J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323467 | PA      | $305319.29    | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810218 | PA      | $794019.56    | 0.04%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370355 | PA      | $348728.69    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266025 | PA      | $251042.73    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    727492 | PA      | $685464.29    | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4931573 | PA      | $4650767.21   | 0.23%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806314 | PA      | $800409.44    | 0.04%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778500 | PA      | $751811.46    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686051 | PA      | $659557.30    | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886308 | PA      | $898774.15    | 0.04%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335B7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1043522 | PA      | $1091186.35   | 0.05%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    963023 | PA      | $992693.20    | 0.05%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A2EK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1072478 | PA      | $988824.94    | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1068174 | PA      | $983824.09    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2096536 | PA      | $1761309.72   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3893128 | PA      | $3553139.96   | 0.18%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934330 | PA      | $889269.97    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3608151 | PA      | $3141378.93   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BRUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184144 | PA      | $187696.99    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BUYL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489083 | PA      | $498719.89    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BUZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29017 | PA      | $29233.40     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236496 | PA      | $241561.44    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133C4BS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118641 | PA      | $121861.07    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133C8L60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1824387 | PA      | $1877951.50   | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CAS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306802 | PA      | $317039.14    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CC5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33273 | PA      | $34293.62     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CMP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763176 | PA      | $783693.22    | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CNU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298646 | PA      | $308042.81    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CUD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666334 | PA      | $669912.35    | 0.03%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CYR59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1766994 | PA      | $1779528.85   | 0.09%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133D16K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405350 | PA      | $407729.20    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660633 | PA      | $548838.71    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314002 | PA      | $274113.27    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2865494 | PA      | $2531025.02   | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3733588 | PA      | $3292813.70   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1494970 | PA      | $1296510.58   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392133 | PA      | $340069.92    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3680471 | PA      | $3602913.20   | 0.18%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4968296 | PA      | $4378512.78   | 0.22%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 406, Class F36                                                    | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463251 | PA      | $471110.21    | 0.02%             | 2053-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133W93M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306777 | PA      | $322458.88    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133WEUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356464 | PA      | $365926.49    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47260 | PA      | $48546.21     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2011-123, Class JF                                                 | CUSIP: 3136A2PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274271 | PA      | $273633.29    | 0.01%             | 2041-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-23, Class CE                                                  | CUSIP: 3136A4ES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1228148 | PA      | $1273747.88   | 0.06%             | 2042-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-40, Class PE                                                  | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1099389 | PA      | $1066975.57   | 0.05%             | 2041-04-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-44, Class IK                                                  | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58086 | PA      | $1752.53      | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-93, Class ME                                                  | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247694 | PA      | $1208182.38   | 0.06%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-137, Class UE                                                 | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828638 | PA      | $802373.10    | 0.04%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-1, Class YI                                                   | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775739 | PA      | $51125.91     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-43, Class MA                                                  | CUSIP: 3136ADY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1551066 | PA      | $1492748.29   | 0.07%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-56, Class PK                                                  | CUSIP: 3136AEZE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012944 | PA      | $984815.05    | 0.05%             | 2043-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-81, Class KA                                                  | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772739 | PA      | $754971.85    | 0.04%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-101, Class AO                                                 | CUSIP: 3136AGYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1947144 | PA      | $1501009.67   | 0.07%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-3, Class PC                                                   | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498386 | PA      | $490942.04    | 0.02%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-4, Class LI                                                   | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623466 | PA      | $44767.75     | 0.00%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-90, Class UQ                                                  | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380636 | PA      | $373114.78    | 0.02%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-87, Class BF                                                  | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512159 | PA      | $507203.12    | 0.03%             | 2045-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-30, Class PA                                                  | CUSIP: 3136AR2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646955 | PA      | $626896.32    | 0.03%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-19, Class AD                                                  | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692275 | PA      | $653255.57    | 0.03%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-64, Class SA                                                  | CUSIP: 3136ATTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554934 | PA      | $188245.71    | 0.01%             | 2046-09-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-82, Class FD                                                  | CUSIP: 3136AUAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5376554 | PA      | $5350748.52   | 0.26%             | 2046-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2017-33, Class LB                                                  | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1707855 | PA      | $1638026.68   | 0.08%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2017-30, Class VH                                                  | CUSIP: 3136AWQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618322 | PA      | $610774.08    | 0.03%             | 2030-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2018-73, Class MV                                                  | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629115 | PA      | $622659.15    | 0.03%             | 2030-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-49, Class JA                                                  | CUSIP: 3136BAF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1023794 | PA      | $968454.10    | 0.05%             | 2044-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-67, Class IH                                                  | CUSIP: 3136BBP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3373343 | PA      | $453801.01    | 0.02%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-65, Class EI                                                  | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2726868 | PA      | $521608.19    | 0.03%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-1, Class IH                                                   | CUSIP: 3136BDV96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1800742 | PA      | $257220.82    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-10, Class AC                                                  | CUSIP: 3136BFMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1318521 | PA      | $1187266.32   | 0.06%             | 2041-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-95, Class GI                                                  | CUSIP: 3136BKWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485841 | PA      | $77216.09     | 0.00%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-29, Class MG                                                  | CUSIP: 3136BM3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431387 | PA      | $439426.78    | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2023-54, Class FD                                                  | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3684358 | PA      | $3746865.18   | 0.18%             | 2053-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2023-53, Class FJ                                                  | CUSIP: 3136BQUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8274395 | PA      | $8458181.65   | 0.42%             | 2053-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-33, Class PF                                                  | CUSIP: 3136BSEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1730829 | PA      | $1740320.77   | 0.09%             | 2053-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-46, Class AM                                                  | CUSIP: 3136BSJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2752331 | PA      | $2850386.04   | 0.14%             | 2054-07-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-88, Class FA                                                  | CUSIP: 3136BT5M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8876864 | PA      | $8931358.99   | 0.44%             | 2054-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-88, Class FC                                                  | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6923560 | PA      | $7002076.04   | 0.35%             | 2054-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-83, Class FA                                                  | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2992086 | PA      | $3015134.31   | 0.15%             | 2054-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-77, Class FM                                                  | CUSIP: 3136BTRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6738231 | PA      | $6765531.14   | 0.33%             | 2054-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2025-11, Class FM                                                  | CUSIP: 3136BUX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3878439 | PA      | $3932244.53   | 0.19%             | 2055-03-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28678 | PA      | $30297.52     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371KN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3085 | PA      | $3227.91      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121454 | PA      | $125261.56    | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31376KQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191531 | PA      | $200114.55    | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3845, Class AI                                                    | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225843 | PA      | $33938.03     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3923, Class DA                                                    | CUSIP: 3137AFKG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256010 | PA      | $1255379.57   | 0.06%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4096, Class DZ                                                    | CUSIP: 3137ATAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1310679 | PA      | $1267096.66   | 0.06%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4150, Class UK                                                    | CUSIP: 3137AYB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632309 | PA      | $606004.55    | 0.03%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4184, Class GM                                                    | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896773 | PA      | $884748.69    | 0.04%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4243, Class BZ                                                    | CUSIP: 3137B45J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4494902 | PA      | $4447351.03   | 0.22%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4263, Class FB                                                    | CUSIP: 3137B5QC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1213363 | PA      | $1206584.38   | 0.06%             | 2043-11-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4474, Class HJ                                                    | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188631 | PA      | $183727.46    | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4471, Class PI                                                    | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31778 | PA      | $2957.45      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4566, Class PG                                                    | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1365492 | PA      | $1317186.56   | 0.07%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4604, Class FB                                                    | CUSIP: 3137BRN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309002 | PA      | $306934.22    | 0.02%             | 2046-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class A2   | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25547673 | PA      | $25399154.30  | 1.25%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K059, Class A2   | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11939904 | PA      | $11875704.58  | 0.59%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K062, Class A2   | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16544162 | PA      | $16470120.08  | 0.81%             | 2026-12-25      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K065, Class A2   | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10090226 | PA      | $10027344.72  | 0.49%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A1   | CUSIP: 3137F2L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551330 | PA      | $549867.57    | 0.03%             | 2026-12-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A2   | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20616052 | PA      | $20454857.15  | 1.01%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class X1   | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 135662221 | PA      | $703435.75    | 0.03%             | 2028-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K075, Class X1   | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 164479153 | PA      | $449554.42    | 0.02%             | 2028-02-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K118, Class XAM  | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6568138 | PA      | $314150.76    | 0.02%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5034, Class IJ                                                    | CUSIP: 3137F6JS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3592576 | PA      | $599956.98    | 0.03%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K740, Class A2   | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4449444.30   | 0.22%             | 2027-09-25      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM  | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13158725 | PA      | $603572.29    | 0.03%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K124, Class XAM  | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14681587 | PA      | $597176.49    | 0.03%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K125, Class XAM  | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19512958 | PA      | $697910.21    | 0.03%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K067, Class X1   | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  98594730 | PA      | $606199.84    | 0.03%             | 2027-07-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class X1   | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76199372 | PA      | $416962.96    | 0.02%             | 2027-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2   | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6876682 | PA      | $6822801.13   | 0.34%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class X1   | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1302330 | PA      | $7871.81      | 0.00%             | 2027-12-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K073, Class X1   | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56814646 | PA      | $296731.53    | 0.01%             | 2028-01-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class A2   | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1867674 | PA      | $1874620.25   | 0.09%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class X1   | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 106766413 | PA      | $297792.88    | 0.01%             | 2028-04-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K741, Class A2   | CUSIP: 3137FF3X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8214550 | PA      | $7930856.05   | 0.39%             | 2027-12-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4851, Class MS                                                    | CUSIP: 3137FKAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2888304 | PA      | $422440.14    | 0.02%             | 2057-08-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K097, Class X1   | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18663992 | PA      | $603992.92    | 0.03%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1   | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32824818 | PA      | $1146590.60   | 0.06%             | 2029-08-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K737, Class A2   | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10822583 | PA      | $10734453.62  | 0.53%             | 2026-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K106, Class X1   | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26162488 | PA      | $1196402.72   | 0.06%             | 2030-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K107, Class X1   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19172930 | PA      | $1014802.08   | 0.05%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K738, Class XAM  | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5583000 | PA      | $69863.43     | 0.00%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K109, Class XAM  | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14430646 | PA      | $951555.35    | 0.05%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM  | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20077463 | PA      | $1378175.28   | 0.07%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM  | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26880424 | PA      | $1856964.20   | 0.09%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM  | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12033779 | PA      | $765197.92    | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K113, Class X1   | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29117530 | PA      | $1416835.72   | 0.07%             | 2030-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class X1   | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19767777 | PA      | $804935.98    | 0.04%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class XAM  | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11124134 | PA      | $576298.00    | 0.03%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM  | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10235210 | PA      | $648106.80    | 0.03%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5085, Class IK                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7420980 | PA      | $1191612.06   | 0.06%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K126, Class XAM  | CUSIP: 3137FXYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70182335 | PA      | $1723116.69   | 0.09%             | 2031-01-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K127, Class X1   | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49632310 | PA      | $603886.24    | 0.03%             | 2031-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39914940 | PA      | $841834.03    | 0.04%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class XAM  | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17260719 | PA      | $583003.22    | 0.03%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K129, Class XAM  | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7120528 | PA      | $394508.58    | 0.02%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K130, Class XAM  | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22560568 | PA      | $1327195.35   | 0.07%             | 2031-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM  | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11674001 | PA      | $537030.90    | 0.03%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class X1   | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14842988 | PA      | $353598.57    | 0.02%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class XAM  | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48419608 | PA      | $1993783.88   | 0.10%             | 2031-09-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class XAM  | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50814178 | PA      | $1358415.42   | 0.07%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K134, Class XAM  | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73361326 | PA      | $1331962.91   | 0.07%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM  | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12187459 | PA      | $338944.20    | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K137, Class XAM  | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73957916 | PA      | $1844088.86   | 0.09%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K139, Class XAM  | CUSIP: 3137H6LS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49680895 | PA      | $2011137.28   | 0.10%             | 2032-02-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K145, Class XAM  | CUSIP: 3137H7Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 116203070 | PA      | $2232109.91   | 0.11%             | 2032-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-152, Class XAM | CUSIP: 3137H9MC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  74026378 | PA      | $913011.74    | 0.05%             | 2032-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K751, Class XAM  | CUSIP: 3137HA4F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64696386 | PA      | $777398.24    | 0.04%             | 2061-03-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-157, Class XAM | CUSIP: 3137HAAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64115960 | PA      | $1307612.95   | 0.06%             | 2033-05-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-159, Class XAM | CUSIP: 3137HAMF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78666400 | PA      | $944752.00    | 0.05%             | 2033-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-161, Class XAM | CUSIP: 3137HB3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  75772703 | PA      | $1215507.82   | 0.06%             | 2033-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K511, Class X1   | CUSIP: 3137HB3H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39439035 | PA      | $434401.25    | 0.02%             | 2028-10-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5367, Class MF                                                    | CUSIP: 3137HB7A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3486475 | PA      | $3502024.53   | 0.17%             | 2053-12-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5376, Class FA                                                    | CUSIP: 3137HBDZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1315047 | PA      | $1326362.61   | 0.07%             | 2054-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5370, Class FC                                                    | CUSIP: 3137HBFQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4916161 | PA      | $4966075.30   | 0.25%             | 2054-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K755, Class XAM  | CUSIP: 3137HCKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18431877 | PA      | $366326.18    | 0.02%             | 2031-02-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K522, Class X1   | CUSIP: 3137HDJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56070175 | PA      | $728435.68    | 0.04%             | 2029-05-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5451, Class FA                                                    | CUSIP: 3137HFL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8769096 | PA      | $8834416.18   | 0.44%             | 2054-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K528, Class X1   | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31354116 | PA      | $822013.99    | 0.04%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-165, Class XAM | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9883118 | PA      | $671742.68    | 0.03%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5483, Class FD                                                    | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5714098 | PA      | $5779687.10   | 0.29%             | 2054-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5481, Class FC                                                    | CUSIP: 3137HHQ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13109710 | PA      | $13288654.99  | 0.66%             | 2054-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5492, Class MB                                                    | CUSIP: 3137HHZ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2198824 | PA      | $2221331.42   | 0.11%             | 2055-01-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-168, Class XAM | CUSIP: 3137HJ6F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 119066272 | PA      | $1079395.29   | 0.05%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-169, Class XAM | CUSIP: 3137HK2F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47468092 | PA      | $1075717.15   | 0.05%             | 2035-01-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K538, Class X1   | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19128835 | PA      | $396634.48    | 0.02%             | 2030-01-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5548                                                              | CUSIP: 3137HLJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1884354 | PA      | $302611.75    | 0.01%             | 2052-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5575, Class MB                                                    | CUSIP: 3137HN3C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842473 | PA      | $879428.06    | 0.04%             | 2055-09-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K546, Class A2   | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3877551 | PA      | $3961185.51   | 0.20%             | 2030-05-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K547, Class X1   | CUSIP: 3137HN6D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25631475 | PA      | $423175.65    | 0.02%             | 2030-05-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-176, Class XAM | CUSIP: 3137HPUH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 114495340 | PA      | $1049075.00   | 0.05%             | 2035-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128623 | PA      | $135444.58    | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79126 | PA      | $82315.03     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35770 | PA      | $37138.08     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54940 | PA      | $56528.53     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108100 | PA      | $111093.68    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31389QN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34084 | PA      | $35340.71     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686397 | PA      | $678661.20    | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115005 | PA      | $1148212.11   | 0.06%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196444 | PA      | $1195499.43   | 0.06%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352042 | PA      | $357024.88    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627313 | PA      | $635427.01    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542320 | PA      | $549335.35    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462195 | PA      | $475893.92    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815137 | PA      | $792896.61    | 0.04%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1299719 | PA      | $1297624.03   | 0.06%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478156 | PA      | $477090.09    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1609204 | PA      | $1602389.17   | 0.08%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901615 | PA      | $928466.51    | 0.05%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284152 | PA      | $1300762.36   | 0.06%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5168120 | PA      | $5234967.02   | 0.26%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583983 | PA      | $579044.65    | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477542 | PA      | $493010.27    | 0.02%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359260 | PA      | $357942.28    | 0.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1194099 | PA      | $1209539.60   | 0.06%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533618 | PA      | $531770.53    | 0.03%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754567 | PA      | $763061.57    | 0.04%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2180195 | PA      | $2171523.61   | 0.11%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520255 | PA      | $518212.34    | 0.03%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1346342 | PA      | $1341459.82   | 0.07%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045839 | PA      | $1059572.52   | 0.05%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324804 | PA      | $323612.49    | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526988 | PA      | $525027.78    | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339325 | PA      | $337346.69    | 0.02%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326952 | PA      | $323481.62    | 0.02%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2240185 | PA      | $2172345.40   | 0.11%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519373 | PA      | $514927.43    | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345792 | PA      | $333566.90    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406285 | PA      | $391919.19    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372660 | PA      | $359483.60    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876738 | PA      | $845735.83    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427980 | PA      | $413163.46    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783837 | PA      | $694945.45    | 0.03%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020451 | PA      | $981740.05    | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1342193 | PA      | $1194291.91   | 0.06%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558477 | PA      | $540588.62    | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318892 | PA      | $308019.23    | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2176384 | PA      | $2103875.12   | 0.10%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31390YPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29602 | PA      | $30693.32     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31391WVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218482 | PA      | $224008.87    | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 2526, Class FA                                                    | CUSIP: 31393FGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33854 | PA      | $33845.89     | 0.00%             | 2032-11-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2004-60, Class FW                                                  | CUSIP: 31394AWL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44730 | PA      | $44729.03     | 0.00%             | 2034-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3113, Class QE                                                    | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368012 | PA      | $378841.70    | 0.02%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3233, Class PA                                                    | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1424642 | PA      | $1502383.09   | 0.07%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2011-62, Class KF                                                  | CUSIP: 31397U6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236287 | PA      | $235676.55    | 0.01%             | 2041-07-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3575, Class ZA                                                    | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243783 | PA      | $1278354.35   | 0.06%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2010-116, Class BM                                                 | CUSIP: 31398NQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237079 | PA      | $237890.63    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3632, Class PK                                                    | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923160 | PA      | $945704.27    | 0.05%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132164 | PA      | $134467.52    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269782 | PA      | $278273.29    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138142 | PA      | $144646.31    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863756 | PA      | $892075.27    | 0.04%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167413 | PA      | $171966.10    | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402TBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98310 | PA      | $99881.79     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77504 | PA      | $80978.19     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268466 | PA      | $276160.85    | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223703 | PA      | $233727.09    | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404BRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142774 | PA      | $146368.04    | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404JT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70373 | PA      | $72005.20     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37192 | PA      | $37787.00     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31405PNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58563 | PA      | $59764.50     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406B2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88791 | PA      | $91208.24     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406LYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10519 | PA      | $10768.84     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406PDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112496 | PA      | $117015.54    | 0.01%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31490 | PA      | $32366.17     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43844 | PA      | $44544.72     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40848 | PA      | $41501.37     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123356 | PA      | $128538.20    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33702 | PA      | $35542.01     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13849 | PA      | $14551.07     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407KRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178545 | PA      | $183698.77    | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407QRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70482 | PA      | $72971.62     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33504 | PA      | $35209.76     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31408GSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21217 | PA      | $21846.28     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31409CA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50487 | PA      | $52722.20     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81012 | PA      | $83998.15     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1B97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15644 | PA      | $16097.62     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1EV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27919 | PA      | $28755.10     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1F77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45100 | PA      | $46339.64     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1FR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259194 | PA      | $266238.25    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1510883 | PA      | $1557693.11   | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A3G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601351 | PA      | $619595.16    | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ABZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707223 | PA      | $719159.34    | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AD2W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043977 | PA      | $1063111.97   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AEUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987312 | PA      | $1019171.37   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AHVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2467192 | PA      | $2508835.06   | 0.12%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5132420 | PA      | $5283598.89   | 0.26%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ANFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657373 | PA      | $682883.80    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AQYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572348 | PA      | $575456.85    | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47839 | PA      | $49089.00     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BD4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1382671 | PA      | $1368132.87   | 0.07%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945840 | PA      | $943927.23    | 0.05%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216090 | PA      | $209924.77    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4125480 | PA      | $3926632.33   | 0.19%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1633342 | PA      | $1520728.35   | 0.08%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294025 | PA      | $261160.86    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96255 | PA      | $93822.44     | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HMPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392064 | PA      | $384295.58    | 0.02%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8092 | PA      | $7928.56      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140JAGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878658 | PA      | $918059.93    | 0.05%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140JPLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492513 | PA      | $474424.16    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148855 | PA      | $132238.18    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157934 | PA      | $140460.77    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527398 | PA      | $466849.02    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KLC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826555 | PA      | $716836.11    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1794684 | PA      | $1517913.79   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140LYSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131628 | PA      | $114153.97    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140M23F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372063 | PA      | $359776.98    | 0.02%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MEB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100108 | PA      | $100973.88    | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826718 | PA      | $780077.53    | 0.04%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11469315 | PA      | $9991148.23   | 0.49%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4612710 | PA      | $4057498.70   | 0.20%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2106547 | PA      | $1851722.00   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ML3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468486 | PA      | $407536.72    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N0CA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1505849 | PA      | $1536473.70   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627011 | PA      | $1621083.31   | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N56D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3740659 | PA      | $3815671.23   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N5ER1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146651 | PA      | $149293.38    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N5FT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163586 | PA      | $167487.12    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N7TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20749 | PA      | $20250.30     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408281 | PA      | $415944.47    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NDT72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33579 | PA      | $33841.61     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NPQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196288 | PA      | $202759.83    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NPSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1117936 | PA      | $1151422.29   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483402 | PA      | $466244.19    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2048511 | PA      | $1809949.54   | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1204089 | PA      | $1064279.52   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924093 | PA      | $818617.36    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3699399 | PA      | $3276337.46   | 0.16%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7567644 | PA      | $6563129.48   | 0.32%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1528673 | PA      | $1337819.14   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1213950 | PA      | $1122229.51   | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848278 | PA      | $735673.17    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3522617 | PA      | $3100664.52   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QN6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802765 | PA      | $727686.82    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75423 | PA      | $71914.96     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2545565 | PA      | $2245518.43   | 0.11%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229241 | PA      | $1085004.90   | 0.05%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X6EF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802520 | PA      | $838200.73    | 0.04%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305087 | PA      | $254918.98    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1264773 | PA      | $1117640.70   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XD6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197029 | PA      | $173760.55    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3774265 | PA      | $3328701.39   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3628705 | PA      | $3211646.37   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XEAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5177913 | PA      | $4689675.35   | 0.23%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3044688 | PA      | $2785161.36   | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3825833 | PA      | $3378766.19   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3329534 | PA      | $3060267.85   | 0.15%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19733 | PA      | $17996.99     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3475449 | PA      | $3174382.89   | 0.16%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2342724 | PA      | $2298923.74   | 0.11%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6608608 | PA      | $5731269.59   | 0.28%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3323288 | PA      | $2771234.93   | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9588 | PA      | $9741.78      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2455777 | PA      | $2141135.41   | 0.11%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XKVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786682 | PA      | $813277.34    | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705857 | PA      | $612149.85    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XLYU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23722 | PA      | $24200.06     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XMV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400320 | PA      | $347176.13    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2805031 | PA      | $2765514.39   | 0.14%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140YWX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107799 | PA      | $110896.39    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41816 | PA      | $42962.42     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8055 | PA      | $8581.56      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305352 | PA      | $319033.42    | 0.02%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23181 | PA      | $24219.51     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224747 | PA      | $227722.74    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424240 | PA      | $422639.96    | 0.02%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29996 | PA      | $31525.47     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8345 | PA      | $8629.21      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92017 | PA      | $96981.94     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412LA34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92764 | PA      | $98059.57     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10904 | PA      | $11526.52     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412QF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46994 | PA      | $48392.50     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412QSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48257 | PA      | $49692.99     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55137 | PA      | $57430.30     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31413ECR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81544 | PA      | $86202.14     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31414CLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213882 | PA      | $222874.20    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31414QTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20658 | PA      | $21395.52     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34781 | PA      | $36086.86     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305602 | PA      | $319151.82    | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208531 | PA      | $209199.08    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168371 | PA      | $173228.89    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295824 | PA      | $299650.83    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147609 | PA      | $143262.35    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1792455 | PA      | $1785971.38   | 0.09%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158750 | PA      | $158167.71    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697416 | PA      | $694713.75    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999946 | PA      | $996174.32    | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1949864 | PA      | $1886401.61   | 0.09%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393260 | PA      | $379953.20    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74027 | PA      | $75926.97     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167509 | PA      | $172496.57    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191602 | PA      | $197632.14    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417NCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286476 | PA      | $295001.98    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392066 | PA      | $396722.64    | 0.02%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169599 | PA      | $174650.14    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586263 | PA      | $574496.52    | 0.03%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343867 | PA      | $330002.76    | 0.02%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1275386 | PA      | $1246530.98   | 0.06%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604531 | PA      | $576779.84    | 0.03%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566161 | PA      | $553288.97    | 0.03%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99781 | PA      | $87198.44     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342035 | PA      | $284688.11    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1186206 | PA      | $986952.75    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284561 | PA      | $236673.13    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5466713 | PA      | $4793656.10   | 0.24%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613019 | PA      | $488119.30    | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241341 | PA      | $192244.34    | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42235 | PA      | $33616.81     | 0.00%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147603 | PA      | $141106.32    | 0.01%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2262217 | PA      | $1888579.71   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79214 | PA      | $69274.82     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22674 | PA      | $19818.59     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707472 | PA      | $719953.29    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627106 | PA      | $1655438.16   | 0.08%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9349220 | PA      | $9509870.03   | 0.47%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423679 | PA      | $352245.65    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175005 | PA      | $1898361.37   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25068207 | PA      | $20833726.03  | 1.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511869 | PA      | $446285.86    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430817 | PA      | $369972.96    | 0.02%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7203087 | PA      | $6365850.29   | 0.31%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2389776 | PA      | $1986476.86   | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752666 | PA      | $656465.73    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3653069 | PA      | $3340213.62   | 0.16%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5805656 | PA      | $5061794.37   | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5628222 | PA      | $5107352.03   | 0.25%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117562 | PA      | $102500.42    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757929 | PA      | $660818.33    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2900172 | PA      | $2627792.57   | 0.13%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142914 | PA      | $144284.18    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30342 | PA      | $30632.53     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22822 | PA      | $23536.79     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740325 | PA      | $763916.61    | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24456 | PA      | $24593.90     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2382300 | PA      | $2445102.95   | 0.12%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1854020 | PA      | $1902533.70   | 0.09%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4603825 | PA      | $4680598.07   | 0.23%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31351 | PA      | $32170.69     | 0.00%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361308 | PA      | $357508.98    | 0.02%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FTA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8946206 | PA      | $8992048.65   | 0.44%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418MUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81634 | PA      | $83460.01     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183006 | PA      | $188453.95    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960508 | PA      | $960145.27    | 0.05%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419AT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40539 | PA      | $41219.51     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688819 | PA      | $688416.82    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2556129 | PA      | $2534663.79   | 0.13%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389855 | PA      | $394936.62    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174997 | PA      | $180207.64    | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419FG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382229 | PA      | $382162.95    | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183238 | PA      | $185607.94    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80290 | PA      | $82484.07     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110549 | PA      | $113739.23    | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966506 | PA      | $965544.19    | 0.05%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416005 | PA      | $415590.92    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31425UZ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400628 | PA      | $396787.14    | 0.02%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31426SVM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70698 | PA      | $69954.75     | 0.00%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427MHC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1490326 | PA      | $1555366.17   | 0.08%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427N6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1298662 | PA      | $1320218.15   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2301289 | PA      | $2414635.43   | 0.12%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427PXC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106992 | PA      | $109659.48    | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103482 | PA      | $106883.32    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6A37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626901 | PA      | $620309.67    | 0.03%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6BG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131202 | PA      | $129822.44    | 0.01%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6BS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7222584 | PA      | $7261445.37   | 0.36%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MAU             | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4020563 | PA      | $3803642.12   | 0.19%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV              | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1793940 | PA      | $1736123.81   | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV              | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1890579 | PA      | $1697578.88   | 0.08%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177PCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340097 | PA      | $327790.55    | 0.02%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193612 | PA      | $186066.45    | 0.01%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135016 | PA      | $133061.28    | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46029 | PA      | $43324.89     | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4002717 | PA      | $3880650.24   | 0.19%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73492 | PA      | $68268.27     | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1370405 | PA      | $1278514.22   | 0.06%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667235 | PA      | $621194.10    | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1105896 | PA      | $1029556.26   | 0.05%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29803 | PA      | $27674.24     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3393370 | PA      | $3149995.22   | 0.16%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1302073 | PA      | $1209716.17   | 0.06%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1204466 | PA      | $1117726.94   | 0.06%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99786 | PA      | $92876.55     | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89333 | PA      | $82874.67     | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164735 | PA      | $165399.11    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75682 | PA      | $66829.06     | 0.00%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6349637 | PA      | $5827325.67   | 0.29%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2942718 | PA      | $2598513.33   | 0.13%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6093366 | PA      | $5380617.63   | 0.27%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8857211 | PA      | $7821151.90   | 0.39%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2664974 | PA      | $2445860.54   | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2089222 | PA      | $1844834.19   | 0.09%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9528658 | PA      | $8073832.94   | 0.40%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11288087 | PA      | $9564613.12   | 0.47%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6341510 | PA      | $5820542.92   | 0.29%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11414016 | PA      | $9671285.77   | 0.48%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WZE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31993 | PA      | $32425.66     | 0.00%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XAB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234857 | PA      | $237598.11    | 0.01%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1679932 | PA      | $1631261.21   | 0.08%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511001 | PA      | $514926.57    | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17043155 | PA      | $16977102.67  | 0.84%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603824 | PA      | $555367.84    | 0.03%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3143646 | PA      | $3132915.90   | 0.15%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164085 | PA      | $165445.50    | 0.01%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738284 | PA      | $626485.80    | 0.03%             | 2052-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                                | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836097 | PA      | $1855256.43   | 0.09%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1158018 | PA      | $1179467.59   | 0.06%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1553635 | PA      | $1565435.89   | 0.08%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152640 | PA      | $155765.91    | 0.01%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3618N5VN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8293531 | PA      | $7984259.68   | 0.39%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36200EAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50928 | PA      | $51630.34     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36200NG47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187207 | PA      | $190281.08    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36201U6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21999 | PA      | $22190.77     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47842 | PA      | $48001.44     | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41148 | PA      | $42770.89     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78544 | PA      | $81650.88     | 0.00%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333294 | PA      | $346468.40    | 0.02%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93154 | PA      | $94538.94     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398439 | PA      | $404301.80    | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254173 | PA      | $251131.64    | 0.01%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428126 | PA      | $434273.44    | 0.02%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620A9PQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158244 | PA      | $156353.20    | 0.01%             | 2039-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187570 | PA      | $189724.47    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620ALQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155985 | PA      | $157613.11    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160315 | PA      | $161521.68    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AMF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220249 | PA      | $223173.98    | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302437 | PA      | $303885.98    | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust              | GLS Auto Receivables Issuer Trust, Series 2026-1A, Class A2                     | CUSIP: 36274AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3256000 | PA      | $3255900.04   | 0.16%             | 2028-11-15      | Fixed         | 4.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36291FAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162987 | PA      | $165240.45    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103382 | PA      | $104973.63    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36294UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134597 | PA      | $129271.23    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36295SD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57419 | PA      | $59407.61     | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297GLY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663010 | PA      | $681928.78    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014109 | PA      | $975530.15    | 0.05%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297H6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102823 | PA      | $103689.87    | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2009-68, Class PN                                                  | CUSIP: 38373ATA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907855 | PA      | $945979.95    | 0.05%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2009-121, Class MI                                                 | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433503 | PA      | $64031.45     | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-H31, Class DI                                                 | CUSIP: 38375BD66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3651587 | PA      | $175677.84    | 0.01%             | 2062-12-20      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-H28, Class FE                                                 | CUSIP: 38375BJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8385 | PA      | $8375.68      | 0.00%             | 2060-12-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-H08, Class FG                                                 | CUSIP: 38375BLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6119 | PA      | $6120.00      | 0.00%             | 2061-03-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-H09, Class AF                                                 | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3282 | PA      | $3282.98      | 0.00%             | 2061-03-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-H11, Class FA                                                 | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44963 | PA      | $44943.03     | 0.00%             | 2063-04-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-77, Class MY                                                  | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310000 | PA      | $289348.45    | 0.01%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-H13, Class FL                                                 | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472933 | PA      | $473889.44    | 0.02%             | 2064-07-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-H20, Class CF                                                 | CUSIP: 38375UQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199908 | PA      | $199887.69    | 0.01%             | 2064-10-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H23, Class FB                                                 | CUSIP: 38375US43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1188032 | PA      | $1187321.97   | 0.06%             | 2067-11-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2015-H08, Class FD                                                 | CUSIP: 38375UVD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29286 | PA      | $29314.63     | 0.00%             | 2065-03-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H11, Class HA                                                 | CUSIP: 38375UWY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237422 | PA      | $231770.63    | 0.01%             | 2066-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H08, Class FM                                                 | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3107240 | PA      | $3134330.66   | 0.15%             | 2067-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H15, Class FB                                                 | CUSIP: 38376R6C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3904954 | PA      | $3952451.50   | 0.20%             | 2067-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H23, Class F                                                  | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746909 | PA      | $749149.48    | 0.04%             | 2066-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H22, Class FA                                                 | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2030707 | PA      | $2037403.89   | 0.10%             | 2066-10-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H04, Class FK                                                 | CUSIP: 38376RQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107333 | PA      | $107969.85    | 0.01%             | 2066-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H03, Class F                                                  | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1859107 | PA      | $1876605.45   | 0.09%             | 2067-01-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H04, Class BF                                                 | CUSIP: 38376RT22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1346107 | PA      | $1356913.13   | 0.07%             | 2067-02-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H17, Class HI                                                 | CUSIP: 38376RXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1547204 | PA      | $40419.15     | 0.00%             | 2066-03-20      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-103, Class WA                                                 | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578357 | PA      | $593049.20    | 0.03%             | 2034-08-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-69, Class SE                                                  | CUSIP: 38377VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2541500 | PA      | $255077.10    | 0.01%             | 2041-05-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-52, Class GT                                                  | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185125 | PA      | $184825.11    | 0.01%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-123, Class MA                                                 | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708406 | PA      | $705069.62    | 0.03%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-148, Class SA                                                 | CUSIP: 38378APZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1735805 | PA      | $71529.92     | 0.00%             | 2041-11-16      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-12, Class KN                                                  | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466229 | PA      | $474060.08    | 0.02%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-6, Class GI                                                   | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3346184 | PA      | $482026.85    | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-108, Class KI                                                 | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480918 | PA      | $64283.61     | 0.00%             | 2042-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-81, Class PI                                                  | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128481 | PA      | $1080.47      | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-122, Class PI                                                 | CUSIP: 38379ETW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1119866 | PA      | $49202.10     | 0.00%             | 2029-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-129, Class BI                                                 | CUSIP: 38379GKK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314208 | PA      | $10566.70     | 0.00%             | 2029-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2015-144, Class HF                                                 | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1 | PA      | $0.50         | 0.00%             | 2045-10-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-65, Class ST                                                  | CUSIP: 38380B6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445262 | PA      | $58928.26     | 0.00%             | 2047-04-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-H04, Class FP                                                 | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55264 | PA      | $55321.97     | 0.00%             | 2069-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-H06, Class KF                                                 | CUSIP: 38380LBW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6425402 | PA      | $6474414.55   | 0.32%             | 2068-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2019-H02, Class FD                                                 | CUSIP: 38380LQE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520455 | PA      | $519967.95    | 0.03%             | 2068-11-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2019-H14, Class FB                                                 | CUSIP: 38380LYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2665495 | PA      | $2667753.87   | 0.13%             | 2069-08-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-H10, Class FB                                                 | CUSIP: 38380QBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2145957 | PA      | $2144124.44   | 0.11%             | 2070-03-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-63                                                            | CUSIP: 38380WUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570166 | PA      | $106709.92    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-98, Class SW                                                  | CUSIP: 38381NMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3928285 | PA      | $4032365.27   | 0.20%             | 2055-06-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-115, Class GS                                                 | CUSIP: 38381PBA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3803567 | PA      | $193303.35    | 0.01%             | 2055-07-20      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-175, Class GI                                                 | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177019 | PA      | $20013.01     | 0.00%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-83, Class FM                                                  | CUSIP: 38382QWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585415 | PA      | $490163.17    | 0.02%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H01, Class FB                                                 | CUSIP: 38382YKP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2199231 | PA      | $2192229.37   | 0.11%             | 2071-12-20      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H01, Class DA                                                 | CUSIP: 38382YKU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    681174 | PA      | $679375.53    | 0.03%             | 2071-12-20      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H04, Class FB                                                 | CUSIP: 38382YLR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9648527 | PA      | $9642944.89   | 0.48%             | 2067-05-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-177, Class FA                                                 | CUSIP: 38383BF49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9643575 | PA      | $9666301.78   | 0.48%             | 2065-08-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-H18, Class FA                                                 | CUSIP: 38383KU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4448518 | PA      | $4457118.40   | 0.22%             | 2074-08-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-40, Class FX                                                  | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6442429 | PA      | $6341704.47   | 0.31%             | 2041-09-20      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-79, Class JI                                                  | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2160878 | PA      | $298852.92    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-146, Class FD                                                 | CUSIP: 38384DAZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10229415 | PA      | $10361255.46  | 0.51%             | 2053-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-149, Class YF                                                 | CUSIP: 38384DGD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10340347 | PA      | $10461239.15  | 0.52%             | 2053-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-135, Class FG                                                 | CUSIP: 38384EHJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10537616 | PA      | $10750626.78  | 0.53%             | 2053-09-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-173, Class FC                                                 | CUSIP: 38384GBV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9391941 | PA      | $9489523.06   | 0.47%             | 2053-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-189, Class FG                                                 | CUSIP: 38384GMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10439403 | PA      | $10539187.92  | 0.52%             | 2053-12-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-26, Class E                                                   | CUSIP: 38384J5R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2515931 | PA      | $2601814.73   | 0.13%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-19, Class JF                                                  | CUSIP: 38384KDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10360734 | PA      | $10434106.16  | 0.52%             | 2054-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-19, Class GF                                                  | CUSIP: 38384KFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8802361 | PA      | $8868066.61   | 0.44%             | 2054-02-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-43, Class FB                                                  | CUSIP: 38384KNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9344078 | PA      | $9418293.22   | 0.46%             | 2054-03-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-51, Class CF                                                  | CUSIP: 38384KSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970757 | PA      | $977486.42    | 0.05%             | 2064-03-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-H05, Class BF                                                 | CUSIP: 38384LAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2693222 | PA      | $2672704.54   | 0.13%             | 2074-11-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-164, Class FM                                                 | CUSIP: 38384XSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3548654 | PA      | $3567523.55   | 0.18%             | 2054-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-197, Class FL                                                 | CUSIP: 38385BBH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8356650 | PA      | $8395837.68   | 0.41%             | 2064-12-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-63, Class FL                                                  | CUSIP: 38385E2Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3330035 | PA      | $3373101.97   | 0.17%             | 2055-04-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-97, Class SC                                                  | CUSIP: 38385G5H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2574402 | PA      | $2585051.95   | 0.13%             | 2055-06-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-89, Class MD                                                  | CUSIP: 38385GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2365994 | PA      | $2427695.06   | 0.12%             | 2055-05-20      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2026-4, Class FG                                                   | CUSIP: 38385LNH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4997393 | PA      | $5003545.82   | 0.25%             | 2066-01-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-NQM1, Class A1                          | CUSIP: 46660DAE5<br>LEI: 529900PEVYDPZXGGUW77 | Long             | ABS-MBS          | CORP              | US        |   1631149 | PA      | $1636209.06   | 0.08%             | 2066-06-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| KREF Ltd.                                      | KREF Ltd., Series 2021-FL2, Class AS                                            | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    759000 | PA      | $758171.93    | 0.04%             | 2039-02-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1708168 | PA      | $1706032.34   | 0.08%             | 2036-07-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE6, Class AS                                | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10005940.00  | 0.49%             | 2038-11-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2021-FL7, Class A                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1591657 | PA      | $1591305.11   | 0.08%             | 2036-10-16      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio       | MFS Institutional Money Market Portfolio, Class A                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |  66101278 | NS      | $66107888.58  | 3.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2018-H4, Class XA                        | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21691588 | PA      | $408537.19    | 0.02%             | 2051-12-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L5, Class XA                        | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16391058 | PA      | $700880.01    | 0.03%             | 2054-05-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L6, Class XA                        | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18418089 | PA      | $678717.63    | 0.03%             | 2054-06-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L7, Class XA                        | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  77547381 | PA      | $2866748.33   | 0.14%             | 2054-10-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM3, Class A1      | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402472 | PA      | $1404599.41   | 0.07%             | 2069-07-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2334323 | PA      | $2356367.82   | 0.12%             | 2070-05-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-INV1, Class A9      | CUSIP: 61780JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2744476 | PA      | $2745483.22   | 0.14%             | 2061-02-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1      | CUSIP: 61780XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1838551 | PA      | $1840615.56   | 0.09%             | 2070-12-25      | Variable      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2026-NQM2, Class A1                 | CUSIP: 64832MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5082505 | PA      | $5084503.44   | 0.25%             | 2065-12-25      | Variable      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2026-NQM3, Class A1                 | CUSIP: 64832PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10076639 | PA      | $10084506.84  | 0.50%             | 2066-02-25      | Variable      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM1, Class A2                                           | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    397642 | PA      | $400396.78    | 0.02%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-NQM8, Class A1                                           | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   1927841 | PA      | $1948316.12   | 0.10%             | 2065-03-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                            | PFS Financing Corp., Series 2023-C, Class B                                     | CUSIP: 69335PEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302000 | PA      | $1313476.74   | 0.06%             | 2028-10-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                            | PFS Financing Corp., Series 2025-A, Class A                                     | CUSIP: 69335PFS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4611000 | PA      | $4616265.76   | 0.23%             | 2029-01-15      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust, Series 2025-INV10, Class A36                                    | CUSIP: 69383EBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2255961 | PA      | $2270223.06   | 0.11%             | 2056-10-01      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust, Series 2026-INV2, Class A35                                     | CUSIP: 69383NBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10048706 | PA      | $10048507.04  | 0.50%             | 2057-01-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A2R                      | CUSIP: 69690EAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1530612 | PA      | $1530896.69   | 0.08%             | 2032-08-08      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2025-2A, Class A2                       | CUSIP: 69704AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8550000 | PA      | $8554702.50   | 0.42%             | 2033-07-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust, Series 2026-CNF1, Class A26                                     | CUSIP: 729920BE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1868094 | PA      | $1867974.00   | 0.09%             | 2057-01-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust               | Provident Funding Mortgage Trust, Series 2024-1, Class A3                       | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2287188 | PA      | $2311426.28   | 0.11%             | 2054-12-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class A                                             | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    829050 | PA      | $831018.97    | 0.04%             | 2034-07-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust         | Santander Drive Auto Receivables Trust, Series 2026-1, Class A2                 | CUSIP: 80288FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3323000 | PA      | $3324223.86   | 0.16%             | 2029-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Shackleton 2019-XIV CLO Ltd.                   | Shackleton 2019-XIV CLO Ltd., Series 2019-14A, Class BRR                        | CUSIP: 81880XAY8<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   6434263 | PA      | $6436386.31   | 0.32%             | 2034-07-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20B, Class 1           | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366780 | PA      | $347661.45    | 0.02%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20C, Class 1           | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683372 | PA      | $649526.80    | 0.03%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20G, Class 1           | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576917 | PA      | $560895.72    | 0.03%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20H, Class 1           | CUSIP: 83162CVS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231375 | PA      | $224842.50    | 0.01%             | 2033-08-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20I, Class 1           | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215573 | PA      | $213773.57    | 0.01%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                | 3650R Commercial Mortgage Trust, Series 2021-PF1, Class XA                      | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21399867 | PA      | $732645.84    | 0.04%             | 2054-11-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810FA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2309000 | PA      | $2404877.62   | 0.12%             | 2027-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2078000 | PA      | $2141882.27   | 0.11%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9748800 | PA      | $8142532.92   | 0.40%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27528200 | PA      | $22075250.63  | 1.09%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97983000 | PA      | $71917991.51  | 3.55%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11168000 | PA      | $11495187.56  | 0.57%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11176000 | PA      | $11140201.93  | 0.55%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11722000 | PA      | $11690405.58  | 0.58%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36531000 | PA      | $37444275.00  | 1.85%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4336000 | PA      | $4583626.27   | 0.23%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6088000 | PA      | $6199296.25   | 0.31%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54157000 | PA      | $53509654.88  | 2.64%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19515500 | PA      | $18907927.65  | 0.93%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41833000 | PA      | $38019006.74  | 1.88%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32248000 | PA      | $30483177.89  | 1.50%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11425300 | PA      | $10114960.91  | 0.50%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  86350000 | PA      | $86751392.79  | 4.28%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18675000 | PA      | $18691048.92  | 0.92%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37647000 | PA      | $38610233.88  | 1.91%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27900000 | PA      | $28074375.00  | 1.39%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $8158910.18   | 0.40%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34163000 | PA      | $35011737.03  | 1.73%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CPB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  89799200 | PA      | $89897417.88  | 4.44%             | 2027-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78357000 | PA      | $78445763.59  | 3.87%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21069000 | PA      | $21055831.88  | 1.04%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7056000 | PA      | $7052141.21   | 0.35%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2024-1, Class A2                             | CUSIP: 92540EAB9<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    862247 | PA      | $866809.54    | 0.04%             | 2069-01-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class XA                | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |  11862026 | PA      | $244788.32    | 0.01%             | 2052-01-15      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class XA                | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20094260 | PA      | $1177595.99   | 0.06%             | 2054-08-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| N/A                                            | SOP                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  49600000 | PA      | $177087.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | SOP                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  49600000 | PA      | $208997.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3109 | NC      | $1932072.51   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100992000 | PA      | $-79871.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100309000 | PA      | $-70305.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100742000 | PA      | $51641.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100500000 | PA      | $-454760.93   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  60400000 | PA      | $-741184.81   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3900 | NC      | $961030.20    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1512 | NC      | $1519953.12   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Note                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -19 | NC      | $-23376.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -22 | NC      | $-38240.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** MFS Series Trust XIII

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer