# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-26-001823
**Filing Date:** 2026-1
**Character Count:** 1580237
**Document Hash:** 9ac4f93d368ccfebc6cab7097d9f5136
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-001823.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0002071691-26-001823

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** J.P. Morgan Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001485894

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 26571346

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** (800) 480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Series and Classes Contracts Data

### JPMorgan Mortgage-Backed Securities ETF (Series ID: S000090417)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000257464 | JPMorgan Mortgage-Backed Securities ETF | JMTG            |

## Nport-Ex

**JPMorgan Mortgage-Backed Securities ETF**

**Schedule of Portfolio Investments as of November 30, 2025**

**(Unaudited)** 

---

| |
|:---|
| &nbsp;&nbsp; THE "UNAUDITED EXCHANGE-TRADED FUNDS HOLDINGS" <br> LIST ("the List") IS TO BE USED FOR REPORTING PURPOSES <br> ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS <br> ADVERTISING OR SALES LITERATURE WITH THE GENERAL <br> PUBLIC. The list is submitted for the general information of the <br> shareholders of the Fund. It is not authorized for distribution to <br> prospective investors in the Fund unless preceded or accompanied by a <br> prospectus. The list has been created from the books and records of <br> the Fund. Holdings are available 60 days after the fund's fiscal quarter, <br> using a trade date accounting convention, by contacting the appropriate <br> service center. The list is subject to change without notice. The list is <br> for informational purposes only and is not intended as an offer or <br> solicitation with respect to the purchase or sale of any security.<br>|
| &nbsp;&nbsp; JPMorgan Asset Management is the marketing name for the asset <br> management business of J.P. Morgan Chase & Co.<br>|
| J.P. Morgan Distribution Services, Inc., member FINRA. |
|© J.P. Morgan Chase & Co., 2025. |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — 57.7%** | **Mortgage-Backed Securities — 57.7%** | **Mortgage-Backed Securities — 57.7%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 6.36%, 12/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14122 | &nbsp;&nbsp;&nbsp;&nbsp; 14409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 6.75%, 4/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9247 | &nbsp;&nbsp;&nbsp;&nbsp; 9385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 6.50%, 1/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 27521 | &nbsp;&nbsp;&nbsp;&nbsp; 28434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B2844, ARM, 6.55%, 3/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14374 | &nbsp;&nbsp;&nbsp;&nbsp; 14598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0007, ARM, 6.64%, 12/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6093 | &nbsp;&nbsp;&nbsp;&nbsp; 6139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 972200, ARM, 6.28%, 3/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7757 | &nbsp;&nbsp;&nbsp;&nbsp; 7886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 7.37%, 3/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2084 | &nbsp;&nbsp;&nbsp;&nbsp; 2166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2618, ARM, 6.35%, 5/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 21232 | &nbsp;&nbsp;&nbsp;&nbsp; 22009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2557, ARM, 6.80%, 6/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31090 | &nbsp;&nbsp;&nbsp;&nbsp; 32060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1085, ARM, 6.50%, 8/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15335 | &nbsp;&nbsp;&nbsp;&nbsp; 15680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0105, ARM, 6.42%, 9/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9185 | &nbsp;&nbsp;&nbsp;&nbsp; 9431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0249, ARM, 6.32%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4992 | &nbsp;&nbsp;&nbsp;&nbsp; 5069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 6.36%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 65401 | &nbsp;&nbsp;&nbsp;&nbsp; 66682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 6.69%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 51200 | &nbsp;&nbsp;&nbsp;&nbsp; 53100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 6.27%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 28608 | &nbsp;&nbsp;&nbsp;&nbsp; 29299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 6.29%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 29599 | &nbsp;&nbsp;&nbsp;&nbsp; 30706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0737, ARM, 6.42%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15311 | &nbsp;&nbsp;&nbsp;&nbsp; 15637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 6.51%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30052 | &nbsp;&nbsp;&nbsp;&nbsp; 30548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1386, ARM, 6.84%, 12/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8341 | &nbsp;&nbsp;&nbsp;&nbsp; 8563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 6.63%, 2/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4149 | &nbsp;&nbsp;&nbsp;&nbsp; 4258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1555, ARM, 7.23%, 2/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4693 | &nbsp;&nbsp;&nbsp;&nbsp; 4845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 6.54%, 3/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 28584 | &nbsp;&nbsp;&nbsp;&nbsp; 29099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 6.19%, 5/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31667 | &nbsp;&nbsp;&nbsp;&nbsp; 32525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2229, ARM, 6.54%, 9/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8605 | &nbsp;&nbsp;&nbsp;&nbsp; 8761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 6.83%, 4/1/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11205 | &nbsp;&nbsp;&nbsp;&nbsp; 11518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0789, ARM, 6.87%, 5/1/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2091 | &nbsp;&nbsp;&nbsp;&nbsp; 2136 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91042, 5.50%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 39609 | &nbsp;&nbsp;&nbsp;&nbsp; 40148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91158, 6.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 18205 | &nbsp;&nbsp;&nbsp;&nbsp; 18492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91180, 5.50%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 20052 | &nbsp;&nbsp;&nbsp;&nbsp; 20324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # D98938, 4.00%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 241736 | &nbsp;&nbsp;&nbsp;&nbsp; 240168 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C18115, 6.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp; 254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00701, 6.50%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5978 | &nbsp;&nbsp;&nbsp;&nbsp; 6190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03029, 6.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8939 | &nbsp;&nbsp;&nbsp;&nbsp; 9154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5398 | &nbsp;&nbsp;&nbsp;&nbsp; 5656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12957 | &nbsp;&nbsp;&nbsp;&nbsp; 13576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C75791, 5.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 28529 | &nbsp;&nbsp;&nbsp;&nbsp; 28920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C01735, 4.00%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 21578 | &nbsp;&nbsp;&nbsp;&nbsp; 21299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 74528 | &nbsp;&nbsp;&nbsp;&nbsp; 75752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16843, 6.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 20015 | &nbsp;&nbsp;&nbsp;&nbsp; 20517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 39433 | &nbsp;&nbsp;&nbsp;&nbsp; 41145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46417, 7.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 116355 | &nbsp;&nbsp;&nbsp;&nbsp; 121910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 172514 | &nbsp;&nbsp;&nbsp;&nbsp; 179466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A80290, 5.00%, 11/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 248639 | &nbsp;&nbsp;&nbsp;&nbsp; 255815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05713, 6.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 165107 | &nbsp;&nbsp;&nbsp;&nbsp; 171576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A54679, 6.50%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7677 | &nbsp;&nbsp;&nbsp;&nbsp; 8053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02637, 7.00%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 72222 | &nbsp;&nbsp;&nbsp;&nbsp; 75671 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 26147 | &nbsp;&nbsp;&nbsp;&nbsp; 27647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04077, 6.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 64828 | &nbsp;&nbsp;&nbsp;&nbsp; 68699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05190, 7.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 11464 | &nbsp;&nbsp;&nbsp;&nbsp; 11945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C03466, 5.50%, 3/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 50645 | &nbsp;&nbsp;&nbsp;&nbsp; 52727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 440780 | &nbsp;&nbsp;&nbsp;&nbsp; 454639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 705381 | &nbsp;&nbsp;&nbsp;&nbsp; 712744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G60039, 3.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2862369 | &nbsp;&nbsp;&nbsp;&nbsp; 2660463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G60105, 5.00%, 6/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 994854 | &nbsp;&nbsp;&nbsp;&nbsp; 1026109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q37784, 3.50%, 12/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 941128 | &nbsp;&nbsp;&nbsp;&nbsp; 893193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q39412, 3.50%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 435250 | &nbsp;&nbsp;&nbsp;&nbsp; 412070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q40797, 3.50%, 5/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1234539 | &nbsp;&nbsp;&nbsp;&nbsp; 1169180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q40922, 3.50%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 338449 | &nbsp;&nbsp;&nbsp;&nbsp; 320478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q42079, 3.50%, 7/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 497381 | &nbsp;&nbsp;&nbsp;&nbsp; 472361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # V84637, 4.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 317439 | &nbsp;&nbsp;&nbsp;&nbsp; 308106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61709, 4.50%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 632297 | &nbsp;&nbsp;&nbsp;&nbsp; 630828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q62088, 4.50%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 542545 | &nbsp;&nbsp;&nbsp;&nbsp; 545901 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # B90491, 7.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 28948 | &nbsp;&nbsp;&nbsp;&nbsp; 29727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA1626, 3.45%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8126038 | &nbsp;&nbsp;&nbsp;&nbsp; 7776280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN1179, 3.85%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3907896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80047, 4.00%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 115596 | &nbsp;&nbsp;&nbsp;&nbsp; 114698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80068, 3.50%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 205184 | &nbsp;&nbsp;&nbsp;&nbsp; 202134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80125, 3.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 654015 | &nbsp;&nbsp;&nbsp;&nbsp; 640031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80173, 3.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 434413 | &nbsp;&nbsp;&nbsp;&nbsp; 427908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80265, 3.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 594055 | &nbsp;&nbsp;&nbsp;&nbsp; 584683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN3233, 3.19%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4972378 | &nbsp;&nbsp;&nbsp;&nbsp; 4665720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10224, 6.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 85209 | &nbsp;&nbsp;&nbsp;&nbsp; 87232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # H00158, 6.00%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 42092 | &nbsp;&nbsp;&nbsp;&nbsp; 42286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10291, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 84262 | &nbsp;&nbsp;&nbsp;&nbsp; 87837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51353, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 60079 | &nbsp;&nbsp;&nbsp;&nbsp; 62235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50595, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 177229 | &nbsp;&nbsp;&nbsp;&nbsp; 187056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51361, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 40341 | &nbsp;&nbsp;&nbsp;&nbsp; 41695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 28396 | &nbsp;&nbsp;&nbsp;&nbsp; 29210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G80365, 6.50%, 10/17/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 83026 | &nbsp;&nbsp;&nbsp;&nbsp; 86462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90690, 3.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1943564 | &nbsp;&nbsp;&nbsp;&nbsp; 1860902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1158019 | &nbsp;&nbsp;&nbsp;&nbsp; 1136186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T65101, 4.00%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 193104 | &nbsp;&nbsp;&nbsp;&nbsp; 186119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90378, 4.00%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1699184 | &nbsp;&nbsp;&nbsp;&nbsp; 1665058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90542, 4.00%, 12/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 579275 | &nbsp;&nbsp;&nbsp;&nbsp; 570925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91449, 4.00%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1622928 | &nbsp;&nbsp;&nbsp;&nbsp; 1588312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99051, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 261678 | &nbsp;&nbsp;&nbsp;&nbsp; 250226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1055822 | &nbsp;&nbsp;&nbsp;&nbsp; 1030683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 713371 | &nbsp;&nbsp;&nbsp;&nbsp; 716122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69039, 4.00%, 2/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1810427 | &nbsp;&nbsp;&nbsp;&nbsp; 1762825 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # ZT1675, 3.50%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1653902 | &nbsp;&nbsp;&nbsp;&nbsp; 1621200 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA1617, 3.50%, 8/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 402775 | &nbsp;&nbsp;&nbsp;&nbsp; 376707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA1623, 4.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1515926 | &nbsp;&nbsp;&nbsp;&nbsp; 1466383 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SI2041, 3.00%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9307719 | &nbsp;&nbsp;&nbsp;&nbsp; 8366944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA5403, 4.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 746689 | &nbsp;&nbsp;&nbsp;&nbsp; 721890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA5096, 4.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 822825 | &nbsp;&nbsp;&nbsp;&nbsp; 796443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA5982, 4.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 889399 | &nbsp;&nbsp;&nbsp;&nbsp; 859229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2008, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1906609 | &nbsp;&nbsp;&nbsp;&nbsp; 1841937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA7351, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 260800 | &nbsp;&nbsp;&nbsp;&nbsp; 234598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2272, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13929753 | &nbsp;&nbsp;&nbsp;&nbsp; 13231110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB0097, 4.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 563762 | &nbsp;&nbsp;&nbsp;&nbsp; 553289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB0098, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4740877 | &nbsp;&nbsp;&nbsp;&nbsp; 4076050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2897, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9086914 | &nbsp;&nbsp;&nbsp;&nbsp; 7805089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8089, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8162226 | &nbsp;&nbsp;&nbsp;&nbsp; 7009983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SI2081, 2.00%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 23901469 | &nbsp;&nbsp;&nbsp;&nbsp; 19773755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA3976, 2.50%, 11/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8196606 | &nbsp;&nbsp;&nbsp;&nbsp; 7089312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA4515, 4.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4295659 | &nbsp;&nbsp;&nbsp;&nbsp; 4124100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC2061, 2.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14586173 | &nbsp;&nbsp;&nbsp;&nbsp; 12048142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA5276, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12221497 | &nbsp;&nbsp;&nbsp;&nbsp; 10527860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC2209, 3.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1214500 | &nbsp;&nbsp;&nbsp;&nbsp; 1128669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC3244, 3.00%, 6/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3102900 | &nbsp;&nbsp;&nbsp;&nbsp; 2790241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA5921, 2.50%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4112753 | &nbsp;&nbsp;&nbsp;&nbsp; 3543516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC7968, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1038717 | &nbsp;&nbsp;&nbsp;&nbsp; 895489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6135, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19465792 | &nbsp;&nbsp;&nbsp;&nbsp; 16779585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6228, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7349893 | &nbsp;&nbsp;&nbsp;&nbsp; 6315809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QD0369, 3.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3992667 | &nbsp;&nbsp;&nbsp;&nbsp; 3577470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5768, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4400984 | &nbsp;&nbsp;&nbsp;&nbsp; 3950256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6586, 3.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10020415 | &nbsp;&nbsp;&nbsp;&nbsp; 9299888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6817, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3824789 | &nbsp;&nbsp;&nbsp;&nbsp; 3288196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4951, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 20017455 | &nbsp;&nbsp;&nbsp;&nbsp; 17245208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD0907, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2490312 | &nbsp;&nbsp;&nbsp;&nbsp; 2217969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3952, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4793961 | &nbsp;&nbsp;&nbsp;&nbsp; 4131663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD7554, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3724399 | &nbsp;&nbsp;&nbsp;&nbsp; 3235042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SL0527, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 20343892 | &nbsp;&nbsp;&nbsp;&nbsp; 17481864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE0399, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7491910 | &nbsp;&nbsp;&nbsp;&nbsp; 6718329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8212, 2.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11433410 | &nbsp;&nbsp;&nbsp;&nbsp; 9779812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3362, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8219527 | &nbsp;&nbsp;&nbsp;&nbsp; 7375151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1840, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9752041 | &nbsp;&nbsp;&nbsp;&nbsp; 8751736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SL0265, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14517528 | &nbsp;&nbsp;&nbsp;&nbsp; 12998406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5756, 3.50%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9054432 | &nbsp;&nbsp;&nbsp;&nbsp; 8422529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE5028, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1018111 | &nbsp;&nbsp;&nbsp;&nbsp; 1024515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE4140, 5.50%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4445074 | &nbsp;&nbsp;&nbsp;&nbsp; 4581702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE8520, 3.50%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10985649 | &nbsp;&nbsp;&nbsp;&nbsp; 10179215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4181, 3.50%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7855638 | &nbsp;&nbsp;&nbsp;&nbsp; 7327294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1725, 4.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12466565 | &nbsp;&nbsp;&nbsp;&nbsp; 11946667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1713, 5.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8316705 | &nbsp;&nbsp;&nbsp;&nbsp; 8416003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SL1477, 5.00%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 22314236 | &nbsp;&nbsp;&nbsp;&nbsp; 22559914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA9669, 5.00%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5406328 | &nbsp;&nbsp;&nbsp;&nbsp; 5411684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ1756, 4.50%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5541737 | &nbsp;&nbsp;&nbsp;&nbsp; 5426299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ3247, 5.00%, 1/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 18908957 | &nbsp;&nbsp;&nbsp;&nbsp; 19082206 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 4.34%, 9/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp;&nbsp; 321 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 4.45%, 3/1/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 746 | &nbsp;&nbsp;&nbsp;&nbsp; 740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555258, ARM, 5.90%, 1/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25284 | &nbsp;&nbsp;&nbsp;&nbsp; 25275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 6.64%, 9/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19032 | &nbsp;&nbsp;&nbsp;&nbsp; 19646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743546, ARM, 5.93%, 11/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 57171 | &nbsp;&nbsp;&nbsp;&nbsp; 57827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 6.35%, 1/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5782 | &nbsp;&nbsp;&nbsp;&nbsp; 5880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735648, ARM, 6.24%, 2/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11508 | &nbsp;&nbsp;&nbsp;&nbsp; 11762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770377, ARM, 6.29%, 4/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9796 | &nbsp;&nbsp;&nbsp;&nbsp; 9921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751531, ARM, 6.21%, 5/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25742 | &nbsp;&nbsp;&nbsp;&nbsp; 26478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 778908, ARM, 6.20%, 6/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8595 | &nbsp;&nbsp;&nbsp;&nbsp; 8650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 800422, ARM, 5.93%, 8/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 93379 | &nbsp;&nbsp;&nbsp;&nbsp; 93593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735332, ARM, 6.21%, 8/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17953 | &nbsp;&nbsp;&nbsp;&nbsp; 18354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790964, ARM, 6.40%, 9/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10367 | &nbsp;&nbsp;&nbsp;&nbsp; 10581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 794797, ARM, 6.03%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23617 | &nbsp;&nbsp;&nbsp;&nbsp; 24109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803599, ARM, 6.05%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 21477 | &nbsp;&nbsp;&nbsp;&nbsp; 21739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803594, ARM, 6.09%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15321 | &nbsp;&nbsp;&nbsp;&nbsp; 15605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 6.45%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31057 | &nbsp;&nbsp;&nbsp;&nbsp; 32118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735740, ARM, 6.59%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23558 | &nbsp;&nbsp;&nbsp;&nbsp; 23898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 5.99%, 1/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 130829 | &nbsp;&nbsp;&nbsp;&nbsp; 134084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816594, ARM, 6.25%, 2/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5788 | &nbsp;&nbsp;&nbsp;&nbsp; 5920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 6.39%, 4/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30381 | &nbsp;&nbsp;&nbsp;&nbsp; 31148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735539, ARM, 6.42%, 4/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 67486 | &nbsp;&nbsp;&nbsp;&nbsp; 69527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 6.04%, 5/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 29135 | &nbsp;&nbsp;&nbsp;&nbsp; 29267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 823660, ARM, 6.59%, 5/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20943 | &nbsp;&nbsp;&nbsp;&nbsp; 21356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821179, ARM, 6.73%, 5/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4147 | &nbsp;&nbsp;&nbsp;&nbsp; 4212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745766, ARM, 6.19%, 6/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13117 | &nbsp;&nbsp;&nbsp;&nbsp; 13278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 6.46%, 9/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2316 | &nbsp;&nbsp;&nbsp;&nbsp; 2362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 6.05%, 1/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17460 | &nbsp;&nbsp;&nbsp;&nbsp; 17851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920843, ARM, 7.02%, 3/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 228618 | &nbsp;&nbsp;&nbsp;&nbsp; 236780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872825, ARM, 6.42%, 6/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13100 | &nbsp;&nbsp;&nbsp;&nbsp; 13392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 892868, ARM, 6.52%, 7/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16272 | &nbsp;&nbsp;&nbsp;&nbsp; 16611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 6.34%, 8/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17922 | &nbsp;&nbsp;&nbsp;&nbsp; 18361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920547, ARM, 6.23%, 9/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 56226 | &nbsp;&nbsp;&nbsp;&nbsp; 57326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894239, ARM, 6.06%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6961 | &nbsp;&nbsp;&nbsp;&nbsp; 7106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900191, ARM, 6.82%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5066 | &nbsp;&nbsp;&nbsp;&nbsp; 5230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902818, ARM, 6.32%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 265 | &nbsp;&nbsp;&nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902955, ARM, 6.01%, 12/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7402 | &nbsp;&nbsp;&nbsp;&nbsp; 7543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 938346, ARM, 6.56%, 7/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5791 | &nbsp;&nbsp;&nbsp;&nbsp; 5943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995919, ARM, 6.59%, 7/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18195 | &nbsp;&nbsp;&nbsp;&nbsp; 18635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0085, ARM, 5.74%, 11/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11987 | &nbsp;&nbsp;&nbsp;&nbsp; 12055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0179, ARM, 5.78%, 12/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5405 | &nbsp;&nbsp;&nbsp;&nbsp; 5588 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year Pool # AX7598, 3.00%, 1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 434971 | &nbsp;&nbsp;&nbsp;&nbsp; 428383 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257055, 6.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 11778 | &nbsp;&nbsp;&nbsp;&nbsp; 12183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0049, 6.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9134 | &nbsp;&nbsp;&nbsp;&nbsp; 9345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0602, 3.50%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 216196 | &nbsp;&nbsp;&nbsp;&nbsp; 213496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP3582, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 271891 | &nbsp;&nbsp;&nbsp;&nbsp; 266381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9830, 3.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1737656 | &nbsp;&nbsp;&nbsp;&nbsp; 1708453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6238, 4.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 597461 | &nbsp;&nbsp;&nbsp;&nbsp; 591441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4500, 1.50%, 12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6279312 | &nbsp;&nbsp;&nbsp;&nbsp; 5342946 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 689977, 8.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1769 | &nbsp;&nbsp;&nbsp;&nbsp; 1779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1694 | &nbsp;&nbsp;&nbsp;&nbsp; 1708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 527285, 7.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 16426 | &nbsp;&nbsp;&nbsp;&nbsp; 16819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 455759, 6.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3196 | &nbsp;&nbsp;&nbsp;&nbsp; 3270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776702, 4.50%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5378 | &nbsp;&nbsp;&nbsp;&nbsp; 5326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 16962 | &nbsp;&nbsp;&nbsp;&nbsp; 17545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 567036, 8.50%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8190 | &nbsp;&nbsp;&nbsp;&nbsp; 8308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12654 | &nbsp;&nbsp;&nbsp;&nbsp; 13088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 610591, 7.00%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 22916 | &nbsp;&nbsp;&nbsp;&nbsp; 23987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 788150, 6.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4667 | &nbsp;&nbsp;&nbsp;&nbsp; 4775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 682078, 5.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 101334 | &nbsp;&nbsp;&nbsp;&nbsp; 104153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 668562, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8509 | &nbsp;&nbsp;&nbsp;&nbsp; 8705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4674 | &nbsp;&nbsp;&nbsp;&nbsp; 4782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 71091 | &nbsp;&nbsp;&nbsp;&nbsp; 73740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 357363, 5.50%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 108617 | &nbsp;&nbsp;&nbsp;&nbsp; 111424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 942 | &nbsp;&nbsp;&nbsp;&nbsp; 964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688625, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6529 | &nbsp;&nbsp;&nbsp;&nbsp; 6679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695584, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2246 | &nbsp;&nbsp;&nbsp;&nbsp; 2298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 65445 | &nbsp;&nbsp;&nbsp;&nbsp; 67411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695403, 5.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 53579 | &nbsp;&nbsp;&nbsp;&nbsp; 54503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995656, 7.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 48466 | &nbsp;&nbsp;&nbsp;&nbsp; 50731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18744 | &nbsp;&nbsp;&nbsp;&nbsp; 18889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 44437 | &nbsp;&nbsp;&nbsp;&nbsp; 44752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 726912, 4.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 753696, 4.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9536 | &nbsp;&nbsp;&nbsp;&nbsp; 9317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12297 | &nbsp;&nbsp;&nbsp;&nbsp; 12581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 16803 | &nbsp;&nbsp;&nbsp;&nbsp; 17210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA7943, 4.00%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 193544 | &nbsp;&nbsp;&nbsp;&nbsp; 190516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11975 | &nbsp;&nbsp;&nbsp;&nbsp; 12008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 108580 | &nbsp;&nbsp;&nbsp;&nbsp; 111488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759424, 5.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 32354 | &nbsp;&nbsp;&nbsp;&nbsp; 32914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751182, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 23191 | &nbsp;&nbsp;&nbsp;&nbsp; 23614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8148 | &nbsp;&nbsp;&nbsp;&nbsp; 8251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 767378, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10973 | &nbsp;&nbsp;&nbsp;&nbsp; 11112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776565, 4.00%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 93654 | &nbsp;&nbsp;&nbsp;&nbsp; 92278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC1317, 4.50%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 47354 | &nbsp;&nbsp;&nbsp;&nbsp; 47028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22956 | &nbsp;&nbsp;&nbsp;&nbsp; 23592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745281, 6.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 15531 | &nbsp;&nbsp;&nbsp;&nbsp; 16387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888417, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 19853 | &nbsp;&nbsp;&nbsp;&nbsp; 20569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833629, 7.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 15604 | &nbsp;&nbsp;&nbsp;&nbsp; 16333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 893268, 6.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 52382 | &nbsp;&nbsp;&nbsp;&nbsp; 54788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833657, 7.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5336 | &nbsp;&nbsp;&nbsp;&nbsp; 5376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0922, 6.00%, 9/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 91738 | &nbsp;&nbsp;&nbsp;&nbsp; 95745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 878225, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 26042 | &nbsp;&nbsp;&nbsp;&nbsp; 27413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 985683, 8.00%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 64615 | &nbsp;&nbsp;&nbsp;&nbsp; 67795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888476, 7.50%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 13289 | &nbsp;&nbsp;&nbsp;&nbsp; 13847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945870, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 35141 | &nbsp;&nbsp;&nbsp;&nbsp; 37000 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946338, 7.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 22358 | &nbsp;&nbsp;&nbsp;&nbsp; 23897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888707, 7.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 41470 | &nbsp;&nbsp;&nbsp;&nbsp; 43964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889883, 6.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 28869 | &nbsp;&nbsp;&nbsp;&nbsp; 30152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC9081, 6.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 79478 | &nbsp;&nbsp;&nbsp;&nbsp; 85436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 909236, 7.00%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 217031 | &nbsp;&nbsp;&nbsp;&nbsp; 229939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 934591, 7.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 21068 | &nbsp;&nbsp;&nbsp;&nbsp; 22298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2869, 6.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 130716 | &nbsp;&nbsp;&nbsp;&nbsp; 137419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995504, 7.50%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 14038 | &nbsp;&nbsp;&nbsp;&nbsp; 14822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 81499 | &nbsp;&nbsp;&nbsp;&nbsp; 87452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 114302 | &nbsp;&nbsp;&nbsp;&nbsp; 122065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890661, 7.00%, 2/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 414988 | &nbsp;&nbsp;&nbsp;&nbsp; 436574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0780, 7.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 249129 | &nbsp;&nbsp;&nbsp;&nbsp; 269308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD6377, 5.50%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 32639 | &nbsp;&nbsp;&nbsp;&nbsp; 33959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD4951, 5.00%, 7/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 941634 | &nbsp;&nbsp;&nbsp;&nbsp; 970147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5364, 4.00%, 4/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1065938 | &nbsp;&nbsp;&nbsp;&nbsp; 1051899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6839, 5.00%, 4/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 580041 | &nbsp;&nbsp;&nbsp;&nbsp; 599200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR8128, 3.50%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 927566 | &nbsp;&nbsp;&nbsp;&nbsp; 885080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8256, 3.00%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1797604 | &nbsp;&nbsp;&nbsp;&nbsp; 1669108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ8089, 4.00%, 7/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 312888 | &nbsp;&nbsp;&nbsp;&nbsp; 305570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BA2343, 4.00%, 9/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1472404 | &nbsp;&nbsp;&nbsp;&nbsp; 1430970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC9441, 3.50%, 4/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 143937 | &nbsp;&nbsp;&nbsp;&nbsp; 136866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC6982, 4.00%, 4/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1133058 | &nbsp;&nbsp;&nbsp;&nbsp; 1101528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0299, 3.50%, 5/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 213814 | &nbsp;&nbsp;&nbsp;&nbsp; 203354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC1249, 3.50%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 154011 | &nbsp;&nbsp;&nbsp;&nbsp; 145568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD1243, 3.50%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 347946 | &nbsp;&nbsp;&nbsp;&nbsp; 329249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD3066, 3.50%, 7/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 500237 | &nbsp;&nbsp;&nbsp;&nbsp; 473589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD3088, 3.50%, 7/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 199170 | &nbsp;&nbsp;&nbsp;&nbsp; 188250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD5248, 3.50%, 8/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1111361 | &nbsp;&nbsp;&nbsp;&nbsp; 1051505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD7764, 3.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 645346 | &nbsp;&nbsp;&nbsp;&nbsp; 611771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE5870, 3.50%, 1/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1423454 | &nbsp;&nbsp;&nbsp;&nbsp; 1358252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH4665, 4.00%, 6/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2012469 | &nbsp;&nbsp;&nbsp;&nbsp; 1954787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7626, 4.00%, 8/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 794620 | &nbsp;&nbsp;&nbsp;&nbsp; 764431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1162646 | &nbsp;&nbsp;&nbsp;&nbsp; 1149416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7663, 4.00%, 10/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1779096 | &nbsp;&nbsp;&nbsp;&nbsp; 1727367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1778, 4.50%, 10/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 446254 | &nbsp;&nbsp;&nbsp;&nbsp; 445023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3044, 4.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1488136 | &nbsp;&nbsp;&nbsp;&nbsp; 1445250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8351, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 412884 | &nbsp;&nbsp;&nbsp;&nbsp; 401365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3455, 4.50%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 939416 | &nbsp;&nbsp;&nbsp;&nbsp; 936145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7006, 4.50%, 6/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 374106 | &nbsp;&nbsp;&nbsp;&nbsp; 372379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD9084, 4.50%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1005872 | &nbsp;&nbsp;&nbsp;&nbsp; 1001748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK9303, 4.00%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1144771 | &nbsp;&nbsp;&nbsp;&nbsp; 1133943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4662, 3.50%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1818912 | &nbsp;&nbsp;&nbsp;&nbsp; 1702492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890863, 5.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1292494 | &nbsp;&nbsp;&nbsp;&nbsp; 1357380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1829, 4.50%, 10/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 307359 | &nbsp;&nbsp;&nbsp;&nbsp; 305560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4960, 5.00%, 12/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 270517 | &nbsp;&nbsp;&nbsp;&nbsp; 274794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5430, 5.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1775145 | &nbsp;&nbsp;&nbsp;&nbsp; 1807038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN5013, 5.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1920356 | &nbsp;&nbsp;&nbsp;&nbsp; 1964237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN6788, 4.50%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 259428 | &nbsp;&nbsp;&nbsp;&nbsp; 257349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK0317, 4.00%, 3/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1100498 | &nbsp;&nbsp;&nbsp;&nbsp; 1069549 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0719, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1002528 | &nbsp;&nbsp;&nbsp;&nbsp; 1022105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0721, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1102213 | &nbsp;&nbsp;&nbsp;&nbsp; 1124609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0722, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 100119 | &nbsp;&nbsp;&nbsp;&nbsp; 101181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4276, 3.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2189701 | &nbsp;&nbsp;&nbsp;&nbsp; 2095844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4277, 3.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2741401 | &nbsp;&nbsp;&nbsp;&nbsp; 2619648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4280, 4.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1413871 | &nbsp;&nbsp;&nbsp;&nbsp; 1390836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN8529, 4.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 122322 | &nbsp;&nbsp;&nbsp;&nbsp; 123006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3436, 4.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1020228 | &nbsp;&nbsp;&nbsp;&nbsp; 1022527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0718, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1114279 | &nbsp;&nbsp;&nbsp;&nbsp; 1139258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0720, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1429707 | &nbsp;&nbsp;&nbsp;&nbsp; 1456427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2496, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1856505 | &nbsp;&nbsp;&nbsp;&nbsp; 1890842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2497, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1840065 | &nbsp;&nbsp;&nbsp;&nbsp; 1882140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2498, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2269886 | &nbsp;&nbsp;&nbsp;&nbsp; 2330287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2499, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 426538 | &nbsp;&nbsp;&nbsp;&nbsp; 448580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3408, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 559061 | &nbsp;&nbsp;&nbsp;&nbsp; 567554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3749, 4.00%, 8/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1688721 | &nbsp;&nbsp;&nbsp;&nbsp; 1678958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3999, 4.00%, 8/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 776219 | &nbsp;&nbsp;&nbsp;&nbsp; 750851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2495, 5.00%, 8/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1964248 | &nbsp;&nbsp;&nbsp;&nbsp; 2008703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8769, 3.50%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1167593 | &nbsp;&nbsp;&nbsp;&nbsp; 1092375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4363, 4.00%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 968757 | &nbsp;&nbsp;&nbsp;&nbsp; 938103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2888, 4.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1050348 | &nbsp;&nbsp;&nbsp;&nbsp; 1024008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4387, 4.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1325287 | &nbsp;&nbsp;&nbsp;&nbsp; 1286482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2526, 4.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1918155 | &nbsp;&nbsp;&nbsp;&nbsp; 1895478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1128, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 639160 | &nbsp;&nbsp;&nbsp;&nbsp; 620847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1132, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 613872 | &nbsp;&nbsp;&nbsp;&nbsp; 595340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1141, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 262884 | &nbsp;&nbsp;&nbsp;&nbsp; 253952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1847, 4.50%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1370414 | &nbsp;&nbsp;&nbsp;&nbsp; 1389158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3365, 3.00%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8498893 | &nbsp;&nbsp;&nbsp;&nbsp; 7650288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4626, 2.50%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3625717 | &nbsp;&nbsp;&nbsp;&nbsp; 3113505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP6363, 3.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3906012 | &nbsp;&nbsp;&nbsp;&nbsp; 3505076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5296, 3.50%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2846578 | &nbsp;&nbsp;&nbsp;&nbsp; 2666354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5302, 4.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1545174 | &nbsp;&nbsp;&nbsp;&nbsp; 1486394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8337, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3550522 | &nbsp;&nbsp;&nbsp;&nbsp; 3278376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5729, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4869442 | &nbsp;&nbsp;&nbsp;&nbsp; 4366363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5731, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 12309825 | &nbsp;&nbsp;&nbsp;&nbsp; 11073053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5878, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4179525 | &nbsp;&nbsp;&nbsp;&nbsp; 3585764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8338, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2950690 | &nbsp;&nbsp;&nbsp;&nbsp; 2719965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2693, 3.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 708388 | &nbsp;&nbsp;&nbsp;&nbsp; 661814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9337, 3.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2744153 | &nbsp;&nbsp;&nbsp;&nbsp; 2666691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9950, 3.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1979936 | &nbsp;&nbsp;&nbsp;&nbsp; 1850520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2957404 | &nbsp;&nbsp;&nbsp;&nbsp; 2573394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6430, 3.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4528027 | &nbsp;&nbsp;&nbsp;&nbsp; 4232087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA8670, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4224526 | &nbsp;&nbsp;&nbsp;&nbsp; 3629527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4096, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 42656940 | &nbsp;&nbsp;&nbsp;&nbsp; 36626216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4410, 3.00%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3731872 | &nbsp;&nbsp;&nbsp;&nbsp; 3343024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1646, 3.00%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2613573 | &nbsp;&nbsp;&nbsp;&nbsp; 2326686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4311, 3.00%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2804201 | &nbsp;&nbsp;&nbsp;&nbsp; 2526908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1367, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11913217 | &nbsp;&nbsp;&nbsp;&nbsp; 10280615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4113, 3.00%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1390039 | &nbsp;&nbsp;&nbsp;&nbsp; 1245630 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ5586, 3.00%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2939026 | &nbsp;&nbsp;&nbsp;&nbsp; 2629160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM5173, 2.50%, 12/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6000657 | &nbsp;&nbsp;&nbsp;&nbsp; 5184447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA8862, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5073067 | &nbsp;&nbsp;&nbsp;&nbsp; 4388762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4516, 2.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12760214 | &nbsp;&nbsp;&nbsp;&nbsp; 10460131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR4052, 2.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13386446 | &nbsp;&nbsp;&nbsp;&nbsp; 11089139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM5778, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6248723 | &nbsp;&nbsp;&nbsp;&nbsp; 5401376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR0870, 3.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 515483 | &nbsp;&nbsp;&nbsp;&nbsp; 481753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5380, 2.00%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 19466845 | &nbsp;&nbsp;&nbsp;&nbsp; 15954649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0674, 2.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7936059 | &nbsp;&nbsp;&nbsp;&nbsp; 6819557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM7957, 2.50%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10185274 | &nbsp;&nbsp;&nbsp;&nbsp; 8785072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8179, 2.50%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17303486 | &nbsp;&nbsp;&nbsp;&nbsp; 14787489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT6666, 2.00%, 8/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 15512596 | &nbsp;&nbsp;&nbsp;&nbsp; 12662298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT5574, 2.50%, 8/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 759063 | &nbsp;&nbsp;&nbsp;&nbsp; 655332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1684, 3.00%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6210876 | &nbsp;&nbsp;&nbsp;&nbsp; 5569615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4415, 3.00%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13019051 | &nbsp;&nbsp;&nbsp;&nbsp; 11620788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1783, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 55505964 | &nbsp;&nbsp;&nbsp;&nbsp; 47857867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1908, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 25946200 | &nbsp;&nbsp;&nbsp;&nbsp; 22315928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA0352, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9776608 | &nbsp;&nbsp;&nbsp;&nbsp; 8401227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9195, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10538668 | &nbsp;&nbsp;&nbsp;&nbsp; 9085410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1878, 3.00%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3609720 | &nbsp;&nbsp;&nbsp;&nbsp; 3234368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4466, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7354512 | &nbsp;&nbsp;&nbsp;&nbsp; 6308427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9961, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8028932 | &nbsp;&nbsp;&nbsp;&nbsp; 7152688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0213, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 21937854 | &nbsp;&nbsp;&nbsp;&nbsp; 19672774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2559, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4188780 | &nbsp;&nbsp;&nbsp;&nbsp; 3753183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ6989, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7809378 | &nbsp;&nbsp;&nbsp;&nbsp; 6667785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU1451, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3765460 | &nbsp;&nbsp;&nbsp;&nbsp; 3212073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA0867, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17339937 | &nbsp;&nbsp;&nbsp;&nbsp; 14900453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8807, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14737960 | &nbsp;&nbsp;&nbsp;&nbsp; 13252748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7409, 2.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12218355 | &nbsp;&nbsp;&nbsp;&nbsp; 10164369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2188, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7516812 | &nbsp;&nbsp;&nbsp;&nbsp; 6418645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3216, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9223775 | &nbsp;&nbsp;&nbsp;&nbsp; 7886573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2750, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13428606 | &nbsp;&nbsp;&nbsp;&nbsp; 11498051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2869, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 22045451 | &nbsp;&nbsp;&nbsp;&nbsp; 19011961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4284, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6567931 | &nbsp;&nbsp;&nbsp;&nbsp; 5629031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4548, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8488681 | &nbsp;&nbsp;&nbsp;&nbsp; 7269816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3570, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 980947 | &nbsp;&nbsp;&nbsp;&nbsp; 879783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0488, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4346455 | &nbsp;&nbsp;&nbsp;&nbsp; 3911048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0917, 3.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6872256 | &nbsp;&nbsp;&nbsp;&nbsp; 6403318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV4133, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19827390 | &nbsp;&nbsp;&nbsp;&nbsp; 16902531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0882, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5898220 | &nbsp;&nbsp;&nbsp;&nbsp; 5114952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5446, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8207774 | &nbsp;&nbsp;&nbsp;&nbsp; 7029974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7119, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16004238 | &nbsp;&nbsp;&nbsp;&nbsp; 13756776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7942, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8222352 | &nbsp;&nbsp;&nbsp;&nbsp; 7118606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3283, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6853501 | &nbsp;&nbsp;&nbsp;&nbsp; 6120071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0957, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 19244999 | &nbsp;&nbsp;&nbsp;&nbsp; 17118343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3269, 3.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1236295 | &nbsp;&nbsp;&nbsp;&nbsp; 1149502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3276, 3.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2388442 | &nbsp;&nbsp;&nbsp;&nbsp; 2227791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3025, 3.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8611596 | &nbsp;&nbsp;&nbsp;&nbsp; 8023934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV5360, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7766468 | &nbsp;&nbsp;&nbsp;&nbsp; 6643202 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1671, 2.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3346987 | &nbsp;&nbsp;&nbsp;&nbsp; 2892719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3361, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16459041 | &nbsp;&nbsp;&nbsp;&nbsp; 14747275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6301, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4273826 | &nbsp;&nbsp;&nbsp;&nbsp; 3832564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV9064, 3.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7317780 | &nbsp;&nbsp;&nbsp;&nbsp; 6779458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3378, 4.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3415303 | &nbsp;&nbsp;&nbsp;&nbsp; 3272876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4720, 2.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4023143 | &nbsp;&nbsp;&nbsp;&nbsp; 3477136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6790, 2.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8440058 | &nbsp;&nbsp;&nbsp;&nbsp; 7228237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7204, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12634337 | &nbsp;&nbsp;&nbsp;&nbsp; 11320457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3504, 3.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5879773 | &nbsp;&nbsp;&nbsp;&nbsp; 5467453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6323, 3.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 17131576 | &nbsp;&nbsp;&nbsp;&nbsp; 15962532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3891, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16459375 | &nbsp;&nbsp;&nbsp;&nbsp; 14768091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5116, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9865141 | &nbsp;&nbsp;&nbsp;&nbsp; 8799637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5359, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1698164 | &nbsp;&nbsp;&nbsp;&nbsp; 1640144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS1949, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3254392 | &nbsp;&nbsp;&nbsp;&nbsp; 3119013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1473, 4.50%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 279045 | &nbsp;&nbsp;&nbsp;&nbsp; 275874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW3203, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1145416 | &nbsp;&nbsp;&nbsp;&nbsp; 1165199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4016, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1366989 | &nbsp;&nbsp;&nbsp;&nbsp; 1395328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4019, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1737967 | &nbsp;&nbsp;&nbsp;&nbsp; 1773197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4041, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 959784 | &nbsp;&nbsp;&nbsp;&nbsp; 971218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1541, 3.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 15138065 | &nbsp;&nbsp;&nbsp;&nbsp; 13563861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8820, 3.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13316768 | &nbsp;&nbsp;&nbsp;&nbsp; 11902970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4160, 4.50%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3291101 | &nbsp;&nbsp;&nbsp;&nbsp; 3237168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7853, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1146455 | &nbsp;&nbsp;&nbsp;&nbsp; 1149437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4042, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1305040 | &nbsp;&nbsp;&nbsp;&nbsp; 1317984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5398, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 652936 | &nbsp;&nbsp;&nbsp;&nbsp; 661459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4608, 4.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7789475 | &nbsp;&nbsp;&nbsp;&nbsp; 7464628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4587, 4.50%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4561798 | &nbsp;&nbsp;&nbsp;&nbsp; 4487040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW8950, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3322243 | &nbsp;&nbsp;&nbsp;&nbsp; 3330054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4625, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3930318 | &nbsp;&nbsp;&nbsp;&nbsp; 3977241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX2815, 4.50%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1760949 | &nbsp;&nbsp;&nbsp;&nbsp; 1752430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW6968, 4.00%, 1/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2583246 | &nbsp;&nbsp;&nbsp;&nbsp; 2467508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX3284, 5.00%, 2/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3835842 | &nbsp;&nbsp;&nbsp;&nbsp; 3855059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6797, 4.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1101420 | &nbsp;&nbsp;&nbsp;&nbsp; 1054917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5896, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4194286 | &nbsp;&nbsp;&nbsp;&nbsp; 4202332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX3824, 5.50%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6207302 | &nbsp;&nbsp;&nbsp;&nbsp; 6353138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4315, 5.00%, 4/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2405258 | &nbsp;&nbsp;&nbsp;&nbsp; 2420677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU3984, 6.00%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 18474183 | &nbsp;&nbsp;&nbsp;&nbsp; 18998206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4776, 5.00%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 10312369 | &nbsp;&nbsp;&nbsp;&nbsp; 10296213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4736, 5.50%, 7/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9311883 | &nbsp;&nbsp;&nbsp;&nbsp; 9521689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6813, 4.50%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1306300 | &nbsp;&nbsp;&nbsp;&nbsp; 1284488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7027, 5.00%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7558556 | &nbsp;&nbsp;&nbsp;&nbsp; 7554275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DB4827, 5.00%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9869156 | &nbsp;&nbsp;&nbsp;&nbsp; 9856267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DB4845, 5.00%, 12/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 14777557 | &nbsp;&nbsp;&nbsp;&nbsp; 14878814 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252155, 7.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4360 | &nbsp;&nbsp;&nbsp;&nbsp; 4439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252334, 6.50%, 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 17177 | &nbsp;&nbsp;&nbsp;&nbsp; 17532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15235 | &nbsp;&nbsp;&nbsp;&nbsp; 15489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 653815, 7.00%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6680 | &nbsp;&nbsp;&nbsp;&nbsp; 6717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14951 | &nbsp;&nbsp;&nbsp;&nbsp; 15163 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 954255, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 228425 | &nbsp;&nbsp;&nbsp;&nbsp; 235728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 931717, 6.50%, 8/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 124335 | &nbsp;&nbsp;&nbsp;&nbsp; 128300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3030, 4.50%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4151626 | &nbsp;&nbsp;&nbsp;&nbsp; 4081996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4047, 4.00%, 8/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4514189 | &nbsp;&nbsp;&nbsp;&nbsp; 4312070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4520, 3.50%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3608208 | &nbsp;&nbsp;&nbsp;&nbsp; 3336608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4014, 4.50%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 941293 | &nbsp;&nbsp;&nbsp;&nbsp; 917691 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7321, 3.12%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 849650 | &nbsp;&nbsp;&nbsp;&nbsp; 841877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN4571, 3.07%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1526083 | &nbsp;&nbsp;&nbsp;&nbsp; 1510166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8987, 2.79%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 784913 | &nbsp;&nbsp;&nbsp;&nbsp; 771618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN4154, 3.17%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6060000 | &nbsp;&nbsp;&nbsp;&nbsp; 5912504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN4349, 3.35%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2832704 | &nbsp;&nbsp;&nbsp;&nbsp; 2772846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5292, 2.53%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22120932 | &nbsp;&nbsp;&nbsp;&nbsp; 21164564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3673, 1.88%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5598432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1797, 4.33%, 1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5436000 | &nbsp;&nbsp;&nbsp;&nbsp; 5522406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8154, 3.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5871207 | &nbsp;&nbsp;&nbsp;&nbsp; 5694150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1968853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7348, 5.08%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5963748 | &nbsp;&nbsp;&nbsp;&nbsp; 6190175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9093, 5.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1291013 | &nbsp;&nbsp;&nbsp;&nbsp; 1343891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8474, 4.84%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2105322 | &nbsp;&nbsp;&nbsp;&nbsp; 2168827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6827, 4.19%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3871263 | &nbsp;&nbsp;&nbsp;&nbsp; 3898177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5224, 2.52%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5068750 | &nbsp;&nbsp;&nbsp;&nbsp; 4757666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8177, 1.10%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 23916761 | &nbsp;&nbsp;&nbsp;&nbsp; 21060241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8426, 4.28%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8985930 | &nbsp;&nbsp;&nbsp;&nbsp; 9062194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9203, 4.64%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2584280 | &nbsp;&nbsp;&nbsp;&nbsp; 2646713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5389, 3.03%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11034740 | &nbsp;&nbsp;&nbsp;&nbsp; 10531002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0099, 3.28%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6337113 | &nbsp;&nbsp;&nbsp;&nbsp; 6113997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8033, 4.43%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5583405 | &nbsp;&nbsp;&nbsp;&nbsp; 5668577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8732, 4.61%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6165464 | &nbsp;&nbsp;&nbsp;&nbsp; 6307911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7750, 4.24%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4027360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6828, 4.07%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4895768 | &nbsp;&nbsp;&nbsp;&nbsp; 4887886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7882, 4.56%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3575000 | &nbsp;&nbsp;&nbsp;&nbsp; 3649445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8379, 4.66%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6630000 | &nbsp;&nbsp;&nbsp;&nbsp; 6800538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8200, 4.74%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3956033 | &nbsp;&nbsp;&nbsp;&nbsp; 4072090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9368, 5.15%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3427000 | &nbsp;&nbsp;&nbsp;&nbsp; 3566557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5378, 3.45%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2426764 | &nbsp;&nbsp;&nbsp;&nbsp; 2353087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2915, 1.87%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7565810 | &nbsp;&nbsp;&nbsp;&nbsp; 6739735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7884, 4.03%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5355080 | &nbsp;&nbsp;&nbsp;&nbsp; 5334637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AI2479, 5.00%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 80567 | &nbsp;&nbsp;&nbsp;&nbsp; 81781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2035, 1.84%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8923379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1868, 4.81%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1550182 | &nbsp;&nbsp;&nbsp;&nbsp; 1602320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7362, 5.14%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4146487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2422, 1.67%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12000000 | &nbsp;&nbsp;&nbsp;&nbsp; 10548050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2456, 2.74%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 859551 | &nbsp;&nbsp;&nbsp;&nbsp; 806420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7268, 5.05%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2086969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2898, 1.56%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 20203000 | &nbsp;&nbsp;&nbsp;&nbsp; 17546930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4279, 2.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6463272 | &nbsp;&nbsp;&nbsp;&nbsp; 5779326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8183, 4.74%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4877601 | &nbsp;&nbsp;&nbsp;&nbsp; 5019121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5371, 3.16%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5704887 | &nbsp;&nbsp;&nbsp;&nbsp; 5404844 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3637, 1.73%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5469618 | &nbsp;&nbsp;&nbsp;&nbsp; 4838021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6765, 4.24%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4238000 | &nbsp;&nbsp;&nbsp;&nbsp; 4253605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0801, 4.60%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3871000 | &nbsp;&nbsp;&nbsp;&nbsp; 3953206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6857, 1.83%, 12/1/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11869803 | &nbsp;&nbsp;&nbsp;&nbsp; 10457942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4124, 1.94%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3673081 | &nbsp;&nbsp;&nbsp;&nbsp; 3271191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4525, 1.94%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8500000 | &nbsp;&nbsp;&nbsp;&nbsp; 7489454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4030, 1.96%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9844133 | &nbsp;&nbsp;&nbsp;&nbsp; 8731049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4315, 1.98%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 16418000 | &nbsp;&nbsp;&nbsp;&nbsp; 14529456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4650, 2.02%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3561876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4142, 2.13%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7441577 | &nbsp;&nbsp;&nbsp;&nbsp; 6682305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2402, 5.25%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6634000 | &nbsp;&nbsp;&nbsp;&nbsp; 6964449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN3104, 2.75%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8749070 | &nbsp;&nbsp;&nbsp;&nbsp; 8151982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.75%, 3/1/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19098076 | &nbsp;&nbsp;&nbsp;&nbsp; 16710892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4654, 2.39%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4644711 | &nbsp;&nbsp;&nbsp;&nbsp; 4197430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5130, 2.55%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4668227 | &nbsp;&nbsp;&nbsp;&nbsp; 4274765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5193, 2.62%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8053000 | &nbsp;&nbsp;&nbsp;&nbsp; 7356409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5259, 2.84%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9911445 | &nbsp;&nbsp;&nbsp;&nbsp; 9198094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5231, 2.54%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8400000 | &nbsp;&nbsp;&nbsp;&nbsp; 7656706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5452, 3.09%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9070000 | &nbsp;&nbsp;&nbsp;&nbsp; 8505483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5643, 3.62%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3389724 | &nbsp;&nbsp;&nbsp;&nbsp; 3281275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6149, 3.14%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4075000 | &nbsp;&nbsp;&nbsp;&nbsp; 3846836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6091, 3.68%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2184000 | &nbsp;&nbsp;&nbsp;&nbsp; 2121243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4203, 2.36%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5984150 | &nbsp;&nbsp;&nbsp;&nbsp; 5350821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6123, 3.06%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 800000 | &nbsp;&nbsp;&nbsp;&nbsp; 750647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6301, 3.67%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 21407000 | &nbsp;&nbsp;&nbsp;&nbsp; 20705922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6611, 3.72%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8596655 | &nbsp;&nbsp;&nbsp;&nbsp; 8360636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6425, 3.88%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5928652 | &nbsp;&nbsp;&nbsp;&nbsp; 5825572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6269, 4.03%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1752955 | &nbsp;&nbsp;&nbsp;&nbsp; 1732822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7247, 5.19%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4200824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6335, 3.75%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8090860 | &nbsp;&nbsp;&nbsp;&nbsp; 7894739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6331, 3.76%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7700000 | &nbsp;&nbsp;&nbsp;&nbsp; 7507078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11722931 | &nbsp;&nbsp;&nbsp;&nbsp; 11436862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6466, 1.33%, 10/1/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10522862 | &nbsp;&nbsp;&nbsp;&nbsp; 8809870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6651, 2.94%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 586683 | &nbsp;&nbsp;&nbsp;&nbsp; 548254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6398, 3.87%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1232556 | &nbsp;&nbsp;&nbsp;&nbsp; 1206628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6756, 3.89%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1944393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8968, 4.73%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5050000 | &nbsp;&nbsp;&nbsp;&nbsp; 5170027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6492, 1.51%, 11/1/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9292421 | &nbsp;&nbsp;&nbsp;&nbsp; 7869761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6995, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5080000 | &nbsp;&nbsp;&nbsp;&nbsp; 5067999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6849, 4.23%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3826068 | &nbsp;&nbsp;&nbsp;&nbsp; 3829431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ5646, 4.48%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4472000 | &nbsp;&nbsp;&nbsp;&nbsp; 4525465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7006, 4.79%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4655000 | &nbsp;&nbsp;&nbsp;&nbsp; 4798391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6994, 4.85%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2073365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7292, 5.60%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2518808 | &nbsp;&nbsp;&nbsp;&nbsp; 2692685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7001, 4.36%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6105000 | &nbsp;&nbsp;&nbsp;&nbsp; 6164087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8052, 4.38%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8383000 | &nbsp;&nbsp;&nbsp;&nbsp; 8424102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7090, 4.45%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6373997 | &nbsp;&nbsp;&nbsp;&nbsp; 6453848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7095, 4.80%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3880935 | &nbsp;&nbsp;&nbsp;&nbsp; 4001999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7318, 4.94%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1442280 | &nbsp;&nbsp;&nbsp;&nbsp; 1499183 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7182, 5.11%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6292078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7267, 5.18%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2380000 | &nbsp;&nbsp;&nbsp;&nbsp; 2501301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6552, 1.56%, 1/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18974792 | &nbsp;&nbsp;&nbsp;&nbsp; 16088672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6474, 3.82%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6265135 | &nbsp;&nbsp;&nbsp;&nbsp; 6092764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ5699, 4.47%, 1/1/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 5014000 | &nbsp;&nbsp;&nbsp;&nbsp; 5060496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0743, 5.15%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4189478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD8548, 5.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 111379 | &nbsp;&nbsp;&nbsp;&nbsp; 112031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR7484, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 453802 | &nbsp;&nbsp;&nbsp;&nbsp; 447999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8335, 4.62%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2995000 | &nbsp;&nbsp;&nbsp;&nbsp; 3050232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6599, 1.73%, 3/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5878333 | &nbsp;&nbsp;&nbsp;&nbsp; 5009840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8334, 4.71%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4907518 | &nbsp;&nbsp;&nbsp;&nbsp; 5014242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7371, 5.02%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1007042 | &nbsp;&nbsp;&nbsp;&nbsp; 1046682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8288, 4.39%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4484000 | &nbsp;&nbsp;&nbsp;&nbsp; 4530727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8223, 4.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4030000 | &nbsp;&nbsp;&nbsp;&nbsp; 4087017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8256, 4.53%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6583000 | &nbsp;&nbsp;&nbsp;&nbsp; 6649481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8147, 4.72%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3644143 | &nbsp;&nbsp;&nbsp;&nbsp; 3712139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2088, 2.02%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5949647 | &nbsp;&nbsp;&nbsp;&nbsp; 5147739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8185, 4.17%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4973502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8238, 4.19%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1703985 | &nbsp;&nbsp;&nbsp;&nbsp; 1689701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8213, 4.22%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9761359 | &nbsp;&nbsp;&nbsp;&nbsp; 9747213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8203, 4.24%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3150000 | &nbsp;&nbsp;&nbsp;&nbsp; 3143662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8284, 4.43%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10005000 | &nbsp;&nbsp;&nbsp;&nbsp; 10099755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8152, 4.55%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1987000 | &nbsp;&nbsp;&nbsp;&nbsp; 2020072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7117, 3.50%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 493649 | &nbsp;&nbsp;&nbsp;&nbsp; 485234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8280, 4.30%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | &nbsp;&nbsp;&nbsp;&nbsp; 4502169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8703, 4.48%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5055692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8204, 4.67%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7296000 | &nbsp;&nbsp;&nbsp;&nbsp; 7486480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2389, 1.86%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18000000 | &nbsp;&nbsp;&nbsp;&nbsp; 15125682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9700, 3.67%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3379240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8883, 4.58%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4095000 | &nbsp;&nbsp;&nbsp;&nbsp; 4143274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2933, 1.82%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9632000 | &nbsp;&nbsp;&nbsp;&nbsp; 8071013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2496, 1.88%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4224648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9351, 4.70%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4102711 | &nbsp;&nbsp;&nbsp;&nbsp; 4173821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 754922, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18308 | &nbsp;&nbsp;&nbsp;&nbsp; 18653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3445, 1.88%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9179420 | &nbsp;&nbsp;&nbsp;&nbsp; 7852235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0466, 3.69%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2996488 | &nbsp;&nbsp;&nbsp;&nbsp; 2892344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 109738, 3.78%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4825000 | &nbsp;&nbsp;&nbsp;&nbsp; 4692807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3315, 1.82%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 23000000 | &nbsp;&nbsp;&nbsp;&nbsp; 19205004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762520, 4.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 79636 | &nbsp;&nbsp;&nbsp;&nbsp; 78659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4163, 2.04%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9190882 | &nbsp;&nbsp;&nbsp;&nbsp; 7904790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4484, 2.16%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5438989 | &nbsp;&nbsp;&nbsp;&nbsp; 4714809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4911, 2.49%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3720994 | &nbsp;&nbsp;&nbsp;&nbsp; 3265692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4985, 2.61%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5200000 | &nbsp;&nbsp;&nbsp;&nbsp; 4602415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5184, 2.67%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3288000 | &nbsp;&nbsp;&nbsp;&nbsp; 2909873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5237, 2.86%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8925454 | &nbsp;&nbsp;&nbsp;&nbsp; 7993721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7836, 4.75%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3373000 | &nbsp;&nbsp;&nbsp;&nbsp; 3437672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0565, 5.04%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 684000 | &nbsp;&nbsp;&nbsp;&nbsp; 711671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM6492, 3.76%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1572553 | &nbsp;&nbsp;&nbsp;&nbsp; 1526478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8440, 4.39%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6299368 | &nbsp;&nbsp;&nbsp;&nbsp; 6281680 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5314, 3.29%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5401000 | &nbsp;&nbsp;&nbsp;&nbsp; 4949108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6427, 3.75%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9130000 | &nbsp;&nbsp;&nbsp;&nbsp; 8718255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7816, 4.45%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3698000 | &nbsp;&nbsp;&nbsp;&nbsp; 3701562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8685, 4.72%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5235818 | &nbsp;&nbsp;&nbsp;&nbsp; 5314405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8567, 4.47%, 5/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2508807 | &nbsp;&nbsp;&nbsp;&nbsp; 2526348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1986993 | &nbsp;&nbsp;&nbsp;&nbsp; 1813035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ4986, 4.49%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1439000 | &nbsp;&nbsp;&nbsp;&nbsp; 1447310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5018, 2.88%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4358000 | &nbsp;&nbsp;&nbsp;&nbsp; 3784254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847108, 6.50%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 44049 | &nbsp;&nbsp;&nbsp;&nbsp; 45259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ4027, 5.33%, 11/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3150000 | &nbsp;&nbsp;&nbsp;&nbsp; 3343581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 881628, 5.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6076 | &nbsp;&nbsp;&nbsp;&nbsp; 6117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256128, 6.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5663 | &nbsp;&nbsp;&nbsp;&nbsp; 5920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7254, 5.42%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1924484 | &nbsp;&nbsp;&nbsp;&nbsp; 2033060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0417, 5.20%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5230182 | &nbsp;&nbsp;&nbsp;&nbsp; 5468373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4039, 2.37%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8134322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4040, 2.37%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 11965000 | &nbsp;&nbsp;&nbsp;&nbsp; 9687327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256651, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 11934 | &nbsp;&nbsp;&nbsp;&nbsp; 12560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888408, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 23892 | &nbsp;&nbsp;&nbsp;&nbsp; 24381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888373, 7.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 27608 | &nbsp;&nbsp;&nbsp;&nbsp; 28519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888796, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 75466 | &nbsp;&nbsp;&nbsp;&nbsp; 77498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888698, 7.00%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 31259 | &nbsp;&nbsp;&nbsp;&nbsp; 32853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7345, 3.21%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 7574898 | &nbsp;&nbsp;&nbsp;&nbsp; 6841731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0304, 3.44%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1376154 | &nbsp;&nbsp;&nbsp;&nbsp; 1302086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6588, 4.18%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2096000 | &nbsp;&nbsp;&nbsp;&nbsp; 1978052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257172, 5.50%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 13249 | &nbsp;&nbsp;&nbsp;&nbsp; 13464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0810, 6.00%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB1830, 3.50%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 67839 | &nbsp;&nbsp;&nbsp;&nbsp; 64634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2606, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 106694 | &nbsp;&nbsp;&nbsp;&nbsp; 102983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO6757, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 686648 | &nbsp;&nbsp;&nbsp;&nbsp; 675344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7225, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 513641 | &nbsp;&nbsp;&nbsp;&nbsp; 503377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 358016 | &nbsp;&nbsp;&nbsp;&nbsp; 350862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9353, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 458170 | &nbsp;&nbsp;&nbsp;&nbsp; 448293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP0838, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2621543 | &nbsp;&nbsp;&nbsp;&nbsp; 2565907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 169464 | &nbsp;&nbsp;&nbsp;&nbsp; 166078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1177, 3.50%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 251253 | &nbsp;&nbsp;&nbsp;&nbsp; 239980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1178, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 501909 | &nbsp;&nbsp;&nbsp;&nbsp; 491881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1213, 3.50%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1222748 | &nbsp;&nbsp;&nbsp;&nbsp; 1167888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 628374 | &nbsp;&nbsp;&nbsp;&nbsp; 583372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB8517, 3.00%, 2/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 270203 | &nbsp;&nbsp;&nbsp;&nbsp; 250850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1373, 3.50%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1369584 | &nbsp;&nbsp;&nbsp;&nbsp; 1308129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1437, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 382526 | &nbsp;&nbsp;&nbsp;&nbsp; 365359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1442, 4.00%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 900862 | &nbsp;&nbsp;&nbsp;&nbsp; 881743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1463, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 663355 | &nbsp;&nbsp;&nbsp;&nbsp; 630305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1552, 3.00%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 464982 | &nbsp;&nbsp;&nbsp;&nbsp; 431699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1582, 3.50%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 88045 | &nbsp;&nbsp;&nbsp;&nbsp; 83658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2434, 3.50%, 9/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 562560 | &nbsp;&nbsp;&nbsp;&nbsp; 531722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2493, 3.50%, 12/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 104743 | &nbsp;&nbsp;&nbsp;&nbsp; 99003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC1157, 3.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 260205 | &nbsp;&nbsp;&nbsp;&nbsp; 245966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2545, 3.50%, 2/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 151129 | &nbsp;&nbsp;&nbsp;&nbsp; 142847 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6970, 3.50%, 4/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1009762 | &nbsp;&nbsp;&nbsp;&nbsp; 954408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC8400, 3.50%, 5/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 323184 | &nbsp;&nbsp;&nbsp;&nbsp; 305467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS7424, 3.50%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 758192 | &nbsp;&nbsp;&nbsp;&nbsp; 716633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2658, 3.50%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2829344 | &nbsp;&nbsp;&nbsp;&nbsp; 2674282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0491, 3.50%, 12/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 12300312 | &nbsp;&nbsp;&nbsp;&nbsp; 11655811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0557, 2.50%, 12/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 5607771 | &nbsp;&nbsp;&nbsp;&nbsp; 4815236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0125, 4.00%, 7/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 8725900 | &nbsp;&nbsp;&nbsp;&nbsp; 8264946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0141, 5.50%, 9/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 6443169 | &nbsp;&nbsp;&nbsp;&nbsp; 6653832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0230, 5.50%, 1/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 5546762 | &nbsp;&nbsp;&nbsp;&nbsp; 5792203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0271, 5.50%, 5/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 5961072 | &nbsp;&nbsp;&nbsp;&nbsp; 6132930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0300, 4.00%, 8/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 14597022 | &nbsp;&nbsp;&nbsp;&nbsp; 14015791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0340, 5.00%, 1/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 5893720 | &nbsp;&nbsp;&nbsp;&nbsp; 5941436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7404, 4.00%, 8/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 10962795 | &nbsp;&nbsp;&nbsp;&nbsp; 10396860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4126782 | &nbsp;&nbsp;&nbsp;&nbsp; 3787810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0507, 3.00%, 9/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 2536834 | &nbsp;&nbsp;&nbsp;&nbsp; 2241428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7075, 3.00%, 3/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 3424003 | &nbsp;&nbsp;&nbsp;&nbsp; 3025169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0560, 2.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 8566297 | &nbsp;&nbsp;&nbsp;&nbsp; 7099728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0562, 3.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 7080782 | &nbsp;&nbsp;&nbsp;&nbsp; 6437006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0577, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 4153745 | &nbsp;&nbsp;&nbsp;&nbsp; 3504489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0582, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 9091503 | &nbsp;&nbsp;&nbsp;&nbsp; 8734424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 3668524 | &nbsp;&nbsp;&nbsp;&nbsp; 3469985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0586, 5.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 2676454 | &nbsp;&nbsp;&nbsp;&nbsp; 2684165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0617, 2.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 10627505 | &nbsp;&nbsp;&nbsp;&nbsp; 8808047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0604, 3.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 3247791 | &nbsp;&nbsp;&nbsp;&nbsp; 2952496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0674, 2.50%, 4/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 11975540 | &nbsp;&nbsp;&nbsp;&nbsp; 9925152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0673, 2.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 23955827 | &nbsp;&nbsp;&nbsp;&nbsp; 19854334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0654, 3.00%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 6380065 | &nbsp;&nbsp;&nbsp;&nbsp; 5534098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0655, 3.50%, 6/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 6478246 | &nbsp;&nbsp;&nbsp;&nbsp; 5889256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0694, 2.50%, 12/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 7452041 | &nbsp;&nbsp;&nbsp;&nbsp; 6338845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0701, 3.50%, 12/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 9076209 | &nbsp;&nbsp;&nbsp;&nbsp; 8250889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0732, 2.50%, 6/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 6925259 | &nbsp;&nbsp;&nbsp;&nbsp; 5791091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0733, 3.00%, 6/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 13867010 | &nbsp;&nbsp;&nbsp;&nbsp; 12028193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0767, 4.00%, 9/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 8444073 | &nbsp;&nbsp;&nbsp;&nbsp; 7987042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0802, 2.50%, 4/1/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 15069624 | &nbsp;&nbsp;&nbsp;&nbsp; 12601630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0804, 3.00%, 4/1/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 6129512 | &nbsp;&nbsp;&nbsp;&nbsp; 5385116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0809, 4.00%, 4/1/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 3175818 | &nbsp;&nbsp;&nbsp;&nbsp; 3019672 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 12/25/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51485000 | &nbsp;&nbsp;&nbsp;&nbsp; 51375641 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 780653, 6.50%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10258 | &nbsp;&nbsp;&nbsp;&nbsp; 10342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 450038, 7.50%, 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1968 | &nbsp;&nbsp;&nbsp;&nbsp; 1994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp;&nbsp;&nbsp; 699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486631, 6.50%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 556255, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 21478 | &nbsp;&nbsp;&nbsp;&nbsp; 22152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569568, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 62110 | &nbsp;&nbsp;&nbsp;&nbsp; 64273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 611453, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5778 | &nbsp;&nbsp;&nbsp;&nbsp; 5920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569423, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 17038 | &nbsp;&nbsp;&nbsp;&nbsp; 17568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11390 | &nbsp;&nbsp;&nbsp;&nbsp; 11803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 552665, 7.00%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11339 | &nbsp;&nbsp;&nbsp;&nbsp; 11599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782032, 7.00%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 26248 | &nbsp;&nbsp;&nbsp;&nbsp; 27267 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591420, 7.50%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12791 | &nbsp;&nbsp;&nbsp;&nbsp; 13149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9891 | &nbsp;&nbsp;&nbsp;&nbsp; 10216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604168, 6.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5704 | &nbsp;&nbsp;&nbsp;&nbsp; 5817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 15460 | &nbsp;&nbsp;&nbsp;&nbsp; 16299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 638733, 7.00%, 3/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 31408 | &nbsp;&nbsp;&nbsp;&nbsp; 33075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759537, 3.49%, 1/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 808743 | &nbsp;&nbsp;&nbsp;&nbsp; 778695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759561, 3.49%, 1/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 132547 | &nbsp;&nbsp;&nbsp;&nbsp; 127596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759374, 3.49%, 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 780778 | &nbsp;&nbsp;&nbsp;&nbsp; 752189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762703, 3.49%, 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 264267 | &nbsp;&nbsp;&nbsp;&nbsp; 254477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762954, 2.99%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 178654 | &nbsp;&nbsp;&nbsp;&nbsp; 171809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763239, 2.99%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 87438 | &nbsp;&nbsp;&nbsp;&nbsp; 84980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762751, 3.49%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1068083 | &nbsp;&nbsp;&nbsp;&nbsp; 1028303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762953, 3.49%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 599983 | &nbsp;&nbsp;&nbsp;&nbsp; 577635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762973, 3.49%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 92333 | &nbsp;&nbsp;&nbsp;&nbsp; 88695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763140, 3.13%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 104324 | &nbsp;&nbsp;&nbsp;&nbsp; 100935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763021, 3.49%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 125056 | &nbsp;&nbsp;&nbsp;&nbsp; 119616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763180, 3.49%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 56302 | &nbsp;&nbsp;&nbsp;&nbsp; 53890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 380437, 3.13%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 94783 | &nbsp;&nbsp;&nbsp;&nbsp; 92368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770881, 3.13%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 102264 | &nbsp;&nbsp;&nbsp;&nbsp; 99101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763366, 3.49%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 50194 | &nbsp;&nbsp;&nbsp;&nbsp; 48166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770909, 2.99%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 231967 | &nbsp;&nbsp;&nbsp;&nbsp; 225294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 380436, 3.38%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 278126 | &nbsp;&nbsp;&nbsp;&nbsp; 270202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770754, 3.38%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 298775 | &nbsp;&nbsp;&nbsp;&nbsp; 291527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7652, 4.00%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 856147 | &nbsp;&nbsp;&nbsp;&nbsp; 823081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784450, 4.00%, 2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3487112 | &nbsp;&nbsp;&nbsp;&nbsp; 3352325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6468, 5.00%, 12/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2037906 | &nbsp;&nbsp;&nbsp;&nbsp; 2046279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1750, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1411344 | &nbsp;&nbsp;&nbsp;&nbsp; 1417142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4206, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1167516 | &nbsp;&nbsp;&nbsp;&nbsp; 1178628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4207, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 669286 | &nbsp;&nbsp;&nbsp;&nbsp; 674105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4208, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2647509 | &nbsp;&nbsp;&nbsp;&nbsp; 2669794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1957, 5.00%, 5/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1606666 | &nbsp;&nbsp;&nbsp;&nbsp; 1613267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4051, 5.00%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2427027 | &nbsp;&nbsp;&nbsp;&nbsp; 2450127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4052, 5.00%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2362967 | &nbsp;&nbsp;&nbsp;&nbsp; 2379980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4053, 5.00%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3480422 | &nbsp;&nbsp;&nbsp;&nbsp; 3522417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9691, 4.50%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2200163 | &nbsp;&nbsp;&nbsp;&nbsp; 2173682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2141, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1089613 | &nbsp;&nbsp;&nbsp;&nbsp; 1109416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2163, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2250019 | &nbsp;&nbsp;&nbsp;&nbsp; 2293775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2281, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2308155 | &nbsp;&nbsp;&nbsp;&nbsp; 2308722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2305, 5.00%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1422082 | &nbsp;&nbsp;&nbsp;&nbsp; 1442129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2390, 3.50%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1078175 | &nbsp;&nbsp;&nbsp;&nbsp; 1031220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7021, 3.50%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3004234 | &nbsp;&nbsp;&nbsp;&nbsp; 2873397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7044, 3.50%, 9/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2776811 | &nbsp;&nbsp;&nbsp;&nbsp; 2655878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7064, 3.50%, 10/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1272109 | &nbsp;&nbsp;&nbsp;&nbsp; 1216706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7857, 3.50%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 908540 | &nbsp;&nbsp;&nbsp;&nbsp; 868971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7874, 3.50%, 12/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 690049 | &nbsp;&nbsp;&nbsp;&nbsp; 659996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3251, 3.50%, 12/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1094817 | &nbsp;&nbsp;&nbsp;&nbsp; 1047817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7887, 3.50%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2121733 | &nbsp;&nbsp;&nbsp;&nbsp; 2029325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3320, 3.50%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1484397 | &nbsp;&nbsp;&nbsp;&nbsp; 1420672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3304, 3.50%, 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 757019 | &nbsp;&nbsp;&nbsp;&nbsp; 724520 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE2513, 3.50%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1093917 | &nbsp;&nbsp;&nbsp;&nbsp; 1007393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1898, 5.50%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4437074 | &nbsp;&nbsp;&nbsp;&nbsp; 4696480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1926, 5.00%, 10/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4032840 | &nbsp;&nbsp;&nbsp;&nbsp; 4213385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CR2385, 5.50%, 4/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3525718 | &nbsp;&nbsp;&nbsp;&nbsp; 3731922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU0301, 6.50%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9230167 | &nbsp;&nbsp;&nbsp;&nbsp; 9600277 |
| &nbsp;&nbsp;&nbsp; GNMA I, Other Pool # BX7719, 1.97%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2620841 | &nbsp;&nbsp;&nbsp;&nbsp; 2156995 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG8187, ARM, 5.21%, 8/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9173008 | &nbsp;&nbsp;&nbsp;&nbsp; 9548673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH2658, ARM, 5.26%, 9/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5014784 | &nbsp;&nbsp;&nbsp;&nbsp; 5219536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH4939, ARM, 5.20%, 10/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3447040 | &nbsp;&nbsp;&nbsp;&nbsp; 3578795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ6767, ARM, 5.12%, 11/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9199791 | &nbsp;&nbsp;&nbsp;&nbsp; 9544414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ7141, ARM, 5.22%, 11/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4261903 | &nbsp;&nbsp;&nbsp;&nbsp; 4433268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ9640, ARM, 5.31%, 11/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9888061 | &nbsp;&nbsp;&nbsp;&nbsp; 10311207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5557, ARM, 5.39%, 11/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10602765 | &nbsp;&nbsp;&nbsp;&nbsp; 11107636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2767, ARM, 5.42%, 12/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9084562 | &nbsp;&nbsp;&nbsp;&nbsp; 9523125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ7149, ARM, 5.46%, 12/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6022189 | &nbsp;&nbsp;&nbsp;&nbsp; 6318354 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2234, 8.00%, 6/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2270, 8.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2324, 8.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp;&nbsp;&nbsp; 468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2549, 7.50%, 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 619 | &nbsp;&nbsp;&nbsp;&nbsp; 632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737076, 6.50%, 10/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 67167 | &nbsp;&nbsp;&nbsp;&nbsp; 68095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 616732, 6.50%, 9/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1915 | &nbsp;&nbsp;&nbsp;&nbsp; 1911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 748766, 6.50%, 1/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 30121 | &nbsp;&nbsp;&nbsp;&nbsp; 31310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752496, 6.50%, 1/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 52575 | &nbsp;&nbsp;&nbsp;&nbsp; 55270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783389, 6.00%, 8/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 269412 | &nbsp;&nbsp;&nbsp;&nbsp; 281413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783444, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 62317 | &nbsp;&nbsp;&nbsp;&nbsp; 64266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742853, 3.88%, 4/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 917174 | &nbsp;&nbsp;&nbsp;&nbsp; 866296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742810, 3.88%, 6/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 869287 | &nbsp;&nbsp;&nbsp;&nbsp; 821586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742801, 3.88%, 8/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 316227 | &nbsp;&nbsp;&nbsp;&nbsp; 298871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742876, 3.25%, 11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 772256 | &nbsp;&nbsp;&nbsp;&nbsp; 708117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742878, 3.88%, 11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3272023 | &nbsp;&nbsp;&nbsp;&nbsp; 3090428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8504, 2.50%, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 779608 | &nbsp;&nbsp;&nbsp;&nbsp; 711663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742883, 3.25%, 2/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1539411 | &nbsp;&nbsp;&nbsp;&nbsp; 1436324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742885, 3.75%, 2/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 79875 | &nbsp;&nbsp;&nbsp;&nbsp; 75258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742884, 3.88%, 2/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1452803 | &nbsp;&nbsp;&nbsp;&nbsp; 1373059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751810, 3.50%, 3/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 570852 | &nbsp;&nbsp;&nbsp;&nbsp; 526119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1781, 4.50%, 5/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 484545 | &nbsp;&nbsp;&nbsp;&nbsp; 480966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1778, 4.00%, 10/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 413313 | &nbsp;&nbsp;&nbsp;&nbsp; 401010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1774, 3.50%, 12/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1000517 | &nbsp;&nbsp;&nbsp;&nbsp; 921576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1664, 4.00%, 12/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 648748 | &nbsp;&nbsp;&nbsp;&nbsp; 629430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1780, 4.50%, 10/20/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 646785 | &nbsp;&nbsp;&nbsp;&nbsp; 640411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE8053, 4.00%, 12/20/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 371620 | &nbsp;&nbsp;&nbsp;&nbsp; 358393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1770, 3.00%, 6/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1648947 | &nbsp;&nbsp;&nbsp;&nbsp; 1488482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1661, 3.50%, 8/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 704426 | &nbsp;&nbsp;&nbsp;&nbsp; 649427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1773, 3.50%, 9/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1967332 | &nbsp;&nbsp;&nbsp;&nbsp; 1819270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AJ9020, 4.50%, 10/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 126106 | &nbsp;&nbsp;&nbsp;&nbsp; 123721 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783967, 4.25%, 12/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1327205 | &nbsp;&nbsp;&nbsp;&nbsp; 1268102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1777, 4.00%, 3/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 345774 | &nbsp;&nbsp;&nbsp;&nbsp; 333767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6444, 2.50%, 11/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 438052 | &nbsp;&nbsp;&nbsp;&nbsp; 378890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8502, 2.50%, 12/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1379247 | &nbsp;&nbsp;&nbsp;&nbsp; 1193867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8503, 2.50%, 12/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 810117 | &nbsp;&nbsp;&nbsp;&nbsp; 699960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK8803, 4.00%, 3/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 764556 | &nbsp;&nbsp;&nbsp;&nbsp; 728536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1663, 4.00%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1121764 | &nbsp;&nbsp;&nbsp;&nbsp; 1080581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS8110, 3.75%, 8/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1649395 | &nbsp;&nbsp;&nbsp;&nbsp; 1550920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2378, 3.25%, 2/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 253125 | &nbsp;&nbsp;&nbsp;&nbsp; 233000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2381, 4.25%, 7/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 818046 | &nbsp;&nbsp;&nbsp;&nbsp; 791192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1769, 3.00%, 8/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1500411 | &nbsp;&nbsp;&nbsp;&nbsp; 1354273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1654, 3.00%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 653164 | &nbsp;&nbsp;&nbsp;&nbsp; 591973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2388, 4.25%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2817663 | &nbsp;&nbsp;&nbsp;&nbsp; 2725170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD3185, 4.00%, 10/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7872915 | &nbsp;&nbsp;&nbsp;&nbsp; 7492155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1660, 3.50%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1201364 | &nbsp;&nbsp;&nbsp;&nbsp; 1109401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1772, 3.50%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3261202 | &nbsp;&nbsp;&nbsp;&nbsp; 2991415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1776, 4.00%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1391174 | &nbsp;&nbsp;&nbsp;&nbsp; 1325661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2392, 4.25%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3120994 | &nbsp;&nbsp;&nbsp;&nbsp; 3014686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE4662, 4.00%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 10648479 | &nbsp;&nbsp;&nbsp;&nbsp; 10274863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BB8795, 4.00%, 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1984488 | &nbsp;&nbsp;&nbsp;&nbsp; 1882356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2395, 4.25%, 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1982307 | &nbsp;&nbsp;&nbsp;&nbsp; 1918444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2404, 4.25%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2996188 | &nbsp;&nbsp;&nbsp;&nbsp; 2897797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG6360, 5.00%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1765524 | &nbsp;&nbsp;&nbsp;&nbsp; 1815839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2645, 5.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 315386 | &nbsp;&nbsp;&nbsp;&nbsp; 323124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2405, 4.25%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3730526 | &nbsp;&nbsp;&nbsp;&nbsp; 3610325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0531, 5.00%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 502769 | &nbsp;&nbsp;&nbsp;&nbsp; 508832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0532, 5.00%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 487423 | &nbsp;&nbsp;&nbsp;&nbsp; 487833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2971, 5.00%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 825343 | &nbsp;&nbsp;&nbsp;&nbsp; 831368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2407, 4.25%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1454516 | &nbsp;&nbsp;&nbsp;&nbsp; 1406751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2408, 4.50%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 666023 | &nbsp;&nbsp;&nbsp;&nbsp; 655334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG7397, 4.50%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 741915 | &nbsp;&nbsp;&nbsp;&nbsp; 735108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF3017, 5.00%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 799768 | &nbsp;&nbsp;&nbsp;&nbsp; 808194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2409, 4.25%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1316195 | &nbsp;&nbsp;&nbsp;&nbsp; 1271346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2410, 4.50%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 780781 | &nbsp;&nbsp;&nbsp;&nbsp; 768250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0550, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 643541 | &nbsp;&nbsp;&nbsp;&nbsp; 650148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG7389, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 861644 | &nbsp;&nbsp;&nbsp;&nbsp; 870691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG7391, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 649057 | &nbsp;&nbsp;&nbsp;&nbsp; 660724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2412, 4.50%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3822237 | &nbsp;&nbsp;&nbsp;&nbsp; 3760894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784626, 4.50%, 10/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 445204 | &nbsp;&nbsp;&nbsp;&nbsp; 438468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI4488, 4.50%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 680176 | &nbsp;&nbsp;&nbsp;&nbsp; 670310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2585, 5.00%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 333193 | &nbsp;&nbsp;&nbsp;&nbsp; 339467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2586, 5.00%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 395730 | &nbsp;&nbsp;&nbsp;&nbsp; 401178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6431, 4.50%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1037347 | &nbsp;&nbsp;&nbsp;&nbsp; 1031828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6669, 4.50%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 938751 | &nbsp;&nbsp;&nbsp;&nbsp; 936953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH3133, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1688223 | &nbsp;&nbsp;&nbsp;&nbsp; 1695461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7083, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 142063 | &nbsp;&nbsp;&nbsp;&nbsp; 143441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7084, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 879278 | &nbsp;&nbsp;&nbsp;&nbsp; 896234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7169, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 683531 | &nbsp;&nbsp;&nbsp;&nbsp; 691884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1334, 5.00%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1583727 | &nbsp;&nbsp;&nbsp;&nbsp; 1590364 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9641, 5.00%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1007130 | &nbsp;&nbsp;&nbsp;&nbsp; 1037801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9642, 5.00%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 902280 | &nbsp;&nbsp;&nbsp;&nbsp; 931313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9824, 4.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1851319 | &nbsp;&nbsp;&nbsp;&nbsp; 1821616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9825, 4.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 801726 | &nbsp;&nbsp;&nbsp;&nbsp; 788863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7188, 4.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 882491 | &nbsp;&nbsp;&nbsp;&nbsp; 873573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9630, 5.00%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 305659 | &nbsp;&nbsp;&nbsp;&nbsp; 309015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9633, 5.00%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 496766 | &nbsp;&nbsp;&nbsp;&nbsp; 501984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7189, 5.00%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 962759 | &nbsp;&nbsp;&nbsp;&nbsp; 978337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7198, 4.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 696625 | &nbsp;&nbsp;&nbsp;&nbsp; 682436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6765, 5.50%, 5/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1259329 | &nbsp;&nbsp;&nbsp;&nbsp; 1291065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0907, 4.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 710868 | &nbsp;&nbsp;&nbsp;&nbsp; 699462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1498, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 990444 | &nbsp;&nbsp;&nbsp;&nbsp; 996826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1499, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1793229 | &nbsp;&nbsp;&nbsp;&nbsp; 1806301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1500, 5.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 547879 | &nbsp;&nbsp;&nbsp;&nbsp; 557472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2627, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1733345 | &nbsp;&nbsp;&nbsp;&nbsp; 1652707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2628, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1822225 | &nbsp;&nbsp;&nbsp;&nbsp; 1736327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0521, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 314584 | &nbsp;&nbsp;&nbsp;&nbsp; 302282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9692, 4.50%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 526140 | &nbsp;&nbsp;&nbsp;&nbsp; 516261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0879, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 310693 | &nbsp;&nbsp;&nbsp;&nbsp; 315065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3160, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 667500 | &nbsp;&nbsp;&nbsp;&nbsp; 683206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4237, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 681117 | &nbsp;&nbsp;&nbsp;&nbsp; 695235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4238, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 219605 | &nbsp;&nbsp;&nbsp;&nbsp; 226289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4240, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 642974 | &nbsp;&nbsp;&nbsp;&nbsp; 664071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4241, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 814485 | &nbsp;&nbsp;&nbsp;&nbsp; 842447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4242, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 320627 | &nbsp;&nbsp;&nbsp;&nbsp; 334181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9354, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1173518 | &nbsp;&nbsp;&nbsp;&nbsp; 1117541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2327, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 522031 | &nbsp;&nbsp;&nbsp;&nbsp; 489758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2418, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1012219 | &nbsp;&nbsp;&nbsp;&nbsp; 978261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0884, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 303183 | &nbsp;&nbsp;&nbsp;&nbsp; 289084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0889, 4.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 208650 | &nbsp;&nbsp;&nbsp;&nbsp; 205303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN7048, 4.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2101913 | &nbsp;&nbsp;&nbsp;&nbsp; 2067864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN7049, 4.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2943440 | &nbsp;&nbsp;&nbsp;&nbsp; 2917118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0890, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 256416 | &nbsp;&nbsp;&nbsp;&nbsp; 261097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0891, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 343651 | &nbsp;&nbsp;&nbsp;&nbsp; 348488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0893, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 368259 | &nbsp;&nbsp;&nbsp;&nbsp; 373441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3257, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 568075 | &nbsp;&nbsp;&nbsp;&nbsp; 579914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4290, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 536281 | &nbsp;&nbsp;&nbsp;&nbsp; 541914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4291, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 453526 | &nbsp;&nbsp;&nbsp;&nbsp; 458290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4292, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1420614 | &nbsp;&nbsp;&nbsp;&nbsp; 1442245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4293, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1328388 | &nbsp;&nbsp;&nbsp;&nbsp; 1350486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4294, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 643595 | &nbsp;&nbsp;&nbsp;&nbsp; 660081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0896, 4.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1156169 | &nbsp;&nbsp;&nbsp;&nbsp; 1100248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0930, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1464934 | &nbsp;&nbsp;&nbsp;&nbsp; 1489379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9714, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 120154 | &nbsp;&nbsp;&nbsp;&nbsp; 120712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784810, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3000010 | &nbsp;&nbsp;&nbsp;&nbsp; 3002541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2995, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1788294 | &nbsp;&nbsp;&nbsp;&nbsp; 1844315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP2853, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 850358 | &nbsp;&nbsp;&nbsp;&nbsp; 862325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8644, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1013067 | &nbsp;&nbsp;&nbsp;&nbsp; 1027322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8645, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 516860 | &nbsp;&nbsp;&nbsp;&nbsp; 524134 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3138, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 713765 | &nbsp;&nbsp;&nbsp;&nbsp; 680119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2994, 4.50%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 473516 | &nbsp;&nbsp;&nbsp;&nbsp; 474386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ9513, 3.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 999058 | &nbsp;&nbsp;&nbsp;&nbsp; 927135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3791, 4.00%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1169826 | &nbsp;&nbsp;&nbsp;&nbsp; 1109616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2638, 4.00%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 268788 | &nbsp;&nbsp;&nbsp;&nbsp; 256283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784847, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2904480 | &nbsp;&nbsp;&nbsp;&nbsp; 2841733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP2896, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1256022 | &nbsp;&nbsp;&nbsp;&nbsp; 1241299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7772, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 315402 | &nbsp;&nbsp;&nbsp;&nbsp; 317742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8665, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 487258 | &nbsp;&nbsp;&nbsp;&nbsp; 479441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8666, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1162510 | &nbsp;&nbsp;&nbsp;&nbsp; 1143858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8667, 5.00%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 585783 | &nbsp;&nbsp;&nbsp;&nbsp; 594027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8668, 5.00%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 349113 | &nbsp;&nbsp;&nbsp;&nbsp; 354026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR1542, 5.00%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 763957 | &nbsp;&nbsp;&nbsp;&nbsp; 769736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8669, 5.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 229691 | &nbsp;&nbsp;&nbsp;&nbsp; 235521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7668, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5076268 | &nbsp;&nbsp;&nbsp;&nbsp; 4726527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7795, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1526642 | &nbsp;&nbsp;&nbsp;&nbsp; 1417739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8670, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 649345 | &nbsp;&nbsp;&nbsp;&nbsp; 600797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9372, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 585352 | &nbsp;&nbsp;&nbsp;&nbsp; 555770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5516, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 596823 | &nbsp;&nbsp;&nbsp;&nbsp; 578400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8672, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 550255 | &nbsp;&nbsp;&nbsp;&nbsp; 524996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8673, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 728314 | &nbsp;&nbsp;&nbsp;&nbsp; 694436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8674, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 920214 | &nbsp;&nbsp;&nbsp;&nbsp; 876268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3790, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3382808 | &nbsp;&nbsp;&nbsp;&nbsp; 3187797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9866, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2294416 | &nbsp;&nbsp;&nbsp;&nbsp; 2257599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9374, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 135725 | &nbsp;&nbsp;&nbsp;&nbsp; 137005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8676, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 505754 | &nbsp;&nbsp;&nbsp;&nbsp; 497639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8677, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1421128 | &nbsp;&nbsp;&nbsp;&nbsp; 1398326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8678, 5.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 948665 | &nbsp;&nbsp;&nbsp;&nbsp; 962015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8679, 5.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 742403 | &nbsp;&nbsp;&nbsp;&nbsp; 758379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8021, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1462878 | &nbsp;&nbsp;&nbsp;&nbsp; 1384539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8681, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1178522 | &nbsp;&nbsp;&nbsp;&nbsp; 1080978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9379, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2164986 | &nbsp;&nbsp;&nbsp;&nbsp; 2053620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8682, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1022995 | &nbsp;&nbsp;&nbsp;&nbsp; 976065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8683, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 856299 | &nbsp;&nbsp;&nbsp;&nbsp; 816482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT0281, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2863872 | &nbsp;&nbsp;&nbsp;&nbsp; 2810290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8688, 4.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1649471 | &nbsp;&nbsp;&nbsp;&nbsp; 1623014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR0539, 4.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1520811 | &nbsp;&nbsp;&nbsp;&nbsp; 1502988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8020, 3.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 685767 | &nbsp;&nbsp;&nbsp;&nbsp; 649551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8022, 3.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1085021 | &nbsp;&nbsp;&nbsp;&nbsp; 1021016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1338, 4.00%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2536420 | &nbsp;&nbsp;&nbsp;&nbsp; 2405951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7054, 4.00%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1807468 | &nbsp;&nbsp;&nbsp;&nbsp; 1722296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7057, 4.25%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 807731 | &nbsp;&nbsp;&nbsp;&nbsp; 771940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8384, 5.00%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1087153 | &nbsp;&nbsp;&nbsp;&nbsp; 1106948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8400, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4175542 | &nbsp;&nbsp;&nbsp;&nbsp; 3768577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT0397, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 514944 | &nbsp;&nbsp;&nbsp;&nbsp; 464756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4110, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4459161 | &nbsp;&nbsp;&nbsp;&nbsp; 4249864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5879, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 936536 | &nbsp;&nbsp;&nbsp;&nbsp; 865955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8411, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2669908 | &nbsp;&nbsp;&nbsp;&nbsp; 2462093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT0399, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 947599 | &nbsp;&nbsp;&nbsp;&nbsp; 869153 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3628, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1666998 | &nbsp;&nbsp;&nbsp;&nbsp; 1597821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3629, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 712220 | &nbsp;&nbsp;&nbsp;&nbsp; 678790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8043, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1114970 | &nbsp;&nbsp;&nbsp;&nbsp; 1039349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8044, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2614228 | &nbsp;&nbsp;&nbsp;&nbsp; 2430095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8045, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3368165 | &nbsp;&nbsp;&nbsp;&nbsp; 3116409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8046, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3961213 | &nbsp;&nbsp;&nbsp;&nbsp; 3669630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8047, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2801811 | &nbsp;&nbsp;&nbsp;&nbsp; 2640871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8048, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2849337 | &nbsp;&nbsp;&nbsp;&nbsp; 2718231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5873, 4.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 434649 | &nbsp;&nbsp;&nbsp;&nbsp; 412693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5874, 4.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2062677 | &nbsp;&nbsp;&nbsp;&nbsp; 1962943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7064, 3.50%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 578200 | &nbsp;&nbsp;&nbsp;&nbsp; 534269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3736, 3.50%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1580495 | &nbsp;&nbsp;&nbsp;&nbsp; 1461386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU3072, 5.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 684876 | &nbsp;&nbsp;&nbsp;&nbsp; 706445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4098, 3.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5482415 | &nbsp;&nbsp;&nbsp;&nbsp; 4954869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3899, 3.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 747896 | &nbsp;&nbsp;&nbsp;&nbsp; 675004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT4019, 3.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3156173 | &nbsp;&nbsp;&nbsp;&nbsp; 2848581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7069, 3.25%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1456035 | &nbsp;&nbsp;&nbsp;&nbsp; 1324779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7083, 3.25%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 144322 | &nbsp;&nbsp;&nbsp;&nbsp; 130934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7609, 3.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2599931 | &nbsp;&nbsp;&nbsp;&nbsp; 2384723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3843, 3.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1384908 | &nbsp;&nbsp;&nbsp;&nbsp; 1293922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2935, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 560219 | &nbsp;&nbsp;&nbsp;&nbsp; 570949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6609, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 196484 | &nbsp;&nbsp;&nbsp;&nbsp; 198427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6631, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1180066 | &nbsp;&nbsp;&nbsp;&nbsp; 1183815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6670, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 391115 | &nbsp;&nbsp;&nbsp;&nbsp; 392569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA6661, 5.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 65887 | &nbsp;&nbsp;&nbsp;&nbsp; 67950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT4096, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4020148 | &nbsp;&nbsp;&nbsp;&nbsp; 3608443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7682, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3251710 | &nbsp;&nbsp;&nbsp;&nbsp; 2966959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7084, 3.25%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2045787 | &nbsp;&nbsp;&nbsp;&nbsp; 1861353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8680, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1320143 | &nbsp;&nbsp;&nbsp;&nbsp; 1221496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8683, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 834362 | &nbsp;&nbsp;&nbsp;&nbsp; 771487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8684, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1329533 | &nbsp;&nbsp;&nbsp;&nbsp; 1228525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8685, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1195686 | &nbsp;&nbsp;&nbsp;&nbsp; 1096714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7086, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2190191 | &nbsp;&nbsp;&nbsp;&nbsp; 2085632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7092, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1749268 | &nbsp;&nbsp;&nbsp;&nbsp; 1677836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3901, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 746981 | &nbsp;&nbsp;&nbsp;&nbsp; 708554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT4070, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 488998 | &nbsp;&nbsp;&nbsp;&nbsp; 473309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8688, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1233571 | &nbsp;&nbsp;&nbsp;&nbsp; 1173922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7087, 4.25%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 561734 | &nbsp;&nbsp;&nbsp;&nbsp; 543643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2372, 4.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 934185 | &nbsp;&nbsp;&nbsp;&nbsp; 923237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6632, 4.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1960030 | &nbsp;&nbsp;&nbsp;&nbsp; 1976996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7088, 5.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 764260 | &nbsp;&nbsp;&nbsp;&nbsp; 770300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8696, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2492718 | &nbsp;&nbsp;&nbsp;&nbsp; 2249792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8711, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2687872 | &nbsp;&nbsp;&nbsp;&nbsp; 2425927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8727, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1454721 | &nbsp;&nbsp;&nbsp;&nbsp; 1320189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW0561, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1071804 | &nbsp;&nbsp;&nbsp;&nbsp; 952101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7085, 3.25%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3957767 | &nbsp;&nbsp;&nbsp;&nbsp; 3600955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8699, 3.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1595561 | &nbsp;&nbsp;&nbsp;&nbsp; 1476336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8700, 3.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1297974 | &nbsp;&nbsp;&nbsp;&nbsp; 1190550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8716, 3.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1847182 | &nbsp;&nbsp;&nbsp;&nbsp; 1694277 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7097, 4.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2797511 | &nbsp;&nbsp;&nbsp;&nbsp; 2658775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7564, 4.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1836993 | &nbsp;&nbsp;&nbsp;&nbsp; 1742492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8702, 4.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 670040 | &nbsp;&nbsp;&nbsp;&nbsp; 638054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5975, 4.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 538692 | &nbsp;&nbsp;&nbsp;&nbsp; 510979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5994, 4.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 719121 | &nbsp;&nbsp;&nbsp;&nbsp; 704114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2395, 4.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1097632 | &nbsp;&nbsp;&nbsp;&nbsp; 1091166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8722, 2.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2535127 | &nbsp;&nbsp;&nbsp;&nbsp; 2192534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8726, 3.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 630968 | &nbsp;&nbsp;&nbsp;&nbsp; 569485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4922, 3.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 163858 | &nbsp;&nbsp;&nbsp;&nbsp; 147952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4923, 3.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2082045 | &nbsp;&nbsp;&nbsp;&nbsp; 1879163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1746, 3.25%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3165400 | &nbsp;&nbsp;&nbsp;&nbsp; 2880031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3911, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3269988 | &nbsp;&nbsp;&nbsp;&nbsp; 2999297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2402, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4545206 | &nbsp;&nbsp;&nbsp;&nbsp; 4168964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4927, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 538519 | &nbsp;&nbsp;&nbsp;&nbsp; 497614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4928, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1602081 | &nbsp;&nbsp;&nbsp;&nbsp; 1469486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4939, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2257181 | &nbsp;&nbsp;&nbsp;&nbsp; 2087076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1747, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 577304 | &nbsp;&nbsp;&nbsp;&nbsp; 548675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7383, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2935115 | &nbsp;&nbsp;&nbsp;&nbsp; 2820919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX6092, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2119761 | &nbsp;&nbsp;&nbsp;&nbsp; 2037287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX6093, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4723720 | &nbsp;&nbsp;&nbsp;&nbsp; 4498227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW0559, 4.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 612811 | &nbsp;&nbsp;&nbsp;&nbsp; 600339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7033, 4.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 305011 | &nbsp;&nbsp;&nbsp;&nbsp; 301436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1653, 3.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 292892 | &nbsp;&nbsp;&nbsp;&nbsp; 264736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1757, 3.25%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3189716 | &nbsp;&nbsp;&nbsp;&nbsp; 2902161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3917, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6691247 | &nbsp;&nbsp;&nbsp;&nbsp; 6137335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7559, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4655959 | &nbsp;&nbsp;&nbsp;&nbsp; 4270510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1718, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2928249 | &nbsp;&nbsp;&nbsp;&nbsp; 2703933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1758, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1780199 | &nbsp;&nbsp;&nbsp;&nbsp; 1644925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4956, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1916106 | &nbsp;&nbsp;&nbsp;&nbsp; 1772897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY3407, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2635398 | &nbsp;&nbsp;&nbsp;&nbsp; 2438420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY3408, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 864261 | &nbsp;&nbsp;&nbsp;&nbsp; 799128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY3432, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2687317 | &nbsp;&nbsp;&nbsp;&nbsp; 2464866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3918, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 520439 | &nbsp;&nbsp;&nbsp;&nbsp; 493669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1759, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1293137 | &nbsp;&nbsp;&nbsp;&nbsp; 1230602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX3717, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 581014 | &nbsp;&nbsp;&nbsp;&nbsp; 553851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX3718, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 625043 | &nbsp;&nbsp;&nbsp;&nbsp; 595088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7043, 4.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 956977 | &nbsp;&nbsp;&nbsp;&nbsp; 945761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1760, 4.75%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 967395 | &nbsp;&nbsp;&nbsp;&nbsp; 961990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4971, 2.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1203863 | &nbsp;&nbsp;&nbsp;&nbsp; 1041896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6410, 2.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 886921 | &nbsp;&nbsp;&nbsp;&nbsp; 767039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1771, 3.00%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1276655 | &nbsp;&nbsp;&nbsp;&nbsp; 1152216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1772, 3.25%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1268739 | &nbsp;&nbsp;&nbsp;&nbsp; 1154349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7550, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5241732 | &nbsp;&nbsp;&nbsp;&nbsp; 4807798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1773, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1186829 | &nbsp;&nbsp;&nbsp;&nbsp; 1097373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6416, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1458085 | &nbsp;&nbsp;&nbsp;&nbsp; 1349108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1658, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 594720 | &nbsp;&nbsp;&nbsp;&nbsp; 550272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6421, 4.00%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 778913 | &nbsp;&nbsp;&nbsp;&nbsp; 738842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1662, 4.00%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 736485 | &nbsp;&nbsp;&nbsp;&nbsp; 700427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1774, 4.25%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 990894 | &nbsp;&nbsp;&nbsp;&nbsp; 957148 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6440, 2.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1753150 | &nbsp;&nbsp;&nbsp;&nbsp; 1517327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6441, 2.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1684333 | &nbsp;&nbsp;&nbsp;&nbsp; 1455167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6443, 2.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1592143 | &nbsp;&nbsp;&nbsp;&nbsp; 1372313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6445, 2.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1911931 | &nbsp;&nbsp;&nbsp;&nbsp; 1653540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6447, 3.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2612417 | &nbsp;&nbsp;&nbsp;&nbsp; 2361084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2574, 3.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 747912 | &nbsp;&nbsp;&nbsp;&nbsp; 675008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3559, 3.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 711338 | &nbsp;&nbsp;&nbsp;&nbsp; 642000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2575, 3.25%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2555633 | &nbsp;&nbsp;&nbsp;&nbsp; 2325216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6453, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 737797 | &nbsp;&nbsp;&nbsp;&nbsp; 684020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6454, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1595229 | &nbsp;&nbsp;&nbsp;&nbsp; 1476975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6455, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1251428 | &nbsp;&nbsp;&nbsp;&nbsp; 1157900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6456, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 632334 | &nbsp;&nbsp;&nbsp;&nbsp; 590617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1771, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1556751 | &nbsp;&nbsp;&nbsp;&nbsp; 1427905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3527, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4135016 | &nbsp;&nbsp;&nbsp;&nbsp; 3818276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3560, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 824954 | &nbsp;&nbsp;&nbsp;&nbsp; 756662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY5559, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3308940 | &nbsp;&nbsp;&nbsp;&nbsp; 3138699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6457, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 518931 | &nbsp;&nbsp;&nbsp;&nbsp; 496812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6458, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 485485 | &nbsp;&nbsp;&nbsp;&nbsp; 462399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2576, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2461266 | &nbsp;&nbsp;&nbsp;&nbsp; 2339207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7851, 4.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1390669 | &nbsp;&nbsp;&nbsp;&nbsp; 1374370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1779, 4.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 722896 | &nbsp;&nbsp;&nbsp;&nbsp; 710854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8546, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4505975 | &nbsp;&nbsp;&nbsp;&nbsp; 3874691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8499, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1423360 | &nbsp;&nbsp;&nbsp;&nbsp; 1234958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8500, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1645064 | &nbsp;&nbsp;&nbsp;&nbsp; 1425787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8501, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1910704 | &nbsp;&nbsp;&nbsp;&nbsp; 1653645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8505, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 977135 | &nbsp;&nbsp;&nbsp;&nbsp; 844200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8507, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2453814 | &nbsp;&nbsp;&nbsp;&nbsp; 2122131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2590, 3.25%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2121998 | &nbsp;&nbsp;&nbsp;&nbsp; 1930682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2591, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 908266 | &nbsp;&nbsp;&nbsp;&nbsp; 840928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2592, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1199143 | &nbsp;&nbsp;&nbsp;&nbsp; 1108760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8515, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1410038 | &nbsp;&nbsp;&nbsp;&nbsp; 1305536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8516, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 579406 | &nbsp;&nbsp;&nbsp;&nbsp; 536104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1775, 4.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1350419 | &nbsp;&nbsp;&nbsp;&nbsp; 1286779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ6501, 4.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3361705 | &nbsp;&nbsp;&nbsp;&nbsp; 3188746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8495, 4.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1090601 | &nbsp;&nbsp;&nbsp;&nbsp; 1034496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7873, 4.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 842418 | &nbsp;&nbsp;&nbsp;&nbsp; 832545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4508, 5.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 511531 | &nbsp;&nbsp;&nbsp;&nbsp; 518738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8530, 2.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 937204 | &nbsp;&nbsp;&nbsp;&nbsp; 805931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4502, 3.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1152299 | &nbsp;&nbsp;&nbsp;&nbsp; 1040045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4503, 3.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1063334 | &nbsp;&nbsp;&nbsp;&nbsp; 959739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2606, 3.25%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1725082 | &nbsp;&nbsp;&nbsp;&nbsp; 1569620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8847316 | &nbsp;&nbsp;&nbsp;&nbsp; 8006068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7890, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8612230 | &nbsp;&nbsp;&nbsp;&nbsp; 7899698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8541, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 743864 | &nbsp;&nbsp;&nbsp;&nbsp; 687377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8542, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 435284 | &nbsp;&nbsp;&nbsp;&nbsp; 398294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1505, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9382489 | &nbsp;&nbsp;&nbsp;&nbsp; 8642431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4504, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1345651 | &nbsp;&nbsp;&nbsp;&nbsp; 1245121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2614, 4.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 499067 | &nbsp;&nbsp;&nbsp;&nbsp; 473409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8544, 4.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 667097 | &nbsp;&nbsp;&nbsp;&nbsp; 636920 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2357, 4.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1097454 | &nbsp;&nbsp;&nbsp;&nbsp; 1061525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4506, 4.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1000853 | &nbsp;&nbsp;&nbsp;&nbsp; 975462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1543, 3.00%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5033124 | &nbsp;&nbsp;&nbsp;&nbsp; 4542781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3225, 3.25%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 764295 | &nbsp;&nbsp;&nbsp;&nbsp; 695418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA9001, 3.50%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6403717 | &nbsp;&nbsp;&nbsp;&nbsp; 5873895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3226, 3.50%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 662362 | &nbsp;&nbsp;&nbsp;&nbsp; 611133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4521, 3.50%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1091332 | &nbsp;&nbsp;&nbsp;&nbsp; 1017218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4522, 3.50%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 809866 | &nbsp;&nbsp;&nbsp;&nbsp; 767871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4524, 4.00%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1047493 | &nbsp;&nbsp;&nbsp;&nbsp; 998413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA8994, 4.50%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1097121 | &nbsp;&nbsp;&nbsp;&nbsp; 1084284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4433, 3.00%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2906725 | &nbsp;&nbsp;&nbsp;&nbsp; 2582244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3240, 3.25%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 905367 | &nbsp;&nbsp;&nbsp;&nbsp; 820553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3242, 3.50%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1658650 | &nbsp;&nbsp;&nbsp;&nbsp; 1527803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4538, 3.50%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 973410 | &nbsp;&nbsp;&nbsp;&nbsp; 897759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3253, 3.25%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 933528 | &nbsp;&nbsp;&nbsp;&nbsp; 849398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3254, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1502437 | &nbsp;&nbsp;&nbsp;&nbsp; 1391111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3255, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1484348 | &nbsp;&nbsp;&nbsp;&nbsp; 1368970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3256, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2290046 | &nbsp;&nbsp;&nbsp;&nbsp; 2109386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9816, 3.00%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2100334 | &nbsp;&nbsp;&nbsp;&nbsp; 1908724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0432, 3.50%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1547481 | &nbsp;&nbsp;&nbsp;&nbsp; 1427793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0433, 3.50%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1719728 | &nbsp;&nbsp;&nbsp;&nbsp; 1586055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0434, 3.50%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1888061 | &nbsp;&nbsp;&nbsp;&nbsp; 1739114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9825, 2.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1530387 | &nbsp;&nbsp;&nbsp;&nbsp; 1324516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9826, 2.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1862776 | &nbsp;&nbsp;&nbsp;&nbsp; 1609319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9831, 3.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1502636 | &nbsp;&nbsp;&nbsp;&nbsp; 1356281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0442, 3.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1572002 | &nbsp;&nbsp;&nbsp;&nbsp; 1450413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0443, 3.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1318497 | &nbsp;&nbsp;&nbsp;&nbsp; 1219983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0444, 3.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 924001 | &nbsp;&nbsp;&nbsp;&nbsp; 851464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9835, 4.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 856011 | &nbsp;&nbsp;&nbsp;&nbsp; 817947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9836, 4.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 727783 | &nbsp;&nbsp;&nbsp;&nbsp; 694299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9837, 4.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 758762 | &nbsp;&nbsp;&nbsp;&nbsp; 720463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0454, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2023915 | &nbsp;&nbsp;&nbsp;&nbsp; 1856445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9918, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1756438 | &nbsp;&nbsp;&nbsp;&nbsp; 1619930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9919, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 851923 | &nbsp;&nbsp;&nbsp;&nbsp; 785382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9920, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 589647 | &nbsp;&nbsp;&nbsp;&nbsp; 546778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9923, 4.00%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 954702 | &nbsp;&nbsp;&nbsp;&nbsp; 907832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9932, 3.00%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1811041 | &nbsp;&nbsp;&nbsp;&nbsp; 1643745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0461, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 946562 | &nbsp;&nbsp;&nbsp;&nbsp; 875839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9935, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 879687 | &nbsp;&nbsp;&nbsp;&nbsp; 811329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9936, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1028758 | &nbsp;&nbsp;&nbsp;&nbsp; 948402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9937, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 596922 | &nbsp;&nbsp;&nbsp;&nbsp; 553899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9939, 4.00%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 538785 | &nbsp;&nbsp;&nbsp;&nbsp; 513166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0469, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1692124 | &nbsp;&nbsp;&nbsp;&nbsp; 1561509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG4129, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2345006 | &nbsp;&nbsp;&nbsp;&nbsp; 2162320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG4130, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2584636 | &nbsp;&nbsp;&nbsp;&nbsp; 2372306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0092, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4983617 | &nbsp;&nbsp;&nbsp;&nbsp; 4575198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786522, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 17117914 | &nbsp;&nbsp;&nbsp;&nbsp; 15638248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0476, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1052639 | &nbsp;&nbsp;&nbsp;&nbsp; 970813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0477, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1630036 | &nbsp;&nbsp;&nbsp;&nbsp; 1501437 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0834, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 683606 | &nbsp;&nbsp;&nbsp;&nbsp; 630736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0835, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 922266 | &nbsp;&nbsp;&nbsp;&nbsp; 850586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0836, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1167914 | &nbsp;&nbsp;&nbsp;&nbsp; 1076693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0837, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 787920 | &nbsp;&nbsp;&nbsp;&nbsp; 726072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0838, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 902819 | &nbsp;&nbsp;&nbsp;&nbsp; 828115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH1339, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2689777 | &nbsp;&nbsp;&nbsp;&nbsp; 2536164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH2907, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3932755 | &nbsp;&nbsp;&nbsp;&nbsp; 3670493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0840, 4.00%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1169908 | &nbsp;&nbsp;&nbsp;&nbsp; 1116079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0841, 4.00%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1187333 | &nbsp;&nbsp;&nbsp;&nbsp; 1127665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0848, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1292694 | &nbsp;&nbsp;&nbsp;&nbsp; 1168352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0849, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2335205 | &nbsp;&nbsp;&nbsp;&nbsp; 2107736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0850, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1558337 | &nbsp;&nbsp;&nbsp;&nbsp; 1406507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0851, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1297188 | &nbsp;&nbsp;&nbsp;&nbsp; 1170815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0852, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2171226 | &nbsp;&nbsp;&nbsp;&nbsp; 1973111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0076, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 906363 | &nbsp;&nbsp;&nbsp;&nbsp; 818052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787205, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13193740 | &nbsp;&nbsp;&nbsp;&nbsp; 12171814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0077, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 704013 | &nbsp;&nbsp;&nbsp;&nbsp; 649558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0078, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1675025 | &nbsp;&nbsp;&nbsp;&nbsp; 1542882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI9257, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3701241 | &nbsp;&nbsp;&nbsp;&nbsp; 3394979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0860, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 602527 | &nbsp;&nbsp;&nbsp;&nbsp; 544759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0861, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2474381 | &nbsp;&nbsp;&nbsp;&nbsp; 2233300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0862, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1307778 | &nbsp;&nbsp;&nbsp;&nbsp; 1180372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0864, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1214975 | &nbsp;&nbsp;&nbsp;&nbsp; 1096601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0868, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1454750 | &nbsp;&nbsp;&nbsp;&nbsp; 1340584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH7863, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2184407 | &nbsp;&nbsp;&nbsp;&nbsp; 2014456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0871, 4.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 915488 | &nbsp;&nbsp;&nbsp;&nbsp; 871953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0090, 2.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1023039 | &nbsp;&nbsp;&nbsp;&nbsp; 886335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0092, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1474909 | &nbsp;&nbsp;&nbsp;&nbsp; 1331139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ3916, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7829654 | &nbsp;&nbsp;&nbsp;&nbsp; 7235916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4908, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2853432 | &nbsp;&nbsp;&nbsp;&nbsp; 2575325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4909, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1902298 | &nbsp;&nbsp;&nbsp;&nbsp; 1716874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4916, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3766242 | &nbsp;&nbsp;&nbsp;&nbsp; 3399136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0093, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1051214 | &nbsp;&nbsp;&nbsp;&nbsp; 969425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0094, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2149830 | &nbsp;&nbsp;&nbsp;&nbsp; 1971757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1583, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3273274 | &nbsp;&nbsp;&nbsp;&nbsp; 3018609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4918, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1260908 | &nbsp;&nbsp;&nbsp;&nbsp; 1162818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK7137, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7054088 | &nbsp;&nbsp;&nbsp;&nbsp; 6604690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2667, 3.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5159376 | &nbsp;&nbsp;&nbsp;&nbsp; 4656478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2170, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8334397 | &nbsp;&nbsp;&nbsp;&nbsp; 7506304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0110, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1239345 | &nbsp;&nbsp;&nbsp;&nbsp; 1136695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1777, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2441578 | &nbsp;&nbsp;&nbsp;&nbsp; 2261080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1778, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1385742 | &nbsp;&nbsp;&nbsp;&nbsp; 1277382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1827, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5572161 | &nbsp;&nbsp;&nbsp;&nbsp; 5138627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1828, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6409863 | &nbsp;&nbsp;&nbsp;&nbsp; 5906203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1829, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3183834 | &nbsp;&nbsp;&nbsp;&nbsp; 2920126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM1692, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5108364 | &nbsp;&nbsp;&nbsp;&nbsp; 4622619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2218, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1755573 | &nbsp;&nbsp;&nbsp;&nbsp; 1618981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2221, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4294841 | &nbsp;&nbsp;&nbsp;&nbsp; 3980275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0111, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1199689 | &nbsp;&nbsp;&nbsp;&nbsp; 1137906 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 788236, 4.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 13400673 | &nbsp;&nbsp;&nbsp;&nbsp; 13170503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787010, 3.50%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18003413 | &nbsp;&nbsp;&nbsp;&nbsp; 16645787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN3435, 4.50%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 938396 | &nbsp;&nbsp;&nbsp;&nbsp; 921005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN3436, 4.50%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5048253 | &nbsp;&nbsp;&nbsp;&nbsp; 4939088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO4826, 5.00%, 6/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4331562 | &nbsp;&nbsp;&nbsp;&nbsp; 4335232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO5339, 5.00%, 6/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4145450 | &nbsp;&nbsp;&nbsp;&nbsp; 4151516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8148, 3.00%, 7/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7357164 | &nbsp;&nbsp;&nbsp;&nbsp; 6640028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8263, 2.00%, 9/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12838870 | &nbsp;&nbsp;&nbsp;&nbsp; 10717938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8342, 2.00%, 10/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2158820 | &nbsp;&nbsp;&nbsp;&nbsp; 1799880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8343, 2.50%, 10/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12046823 | &nbsp;&nbsp;&nbsp;&nbsp; 10470800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8422, 2.00%, 11/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2766780 | &nbsp;&nbsp;&nbsp;&nbsp; 2307357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8423, 2.50%, 11/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10625821 | &nbsp;&nbsp;&nbsp;&nbsp; 9240641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8563, 2.00%, 1/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2010653 | &nbsp;&nbsp;&nbsp;&nbsp; 1685935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8564, 2.50%, 1/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 40023828 | &nbsp;&nbsp;&nbsp;&nbsp; 34796425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CQ8079, 5.50%, 1/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1736471 | &nbsp;&nbsp;&nbsp;&nbsp; 1771724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4546, 5.00%, 2/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1705462 | &nbsp;&nbsp;&nbsp;&nbsp; 1713725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CR2499, 5.50%, 2/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2805758 | &nbsp;&nbsp;&nbsp;&nbsp; 2852374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4547, 5.50%, 2/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 797400 | &nbsp;&nbsp;&nbsp;&nbsp; 813587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8720, 2.50%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1108016 | &nbsp;&nbsp;&nbsp;&nbsp; 966131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8721, 3.00%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11979295 | &nbsp;&nbsp;&nbsp;&nbsp; 10851343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4560, 5.50%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2208067 | &nbsp;&nbsp;&nbsp;&nbsp; 2252893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4561, 6.00%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 769840 | &nbsp;&nbsp;&nbsp;&nbsp; 794510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8795, 2.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1815831 | &nbsp;&nbsp;&nbsp;&nbsp; 1580408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786842, 4.00%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 14445902 | &nbsp;&nbsp;&nbsp;&nbsp; 13549824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM6940, 5.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3473046 | &nbsp;&nbsp;&nbsp;&nbsp; 3530751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4573, 5.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 801260 | &nbsp;&nbsp;&nbsp;&nbsp; 817527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CT3981, 5.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 971372 | &nbsp;&nbsp;&nbsp;&nbsp; 992286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CT3982, 5.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 880652 | &nbsp;&nbsp;&nbsp;&nbsp; 899072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CT3983, 5.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1130673 | &nbsp;&nbsp;&nbsp;&nbsp; 1149459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8873, 2.50%, 5/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 18757167 | &nbsp;&nbsp;&nbsp;&nbsp; 16309960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CS4586, 5.50%, 5/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2212385 | &nbsp;&nbsp;&nbsp;&nbsp; 2257297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6671, 5.50%, 6/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2525406 | &nbsp;&nbsp;&nbsp;&nbsp; 2576677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9011, 2.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8903231 | &nbsp;&nbsp;&nbsp;&nbsp; 7744370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6685, 5.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1599359 | &nbsp;&nbsp;&nbsp;&nbsp; 1631828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CV6856, 5.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1203413 | &nbsp;&nbsp;&nbsp;&nbsp; 1223409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6686, 6.00%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1831164 | &nbsp;&nbsp;&nbsp;&nbsp; 1889847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6687, 6.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3026504 | &nbsp;&nbsp;&nbsp;&nbsp; 3165849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CV0173, 6.50%, 7/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1427558 | &nbsp;&nbsp;&nbsp;&nbsp; 1504983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9102, 3.50%, 8/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 8224185 | &nbsp;&nbsp;&nbsp;&nbsp; 7575399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6696, 6.00%, 8/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1176503 | &nbsp;&nbsp;&nbsp;&nbsp; 1214205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6697, 6.50%, 8/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2123724 | &nbsp;&nbsp;&nbsp;&nbsp; 2221506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CU6708, 5.50%, 9/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1424696 | &nbsp;&nbsp;&nbsp;&nbsp; 1453620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9299, 2.50%, 10/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3959042 | &nbsp;&nbsp;&nbsp;&nbsp; 3444998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9419, 3.50%, 1/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3131125 | &nbsp;&nbsp;&nbsp;&nbsp; 2916292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9483, 3.00%, 2/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 12079208 | &nbsp;&nbsp;&nbsp;&nbsp; 10977987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9484, 3.50%, 2/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2499505 | &nbsp;&nbsp;&nbsp;&nbsp; 2295685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX5712, 6.50%, 2/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3410508 | &nbsp;&nbsp;&nbsp;&nbsp; 3592517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX5713, 7.00%, 2/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 4236415 | &nbsp;&nbsp;&nbsp;&nbsp; 4478941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DC4164, 4.50%, 5/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 9046925 | &nbsp;&nbsp;&nbsp;&nbsp; 8668023 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9719, 2.50%, 6/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3337345 | &nbsp;&nbsp;&nbsp;&nbsp; 2904491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9774, 3.00%, 7/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 10813332 | &nbsp;&nbsp;&nbsp;&nbsp; 9813093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DA2547, 6.50%, 7/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1030681 | &nbsp;&nbsp;&nbsp;&nbsp; 1073772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DD0108, 6.50%, 7/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 4251923 | &nbsp;&nbsp;&nbsp;&nbsp; 4478863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DA2550, 7.00%, 7/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1753846 | &nbsp;&nbsp;&nbsp;&nbsp; 1820764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DD0109, 7.00%, 7/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1264812 | &nbsp;&nbsp;&nbsp;&nbsp; 1337223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9846, 3.00%, 8/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5415591 | &nbsp;&nbsp;&nbsp;&nbsp; 4910160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DD0096, 6.50%, 8/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3893182 | &nbsp;&nbsp;&nbsp;&nbsp; 4100977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DD0094, 7.00%, 8/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 4447075 | &nbsp;&nbsp;&nbsp;&nbsp; 4701672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DE2909, 6.00%, 9/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1450876 | &nbsp;&nbsp;&nbsp;&nbsp; 1507136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DD0079, 7.00%, 9/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3459220 | &nbsp;&nbsp;&nbsp;&nbsp; 3657261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DD0080, 7.50%, 9/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2453673 | &nbsp;&nbsp;&nbsp;&nbsp; 2615882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DC3332, 6.50%, 11/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3375147 | &nbsp;&nbsp;&nbsp;&nbsp; 3563532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DF2930, 7.50%, 12/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 3514818 | &nbsp;&nbsp;&nbsp;&nbsp; 3747183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DI1018, 6.00%, 7/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3215481 | &nbsp;&nbsp;&nbsp;&nbsp; 3311657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DJ6140, 6.50%, 7/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1630068 | &nbsp;&nbsp;&nbsp;&nbsp; 1717076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DL3308, 6.50%, 8/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1994514 | &nbsp;&nbsp;&nbsp;&nbsp; 2079054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DL8783, 6.50%, 8/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4488140 | &nbsp;&nbsp;&nbsp;&nbsp; 4678375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DL2983, 6.00%, 9/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 2534574 | &nbsp;&nbsp;&nbsp;&nbsp; 2631321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DM2061, 6.00%, 9/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 5068214 | &nbsp;&nbsp;&nbsp;&nbsp; 5168639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DL2982, 6.50%, 9/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 6677969 | &nbsp;&nbsp;&nbsp;&nbsp; 7058876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DM6293, 6.50%, 9/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 5218537 | &nbsp;&nbsp;&nbsp;&nbsp; 5484340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DM2069, 6.00%, 10/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1050338 | &nbsp;&nbsp;&nbsp;&nbsp; 1085288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DN6001, 6.50%, 10/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4994535 | &nbsp;&nbsp;&nbsp;&nbsp; 5285530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # DM2075, 5.50%, 11/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 6114339 | &nbsp;&nbsp;&nbsp;&nbsp; 6216902 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0018, 3.75%, 12/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 461133 | &nbsp;&nbsp;&nbsp;&nbsp; 456630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AH5895, 4.00%, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 164587 | &nbsp;&nbsp;&nbsp;&nbsp; 163106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4285, 6.00%, 11/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 14126 | &nbsp;&nbsp;&nbsp;&nbsp; 14295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1377, 3.75%, 2/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 708284 | &nbsp;&nbsp;&nbsp;&nbsp; 688453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1378, 4.00%, 1/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 899989 | &nbsp;&nbsp;&nbsp;&nbsp; 884366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD7341, 3.50%, 7/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3256372 | &nbsp;&nbsp;&nbsp;&nbsp; 2995504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0536, 3.00%, 3/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2232008 | &nbsp;&nbsp;&nbsp;&nbsp; 2004087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0538, 4.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 381098 | &nbsp;&nbsp;&nbsp;&nbsp; 363405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0539, 4.50%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 264559 | &nbsp;&nbsp;&nbsp;&nbsp; 259338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA6145, 3.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 344105 | &nbsp;&nbsp;&nbsp;&nbsp; 311640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE3912, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3639644 | &nbsp;&nbsp;&nbsp;&nbsp; 3643750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0537, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 708829 | &nbsp;&nbsp;&nbsp;&nbsp; 648526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI8475, 5.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4953293 | &nbsp;&nbsp;&nbsp;&nbsp; 4977368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX4040, 5.00%, 7/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 618133 | &nbsp;&nbsp;&nbsp;&nbsp; 615800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX7714, 5.00%, 9/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 232670 | &nbsp;&nbsp;&nbsp;&nbsp; 231792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX4106, 5.00%, 10/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 170631 | &nbsp;&nbsp;&nbsp;&nbsp; 169987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX4111, 5.00%, 10/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 185776 | &nbsp;&nbsp;&nbsp;&nbsp; 185075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CX7719, 5.00%, 10/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 1002508 | &nbsp;&nbsp;&nbsp;&nbsp; 998726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CY0098, 5.00%, 10/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 1085831 | &nbsp;&nbsp;&nbsp;&nbsp; 1081735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CY0134, 5.00%, 10/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 1279000 | &nbsp;&nbsp;&nbsp;&nbsp; 1274174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 787496, 6.00%, 7/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 4768166 | &nbsp;&nbsp;&nbsp;&nbsp; 4865612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785863, 3.10%, 12/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12014833 | &nbsp;&nbsp;&nbsp;&nbsp; 10952174 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8137, 3.17%, 3/20/2072 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3185859 | &nbsp;&nbsp;&nbsp;&nbsp; 2905064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786556, 4.65%, 1/20/2073 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7296079 | &nbsp;&nbsp;&nbsp;&nbsp; 7208577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $3,750,143,773)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 3646437426 |
| **Collateralized Mortgage Obligations — 13.9%** | **Collateralized Mortgage Obligations — 13.9%** | **Collateralized Mortgage Obligations — 13.9%** |
| &nbsp;&nbsp;&nbsp; Ajax Mortgage Loan Trust Series 2022-A, Class A1, 3.50%, 10/25/2061 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1717478 | &nbsp;&nbsp;&nbsp;&nbsp; 1677342 |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-J3, Class 4A1, 4.75%, 4/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 7114 | &nbsp;&nbsp;&nbsp;&nbsp; 6992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 251894 | &nbsp;&nbsp;&nbsp;&nbsp; 258215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 3.03%, 3/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 152698 | &nbsp;&nbsp;&nbsp;&nbsp; 18811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 1.00%, 6/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1245598 | &nbsp;&nbsp;&nbsp;&nbsp; 117924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.68%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1051299 | &nbsp;&nbsp;&nbsp;&nbsp; 65727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 49581 | &nbsp;&nbsp;&nbsp;&nbsp; 18667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 0.98%, 9/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2190171 | &nbsp;&nbsp;&nbsp;&nbsp; 187997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.78%, 11/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1003005 | &nbsp;&nbsp;&nbsp;&nbsp; 67153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 168118 | &nbsp;&nbsp;&nbsp;&nbsp; 129524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5635 | &nbsp;&nbsp;&nbsp;&nbsp; 4389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-57CB, Class 3A2, IF, IO, 1.03%, 12/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 138906 | &nbsp;&nbsp;&nbsp;&nbsp; 13079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 87050 | &nbsp;&nbsp;&nbsp;&nbsp; 77880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-86CB, Class A11, 5.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 177452 | &nbsp;&nbsp;&nbsp;&nbsp; 99744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7CB, Class 1A2, IF, IO, 1.23%, 5/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6860079 | &nbsp;&nbsp;&nbsp;&nbsp; 755187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26CB, Class A9, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 291558 | &nbsp;&nbsp;&nbsp;&nbsp; 140181 |
| &nbsp;&nbsp;&nbsp; American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 504 | &nbsp;&nbsp;&nbsp;&nbsp; 571 |
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.23%, 3/25/2031 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12000000 | &nbsp;&nbsp;&nbsp;&nbsp; 12155508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 5.72%, 5/25/2040 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3390000 | &nbsp;&nbsp;&nbsp;&nbsp; 3401212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A2, 6.36%, 5/25/2040 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3580000 | &nbsp;&nbsp;&nbsp;&nbsp; 3604010 |
| &nbsp;&nbsp;&nbsp; ASG Resecuritization Trust Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 28399 | &nbsp;&nbsp;&nbsp;&nbsp; 8583 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 20739 | &nbsp;&nbsp;&nbsp;&nbsp; 14879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 1A1, 5.50%, 10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 41083 | &nbsp;&nbsp;&nbsp;&nbsp; 41538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 30, IO, 5.50%, 2/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 38705 | &nbsp;&nbsp;&nbsp;&nbsp; 5546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 30, PO, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 19594 | &nbsp;&nbsp;&nbsp;&nbsp; 13585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 66826 | &nbsp;&nbsp;&nbsp;&nbsp; 61117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 30, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5965 | &nbsp;&nbsp;&nbsp;&nbsp; 5944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25502 | &nbsp;&nbsp;&nbsp;&nbsp; 16877 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2003-C, Class 3A1, 7.00%, 4/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9265 | &nbsp;&nbsp;&nbsp;&nbsp; 8659 |
| &nbsp;&nbsp;&nbsp; Baring Frn Series 2021-EBO1, Class PA, 0.00%, 6/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 788737 | &nbsp;&nbsp;&nbsp;&nbsp; 788737 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 3A1, 6.38%, 7/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 33099 | &nbsp;&nbsp;&nbsp;&nbsp; 31964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 6.86%, 10/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9423 | &nbsp;&nbsp;&nbsp;&nbsp; 9454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 12A1, 5.27%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 89830 | &nbsp;&nbsp;&nbsp;&nbsp; 80262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 4.50%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 36284 | &nbsp;&nbsp;&nbsp;&nbsp; 33734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 5.95%, 2/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 110274 | &nbsp;&nbsp;&nbsp;&nbsp; 107472 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2003-AC5, Class A1, 5.75%, 10/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 39959 | &nbsp;&nbsp;&nbsp;&nbsp; 46533 |
| &nbsp;&nbsp;&nbsp; Brean Asset-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RM8, Class A1, 4.50%, 5/25/2064 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4943104 | &nbsp;&nbsp;&nbsp;&nbsp; 4863235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RM10, Class A1, 5.00%, 1/25/2065 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6320411 | &nbsp;&nbsp;&nbsp;&nbsp; 6296182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RM11, Class A1, 4.75%, 5/25/2065 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9472575 | &nbsp;&nbsp;&nbsp;&nbsp; 9355047 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RM12, Class A1, 4.50%, 7/25/2065 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9235000 | &nbsp;&nbsp;&nbsp;&nbsp; 9032377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RM13, Class A1, 4.25%, 10/25/2065 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5233824 | &nbsp;&nbsp;&nbsp;&nbsp; 5073132 |
| &nbsp;&nbsp;&nbsp; BVRT LLC Series 2025-1, Class A, 4.19%, 5/10/2033 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3655579 | &nbsp;&nbsp;&nbsp;&nbsp; 3554202 |
| &nbsp;&nbsp;&nbsp; CAFL Issuer LP Series 2025-RRTL2, Class A1, 5.18%, 11/28/2040 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 9730000 | &nbsp;&nbsp;&nbsp;&nbsp; 9662237 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust Series 2025-HB16, Class M1, 3.00%, 3/25/2035 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3300000 | &nbsp;&nbsp;&nbsp;&nbsp; 3191805 |
| &nbsp;&nbsp;&nbsp; Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-9, Class 1P, PO, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2854 | &nbsp;&nbsp;&nbsp;&nbsp; 2214 |
| &nbsp;&nbsp;&nbsp; Center Street Lending Resi-Investor ABS Mortgage Trust Series 2024-RTL1, Class A1, 6.89%, 10/25/2029 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 11540000 | &nbsp;&nbsp;&nbsp;&nbsp; 11661995 |
| &nbsp;&nbsp;&nbsp; CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M1, 3.00%, 6/25/2034 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5430000 | &nbsp;&nbsp;&nbsp;&nbsp; 5256976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M2, 3.00%, 6/25/2034 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3735000 | &nbsp;&nbsp;&nbsp;&nbsp; 3597058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB15, Class M2, 4.00%, 8/25/2034 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1915000 | &nbsp;&nbsp;&nbsp;&nbsp; 1868109 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 6.00%, 6/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 53475 | &nbsp;&nbsp;&nbsp;&nbsp; 53628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 2A1, 5.89%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15699 | &nbsp;&nbsp;&nbsp;&nbsp; 15116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 9A1, 6.31%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 58025 | &nbsp;&nbsp;&nbsp;&nbsp; 57495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 1A3, 6.47%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 105926 | &nbsp;&nbsp;&nbsp;&nbsp; 106376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 7A1, 6.87%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3009 | &nbsp;&nbsp;&nbsp;&nbsp; 3022 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, PO, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4719 | &nbsp;&nbsp;&nbsp;&nbsp; 3692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A26, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 53692 | &nbsp;&nbsp;&nbsp;&nbsp; 54051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 5.16%, 5/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24838 | &nbsp;&nbsp;&nbsp;&nbsp; 23819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 4.64%, 6/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 88885 | &nbsp;&nbsp;&nbsp;&nbsp; 84234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 5.40%, 6/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18866 | &nbsp;&nbsp;&nbsp;&nbsp; 17341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 130952 | &nbsp;&nbsp;&nbsp;&nbsp; 130418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 1A4, 5.50%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 107789 | &nbsp;&nbsp;&nbsp;&nbsp; 108955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 5.28%, 11/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 76820 | &nbsp;&nbsp;&nbsp;&nbsp; 73938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class A23, 5.50%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 50868 | &nbsp;&nbsp;&nbsp;&nbsp; 30838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 4.88%, 11/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 250889 | &nbsp;&nbsp;&nbsp;&nbsp; 206649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class 1A52, IF, IO, 1.33%, 5/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1328593 | &nbsp;&nbsp;&nbsp;&nbsp; 124643 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Mortgage Securities VII, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP2, Class 1, PO, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp; 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 6.74%, 9/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19801 | &nbsp;&nbsp;&nbsp;&nbsp; 19474 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class 1A1, 5.67%, 9/25/2033 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 25069 | &nbsp;&nbsp;&nbsp;&nbsp; 25039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10476 | &nbsp;&nbsp;&nbsp;&nbsp; 10020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A3, 6.41%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 26298 | &nbsp;&nbsp;&nbsp;&nbsp; 25890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 143804 | &nbsp;&nbsp;&nbsp;&nbsp; 141559 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class W2, PO, 6/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class WA2, 6.50%, 6/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 3, PO, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6570 | &nbsp;&nbsp;&nbsp;&nbsp; 4701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6992 | &nbsp;&nbsp;&nbsp;&nbsp; 6743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 3.45%, 2/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 73757 | &nbsp;&nbsp;&nbsp;&nbsp; 64342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 93667 | &nbsp;&nbsp;&nbsp;&nbsp; 94154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.37%, 8/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 208308 | &nbsp;&nbsp;&nbsp;&nbsp; 175619 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class DB1, 6.68%, 2/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 195417 | &nbsp;&nbsp;&nbsp;&nbsp; 202004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR15, Class 3A1, 6.81%, 6/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 29299 | &nbsp;&nbsp;&nbsp;&nbsp; 30096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31618 | &nbsp;&nbsp;&nbsp;&nbsp; 31788 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-29, Class 1A1, 6.50%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 60688 | &nbsp;&nbsp;&nbsp;&nbsp; 61795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-29, Class 5A1, 7.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 20086 | &nbsp;&nbsp;&nbsp;&nbsp; 20929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A4, 5.50%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 55420 | &nbsp;&nbsp;&nbsp;&nbsp; 56814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 1A4, 5.50%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 112716 | &nbsp;&nbsp;&nbsp;&nbsp; 115628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 2X, IO, 5.50%, 6/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 273201 | &nbsp;&nbsp;&nbsp;&nbsp; 39615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 226661 | &nbsp;&nbsp;&nbsp;&nbsp; 37947 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.41%, 2/25/2020 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9760 | &nbsp;&nbsp;&nbsp;&nbsp; 9529 |
| &nbsp;&nbsp;&nbsp; FARM Mortgage Trust Series 2023-1, Class A, 2.63%, 1/25/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7846411 | &nbsp;&nbsp;&nbsp;&nbsp; 6556422 |
| &nbsp;&nbsp;&nbsp; FHLMC Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class M60C, 3.50%, 5/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 9881138 | &nbsp;&nbsp;&nbsp;&nbsp; 9254454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M60C, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 13417958 | &nbsp;&nbsp;&nbsp;&nbsp; 12546959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class MT, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2062471 | &nbsp;&nbsp;&nbsp;&nbsp; 1891310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3, Class MA, 3.50%, 8/25/2057 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12007109 | &nbsp;&nbsp;&nbsp;&nbsp; 11695618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3, Class M55D, 4.00%, 8/25/2057 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6745268 | &nbsp;&nbsp;&nbsp;&nbsp; 6399995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2, Class M55D, 4.00%, 11/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 8257865 | &nbsp;&nbsp;&nbsp;&nbsp; 7875395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 2104641 | &nbsp;&nbsp;&nbsp;&nbsp; 1901025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M55D, 4.00%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 2404884 | &nbsp;&nbsp;&nbsp;&nbsp; 2312920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M55D, 4.00%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 5037565 | &nbsp;&nbsp;&nbsp;&nbsp; 4780851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class M55D, 4.00%, 2/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1895638 | &nbsp;&nbsp;&nbsp;&nbsp; 1791842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class MT, 2.50%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3451790 | &nbsp;&nbsp;&nbsp;&nbsp; 2868512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3236658 | &nbsp;&nbsp;&nbsp;&nbsp; 2953303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class MB, 2.00%, 11/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 3836440 | &nbsp;&nbsp;&nbsp;&nbsp; 2731366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class MTU, 2.50%, 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 11000529 | &nbsp;&nbsp;&nbsp;&nbsp; 9184155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class M5TW, 3.00%, 5/25/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 5087378 | &nbsp;&nbsp;&nbsp;&nbsp; 4607639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class MBU, 2.50%, 3/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 2048146 | &nbsp;&nbsp;&nbsp;&nbsp; 1389396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MBU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 10135874 | &nbsp;&nbsp;&nbsp;&nbsp; 7598003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MTU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 7613757 | &nbsp;&nbsp;&nbsp;&nbsp; 6695128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class MT, 3.00%, 10/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 13042769 | &nbsp;&nbsp;&nbsp;&nbsp; 11104558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class MT, 3.00%, 11/25/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 12124086 | &nbsp;&nbsp;&nbsp;&nbsp; 10380839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class MT, 3.50%, 5/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 10725467 | &nbsp;&nbsp;&nbsp;&nbsp; 9493679 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1829, Class ZB, 6.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1114 | &nbsp;&nbsp;&nbsp;&nbsp; 1122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 1082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2470, Class SL, IF, 9.00%, 1/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1985, Class PR, IO, 8.00%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2065, Class PX, IO, 0.75%, 8/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2779 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1069 | &nbsp;&nbsp;&nbsp;&nbsp; 1079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 584 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2042, Class T, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4042 | &nbsp;&nbsp;&nbsp;&nbsp; 4111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2060, Class Z, 6.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1743 | &nbsp;&nbsp;&nbsp;&nbsp; 1770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2061, Class DC, IO, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5391 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 14750 | &nbsp;&nbsp;&nbsp;&nbsp; 14996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1641 | &nbsp;&nbsp;&nbsp;&nbsp; 1669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1213 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2111, Class SB, IF, IO, 3.24%, 1/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5781 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2110, Class PG, 6.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9927 | &nbsp;&nbsp;&nbsp;&nbsp; 10023 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4775 | &nbsp;&nbsp;&nbsp;&nbsp; 4859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2130, Class QS, 6.00%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1934 | &nbsp;&nbsp;&nbsp;&nbsp; 1949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class ZL, 6.50%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2493 | &nbsp;&nbsp;&nbsp;&nbsp; 2524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 11.82%, 3/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1673 | &nbsp;&nbsp;&nbsp;&nbsp; 1879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class ZN, 8.50%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 25933 | &nbsp;&nbsp;&nbsp;&nbsp; 26959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 962 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2178, Class PB, 7.00%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2251 | &nbsp;&nbsp;&nbsp;&nbsp; 2312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1866 | &nbsp;&nbsp;&nbsp;&nbsp; 1908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2204, Class GB, 8.00%, 12/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15666 | &nbsp;&nbsp;&nbsp;&nbsp; 16323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11345 | &nbsp;&nbsp;&nbsp;&nbsp; 11843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3730 | &nbsp;&nbsp;&nbsp;&nbsp; 3881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3587 | &nbsp;&nbsp;&nbsp;&nbsp; 3737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8573 | &nbsp;&nbsp;&nbsp;&nbsp; 8933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2254, Class Z, 9.00%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 27192 | &nbsp;&nbsp;&nbsp;&nbsp; 29691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17234 | &nbsp;&nbsp;&nbsp;&nbsp; 17834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 18946 | &nbsp;&nbsp;&nbsp;&nbsp; 19789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6450 | &nbsp;&nbsp;&nbsp;&nbsp; 6724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class ZD, 7.00%, 4/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 86608 | &nbsp;&nbsp;&nbsp;&nbsp; 90914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12952 | &nbsp;&nbsp;&nbsp;&nbsp; 13939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2388, Class UZ, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4322 | &nbsp;&nbsp;&nbsp;&nbsp; 4552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 37175 | &nbsp;&nbsp;&nbsp;&nbsp; 38843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6203 | &nbsp;&nbsp;&nbsp;&nbsp; 6501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3819 | &nbsp;&nbsp;&nbsp;&nbsp; 4003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2372, Class F, 4.76%, 10/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ZK, 6.00%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 41432 | &nbsp;&nbsp;&nbsp;&nbsp; 42953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2368, Class AS, IF, 9.86%, 10/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp; 2147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2383, Class FD, 4.76%, 11/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1496 | &nbsp;&nbsp;&nbsp;&nbsp; 1496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 46813 | &nbsp;&nbsp;&nbsp;&nbsp; 49118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2494, Class SX, IF, IO, 2.74%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 119200 | &nbsp;&nbsp;&nbsp;&nbsp; 9412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.39%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6310 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 8.43%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11581 | &nbsp;&nbsp;&nbsp;&nbsp; 12555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2433, Class SA, IF, 9.86%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 21442 | &nbsp;&nbsp;&nbsp;&nbsp; 23613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 3.69%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9418 | &nbsp;&nbsp;&nbsp;&nbsp; 843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 3.74%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10674 | &nbsp;&nbsp;&nbsp;&nbsp; 1020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2431, Class F, 4.76%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 42787 | &nbsp;&nbsp;&nbsp;&nbsp; 42793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2464, Class FE, 5.26%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 34126 | &nbsp;&nbsp;&nbsp;&nbsp; 34478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11537 | &nbsp;&nbsp;&nbsp;&nbsp; 12082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12884 | &nbsp;&nbsp;&nbsp;&nbsp; 13561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15843 | &nbsp;&nbsp;&nbsp;&nbsp; 16653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 11282 | &nbsp;&nbsp;&nbsp;&nbsp; 11532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14755 | &nbsp;&nbsp;&nbsp;&nbsp; 15660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3393, Class JO, PO, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 46307 | &nbsp;&nbsp;&nbsp;&nbsp; 42233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2513, Class ZC, 5.50%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 35106 | &nbsp;&nbsp;&nbsp;&nbsp; 36234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2517, Class Z, 5.50%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14844 | &nbsp;&nbsp;&nbsp;&nbsp; 15256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13945 | &nbsp;&nbsp;&nbsp;&nbsp; 12582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class FP, 5.26%, 1/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 158691 | &nbsp;&nbsp;&nbsp;&nbsp; 160546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2557, Class HL, 5.30%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 130646 | &nbsp;&nbsp;&nbsp;&nbsp; 132410 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 36942 | &nbsp;&nbsp;&nbsp;&nbsp; 4788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2611, Class SQ, IF, 4.49%, 5/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12663 | &nbsp;&nbsp;&nbsp;&nbsp; 13046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2631, Class SA, IF, 7.05%, 6/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6431 | &nbsp;&nbsp;&nbsp;&nbsp; 6792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 4.77%, 7/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 32547 | &nbsp;&nbsp;&nbsp;&nbsp; 34893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2671, Class S, IF, 6.95%, 9/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11278 | &nbsp;&nbsp;&nbsp;&nbsp; 12480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2722, Class PF, 4.86%, 12/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 282352 | &nbsp;&nbsp;&nbsp;&nbsp; 282765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2763, Class ZA, 6.00%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1094654 | &nbsp;&nbsp;&nbsp;&nbsp; 1152976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2779, Class ZC, 6.00%, 4/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 721667 | &nbsp;&nbsp;&nbsp;&nbsp; 761971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2802, Class ZY, 6.00%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 186188 | &nbsp;&nbsp;&nbsp;&nbsp; 194595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class BT, IF, 7.00%, 5/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 357590 | &nbsp;&nbsp;&nbsp;&nbsp; 361319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 63170 | &nbsp;&nbsp;&nbsp;&nbsp; 56667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class MB, IF, 6.74%, 7/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22360 | &nbsp;&nbsp;&nbsp;&nbsp; 22456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class WP, IF, 6.05%, 6/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3035, Class Z, 5.85%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 365919 | &nbsp;&nbsp;&nbsp;&nbsp; 385073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 40525 | &nbsp;&nbsp;&nbsp;&nbsp; 36403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OG, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 20152 | &nbsp;&nbsp;&nbsp;&nbsp; 17933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 43918 | &nbsp;&nbsp;&nbsp;&nbsp; 38809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3143, Class BC, 5.50%, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 83643 | &nbsp;&nbsp;&nbsp;&nbsp; 87098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OH, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 3616 | &nbsp;&nbsp;&nbsp;&nbsp; 3169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6019 | &nbsp;&nbsp;&nbsp;&nbsp; 5046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3152, Class MO, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 77317 | &nbsp;&nbsp;&nbsp;&nbsp; 68823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 35291 | &nbsp;&nbsp;&nbsp;&nbsp; 37989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 27992 | &nbsp;&nbsp;&nbsp;&nbsp; 24688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class AO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 55552 | &nbsp;&nbsp;&nbsp;&nbsp; 48232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 55552 | &nbsp;&nbsp;&nbsp;&nbsp; 49183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3137, Class XP, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 271570 | &nbsp;&nbsp;&nbsp;&nbsp; 287242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 35693 | &nbsp;&nbsp;&nbsp;&nbsp; 5817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 29844 | &nbsp;&nbsp;&nbsp;&nbsp; 24380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3151, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 77853 | &nbsp;&nbsp;&nbsp;&nbsp; 66767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3153, Class EO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 36650 | &nbsp;&nbsp;&nbsp;&nbsp; 32177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3604, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 55414 | &nbsp;&nbsp;&nbsp;&nbsp; 47385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 20917 | &nbsp;&nbsp;&nbsp;&nbsp; 19104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 26319 | &nbsp;&nbsp;&nbsp;&nbsp; 23056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 2.84%, 7/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22480 | &nbsp;&nbsp;&nbsp;&nbsp; 2403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, PO, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 56295 | &nbsp;&nbsp;&nbsp;&nbsp; 48700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.44%, 10/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 75155 | &nbsp;&nbsp;&nbsp;&nbsp; 5995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3237, Class AO, PO, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 36377 | &nbsp;&nbsp;&nbsp;&nbsp; 30428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class DT, 7.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 298923 | &nbsp;&nbsp;&nbsp;&nbsp; 322844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class ET, 7.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 228681 | &nbsp;&nbsp;&nbsp;&nbsp; 252877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 1.88%, 1/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 41589 | &nbsp;&nbsp;&nbsp;&nbsp; 3979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3262, Class SG, IF, IO, 2.14%, 1/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5218 | &nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class JO, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 14314 | &nbsp;&nbsp;&nbsp;&nbsp; 12592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class MO, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 21755 | &nbsp;&nbsp;&nbsp;&nbsp; 19189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.70%, 2/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10443 | &nbsp;&nbsp;&nbsp;&nbsp; 10374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.19%, 3/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 125292 | &nbsp;&nbsp;&nbsp;&nbsp; 10974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3288, Class GS, IF, 5.40%, 3/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6264 | &nbsp;&nbsp;&nbsp;&nbsp; 6455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3373, Class TO, PO, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 48206 | &nbsp;&nbsp;&nbsp;&nbsp; 42094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3316, Class JO, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 7252 | &nbsp;&nbsp;&nbsp;&nbsp; 6079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 148272 | &nbsp;&nbsp;&nbsp;&nbsp; 124686 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3322, Class NS, IF, 7.00%, 5/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 273023 | &nbsp;&nbsp;&nbsp;&nbsp; 272709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3371, Class FA, 4.86%, 9/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18622 | &nbsp;&nbsp;&nbsp;&nbsp; 18609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3385, Class SN, IF, IO, 1.74%, 11/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 35278 | &nbsp;&nbsp;&nbsp;&nbsp; 2558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 2.16%, 11/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 90296 | &nbsp;&nbsp;&nbsp;&nbsp; 7523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class AI, IO, 0.25%, 1/15/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 228525 | &nbsp;&nbsp;&nbsp;&nbsp; 2348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 1.74%, 1/15/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 112563 | &nbsp;&nbsp;&nbsp;&nbsp; 11013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3451, Class SA, IF, IO, 1.79%, 5/15/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7481 | &nbsp;&nbsp;&nbsp;&nbsp; 531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3537, Class MI, IO, 5.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 146801 | &nbsp;&nbsp;&nbsp;&nbsp; 16379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3461, Class LZ, 6.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 49916 | &nbsp;&nbsp;&nbsp;&nbsp; 53001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.59%, 8/15/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 129871 | &nbsp;&nbsp;&nbsp;&nbsp; 12692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3895, Class WA, 5.60%, 10/15/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 61581 | &nbsp;&nbsp;&nbsp;&nbsp; 64432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 1.74%, 2/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 33160 | &nbsp;&nbsp;&nbsp;&nbsp; 2812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 6.10%, 2/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17977 | &nbsp;&nbsp;&nbsp;&nbsp; 18308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SA, IF, IO, 2.04%, 5/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 122557 | &nbsp;&nbsp;&nbsp;&nbsp; 10999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.46%, 7/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8380 | &nbsp;&nbsp;&nbsp;&nbsp; 8557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4580, Class PT, 6.63%, 8/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 298615 | &nbsp;&nbsp;&nbsp;&nbsp; 310269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3572, Class JS, IF, IO, 2.54%, 9/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 52688 | &nbsp;&nbsp;&nbsp;&nbsp; 2640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 109159 | &nbsp;&nbsp;&nbsp;&nbsp; 91851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 75819 | &nbsp;&nbsp;&nbsp;&nbsp; 66705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3623, Class LO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 88331 | &nbsp;&nbsp;&nbsp;&nbsp; 74491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class BS, IF, 3.31%, 2/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 241140 | &nbsp;&nbsp;&nbsp;&nbsp; 242727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3714, Class IP, IO, 5.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 140363 | &nbsp;&nbsp;&nbsp;&nbsp; 6117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SC, IF, IO, 1.74%, 10/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 171840 | &nbsp;&nbsp;&nbsp;&nbsp; 18905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3747, Class PY, 4.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 734157 | &nbsp;&nbsp;&nbsp;&nbsp; 727661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3747, Class CY, 4.50%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1163981 | &nbsp;&nbsp;&nbsp;&nbsp; 1179010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3753, PO, 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 521135 | &nbsp;&nbsp;&nbsp;&nbsp; 421426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3860, Class PZ, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2330928 | &nbsp;&nbsp;&nbsp;&nbsp; 2378196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 32931 | &nbsp;&nbsp;&nbsp;&nbsp; 31862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 58106 | &nbsp;&nbsp;&nbsp;&nbsp; 59116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 535528 | &nbsp;&nbsp;&nbsp;&nbsp; 529869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4015, Class MY, 3.50%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 731836 | &nbsp;&nbsp;&nbsp;&nbsp; 701775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4136, Class HS, IF, 3.45%, 11/15/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 351634 | &nbsp;&nbsp;&nbsp;&nbsp; 237942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4177, Class MQ, 2.50%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 920357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4274, Class EM, 4.00%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 942276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4280, Class EO, PO, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 385840 | &nbsp;&nbsp;&nbsp;&nbsp; 299995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4281, Class OB, PO, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 363824 | &nbsp;&nbsp;&nbsp;&nbsp; 285184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4377, Class JP, 3.00%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1644021 | &nbsp;&nbsp;&nbsp;&nbsp; 1582341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4456, Class SA, IF, IO, 1.89%, 3/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2451154 | &nbsp;&nbsp;&nbsp;&nbsp; 290070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class SE, IF, IO, 1.92%, 6/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2497114 | &nbsp;&nbsp;&nbsp;&nbsp; 369122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4888, Class AZ, 4.00%, 12/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3226243 | &nbsp;&nbsp;&nbsp;&nbsp; 3097414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4848, Class QY, 4.50%, 12/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 582211 | &nbsp;&nbsp;&nbsp;&nbsp; 582324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4903, Class SN, IF, IO, 1.91%, 8/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6921032 | &nbsp;&nbsp;&nbsp;&nbsp; 822551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4936, Class YZ, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2078006 | &nbsp;&nbsp;&nbsp;&nbsp; 1813682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4982, Class JA, 1.50%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5485984 | &nbsp;&nbsp;&nbsp;&nbsp; 4439257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5028, Class JG, 1.50%, 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6017019 | &nbsp;&nbsp;&nbsp;&nbsp; 4913545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5036, Class NA, 0.50%, 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6904247 | &nbsp;&nbsp;&nbsp;&nbsp; 5099757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5048, Class TI, IO, 3.00%, 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 17612709 | &nbsp;&nbsp;&nbsp;&nbsp; 2641781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5054, Class DZ, 2.00%, 12/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 14656880 | &nbsp;&nbsp;&nbsp;&nbsp; 7995668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5156, Class DC, 2.00%, 9/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14679478 | &nbsp;&nbsp;&nbsp;&nbsp; 12945864 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5190, Class PH, 2.50%, 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3100526 | &nbsp;&nbsp;&nbsp;&nbsp; 2885058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5250, PO, 8/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10021310 | &nbsp;&nbsp;&nbsp;&nbsp; 3469787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5438, PO, 9/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5599552 | &nbsp;&nbsp;&nbsp;&nbsp; 4661201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5337, Class SB, IF, 6.54%, 9/25/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4316545 | &nbsp;&nbsp;&nbsp;&nbsp; 4474851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5358, Class SB, IF, 6.98%, 11/25/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3535207 | &nbsp;&nbsp;&nbsp;&nbsp; 3756050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4862, Class NO, PO, 8/15/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 14167672 | &nbsp;&nbsp;&nbsp;&nbsp; 9060794 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 191, IO, 8.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 42060 | &nbsp;&nbsp;&nbsp;&nbsp; 2106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 197, PO, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 23222 | &nbsp;&nbsp;&nbsp;&nbsp; 22355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 83468 | &nbsp;&nbsp;&nbsp;&nbsp; 13117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 12, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 48138 | &nbsp;&nbsp;&nbsp;&nbsp; 6539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 110321 | &nbsp;&nbsp;&nbsp;&nbsp; 15755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 239, Class S30, IF, IO, 3.44%, 8/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 167844 | &nbsp;&nbsp;&nbsp;&nbsp; 21520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 262, Class 35, 3.50%, 7/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4732671 | &nbsp;&nbsp;&nbsp;&nbsp; 4508170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 169758 | &nbsp;&nbsp;&nbsp;&nbsp; 158013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 661304 | &nbsp;&nbsp;&nbsp;&nbsp; 518538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 406, PO, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6323155 | &nbsp;&nbsp;&nbsp;&nbsp; 5453281 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.40%, 7/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 102796 | &nbsp;&nbsp;&nbsp;&nbsp; 95684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.20%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1304284 | &nbsp;&nbsp;&nbsp;&nbsp; 1202291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-42, Class A5, 7.50%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 357956 | &nbsp;&nbsp;&nbsp;&nbsp; 388795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 36013 | &nbsp;&nbsp;&nbsp;&nbsp; 36684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 782394 | &nbsp;&nbsp;&nbsp;&nbsp; 793843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 359074 | &nbsp;&nbsp;&nbsp;&nbsp; 377497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A5, 5.23%, 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 601308 | &nbsp;&nbsp;&nbsp;&nbsp; 579698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 35435 | &nbsp;&nbsp;&nbsp;&nbsp; 29431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 1A, 6.50%, 9/25/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31057 | &nbsp;&nbsp;&nbsp;&nbsp; 32649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 37673 | &nbsp;&nbsp;&nbsp;&nbsp; 19523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-62, Class 1A1, 5.28%, 10/25/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 370706 | &nbsp;&nbsp;&nbsp;&nbsp; 341386 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AA4, Class A1, 5.18%, 10/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 58404 | &nbsp;&nbsp;&nbsp;&nbsp; 57549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 124788 | &nbsp;&nbsp;&nbsp;&nbsp; 55498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.58%, 8/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2363204 | &nbsp;&nbsp;&nbsp;&nbsp; 222076 |
| &nbsp;&nbsp;&nbsp; FNMA REMIC Trust Series 2006-72, Class GO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 40200 | &nbsp;&nbsp;&nbsp;&nbsp; 35766 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W17, Class 1A7, 5.75%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1466990 | &nbsp;&nbsp;&nbsp;&nbsp; 1496757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 103280 | &nbsp;&nbsp;&nbsp;&nbsp; 108467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 3F1, 4.59%, 5/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 64675 | &nbsp;&nbsp;&nbsp;&nbsp; 64537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 1A1, 6.50%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 100132 | &nbsp;&nbsp;&nbsp;&nbsp; 104884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 2A, 7.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 56744 | &nbsp;&nbsp;&nbsp;&nbsp; 58542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 51095 | &nbsp;&nbsp;&nbsp;&nbsp; 53069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.41%, 3/25/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 123165 | &nbsp;&nbsp;&nbsp;&nbsp; 122113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 3A, 5.53%, 6/25/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 237379 | &nbsp;&nbsp;&nbsp;&nbsp; 242628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 1A1, 6.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 38111 | &nbsp;&nbsp;&nbsp;&nbsp; 39178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.41%, 2/25/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 62848 | &nbsp;&nbsp;&nbsp;&nbsp; 62199 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T7, Class A1, 7.50%, 2/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 182251 | &nbsp;&nbsp;&nbsp;&nbsp; 190544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T12, Class A1, 6.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1599458 | &nbsp;&nbsp;&nbsp;&nbsp; 1617996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T12, Class A2, 7.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 82818 | &nbsp;&nbsp;&nbsp;&nbsp; 83843 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T10, PO, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5276 | &nbsp;&nbsp;&nbsp;&nbsp; 4715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A2, 7.00%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 66728 | &nbsp;&nbsp;&nbsp;&nbsp; 69662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A3, 7.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 158497 | &nbsp;&nbsp;&nbsp;&nbsp; 168770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T16, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 67269 | &nbsp;&nbsp;&nbsp;&nbsp; 71803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T19, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 154631 | &nbsp;&nbsp;&nbsp;&nbsp; 164582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T1, Class 1A1, 6.00%, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 102257 | &nbsp;&nbsp;&nbsp;&nbsp; 106383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class PT1, 9.11%, 1/25/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 80353 | &nbsp;&nbsp;&nbsp;&nbsp; 86122 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class HO, PO, 8/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1410 | &nbsp;&nbsp;&nbsp;&nbsp; 1392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GI, IF, IO, 2.46%, 10/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11763 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GK, IF, 12.32%, 10/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G97-2, Class ZA, 8.50%, 2/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1828 | &nbsp;&nbsp;&nbsp;&nbsp; 1852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-24, Class Z, 8.00%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-46, Class Z, 7.50%, 6/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9811 | &nbsp;&nbsp;&nbsp;&nbsp; 9859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-30, Class ZA, 6.50%, 5/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 36786 | &nbsp;&nbsp;&nbsp;&nbsp; 37415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-36, Class ZB, 6.00%, 7/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4630 | &nbsp;&nbsp;&nbsp;&nbsp; 4675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-7, Class FD, 4.89%, 4/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13208 | &nbsp;&nbsp;&nbsp;&nbsp; 13244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2893 | &nbsp;&nbsp;&nbsp;&nbsp; 2933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1397 | &nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-60, Class FA, 4.94%, 2/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 40577 | &nbsp;&nbsp;&nbsp;&nbsp; 40712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-60, Class FB, 4.94%, 2/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 40577 | &nbsp;&nbsp;&nbsp;&nbsp; 40712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-4, Class ZA, 6.50%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 51287 | &nbsp;&nbsp;&nbsp;&nbsp; 52363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-7, Class PF, 7.00%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2226 | &nbsp;&nbsp;&nbsp;&nbsp; 2329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-50, Class ZA, 6.00%, 5/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 79087 | &nbsp;&nbsp;&nbsp;&nbsp; 81405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8785 | &nbsp;&nbsp;&nbsp;&nbsp; 879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class LZ, 8.50%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 15446 | &nbsp;&nbsp;&nbsp;&nbsp; 16080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-38, Class FB, 4.69%, 8/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2743 | &nbsp;&nbsp;&nbsp;&nbsp; 2743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14070 | &nbsp;&nbsp;&nbsp;&nbsp; 14669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3982 | &nbsp;&nbsp;&nbsp;&nbsp; 4156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 11614 | &nbsp;&nbsp;&nbsp;&nbsp; 12225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-53, Class FX, 4.54%, 10/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 65682 | &nbsp;&nbsp;&nbsp;&nbsp; 65525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 10.39%, 10/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3118 | &nbsp;&nbsp;&nbsp;&nbsp; 3550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 35939 | &nbsp;&nbsp;&nbsp;&nbsp; 37443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 7.72%, 12/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1993 | &nbsp;&nbsp;&nbsp;&nbsp; 2259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 11.58%, 2/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2534 | &nbsp;&nbsp;&nbsp;&nbsp; 3014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23800 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp;&nbsp;&nbsp; 1425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-30, Class Z, 6.00%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 58129 | &nbsp;&nbsp;&nbsp;&nbsp; 60475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4208 | &nbsp;&nbsp;&nbsp;&nbsp; 4364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 50057 | &nbsp;&nbsp;&nbsp;&nbsp; 2912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class FH, 4.99%, 11/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 316246 | &nbsp;&nbsp;&nbsp;&nbsp; 318154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-39, Class ZA, 6.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 408473 | &nbsp;&nbsp;&nbsp;&nbsp; 426802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12624 | &nbsp;&nbsp;&nbsp;&nbsp; 13163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20408 | &nbsp;&nbsp;&nbsp;&nbsp; 18344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 6.81%, 12/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9644 | &nbsp;&nbsp;&nbsp;&nbsp; 10026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class F, 4.94%, 2/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 140896 | &nbsp;&nbsp;&nbsp;&nbsp; 141652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-14, Class TI, IO, 5.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 23825 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 131112 | &nbsp;&nbsp;&nbsp;&nbsp; 130185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6674 | &nbsp;&nbsp;&nbsp;&nbsp; 946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 139240 | &nbsp;&nbsp;&nbsp;&nbsp; 17917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-44, Class IU, IO, 7.00%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 186937 | &nbsp;&nbsp;&nbsp;&nbsp; 21494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 734 | &nbsp;&nbsp;&nbsp;&nbsp; 717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.63%, 8/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14170 | &nbsp;&nbsp;&nbsp;&nbsp; 12834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class PI, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5320 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 81545 | &nbsp;&nbsp;&nbsp;&nbsp; 9511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-86, Class ZA, 5.50%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 83677 | &nbsp;&nbsp;&nbsp;&nbsp; 86422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.52%, 9/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9821 | &nbsp;&nbsp;&nbsp;&nbsp; 10349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-105, Class AZ, 5.50%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 402032 | &nbsp;&nbsp;&nbsp;&nbsp; 418733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.41%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 65655 | &nbsp;&nbsp;&nbsp;&nbsp; 5867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 170467 | &nbsp;&nbsp;&nbsp;&nbsp; 150615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-122, Class ZJ, 6.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 418180 | &nbsp;&nbsp;&nbsp;&nbsp; 439119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-87, Class F, 4.94%, 1/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 58800 | &nbsp;&nbsp;&nbsp;&nbsp; 59138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 5.24%, 1/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1319 | &nbsp;&nbsp;&nbsp;&nbsp; 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class EP, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class PF, 4.59%, 3/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5136 | &nbsp;&nbsp;&nbsp;&nbsp; 5136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-17, Class H, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 131176 | &nbsp;&nbsp;&nbsp;&nbsp; 135727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 8.01%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18035 | &nbsp;&nbsp;&nbsp;&nbsp; 19687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 4.99%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6861 | &nbsp;&nbsp;&nbsp;&nbsp; 7374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QB, IF, 7.25%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20738 | &nbsp;&nbsp;&nbsp;&nbsp; 22358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 8.01%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 41120 | &nbsp;&nbsp;&nbsp;&nbsp; 45955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-50, Class VZ, 5.50%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 606935 | &nbsp;&nbsp;&nbsp;&nbsp; 633835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 5.87%, 7/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6186 | &nbsp;&nbsp;&nbsp;&nbsp; 6429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-44, Class B, 2.50%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 564415 | &nbsp;&nbsp;&nbsp;&nbsp; 540343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class LO, PO, 2/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 121427 | &nbsp;&nbsp;&nbsp;&nbsp; 111661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-15, Class MO, PO, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 55251 | &nbsp;&nbsp;&nbsp;&nbsp; 47514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-13, Class FL, 4.59%, 3/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30767 | &nbsp;&nbsp;&nbsp;&nbsp; 30579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.52%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 94392 | &nbsp;&nbsp;&nbsp;&nbsp; 7137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SV, IF, IO, 2.56%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 45301 | &nbsp;&nbsp;&nbsp;&nbsp; 3371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-103, Class SC, IF, 3.41%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 117871 | &nbsp;&nbsp;&nbsp;&nbsp; 114822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 6.91%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 39148 | &nbsp;&nbsp;&nbsp;&nbsp; 43564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 67543 | &nbsp;&nbsp;&nbsp;&nbsp; 69386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class PS, IF, 6.23%, 8/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18288 | &nbsp;&nbsp;&nbsp;&nbsp; 18976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class AO, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4983 | &nbsp;&nbsp;&nbsp;&nbsp; 4530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class OT, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 46918 | &nbsp;&nbsp;&nbsp;&nbsp; 41324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 29353 | &nbsp;&nbsp;&nbsp;&nbsp; 30293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class ES, IF, 6.41%, 10/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 56351 | &nbsp;&nbsp;&nbsp;&nbsp; 59689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-106, Class US, IF, 9.22%, 11/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 21597 | &nbsp;&nbsp;&nbsp;&nbsp; 22856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WQ, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 164565 | &nbsp;&nbsp;&nbsp;&nbsp; 138718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WN, IF, IO, 2.51%, 3/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 603403 | &nbsp;&nbsp;&nbsp;&nbsp; 59354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class HZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 43636 | &nbsp;&nbsp;&nbsp;&nbsp; 45297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 14062 | &nbsp;&nbsp;&nbsp;&nbsp; 12840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class OH, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25815 | &nbsp;&nbsp;&nbsp;&nbsp; 22795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 64264 | &nbsp;&nbsp;&nbsp;&nbsp; 57425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class JO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 35604 | &nbsp;&nbsp;&nbsp;&nbsp; 31130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PS, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 52469 | &nbsp;&nbsp;&nbsp;&nbsp; 47638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.39%, 6/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 96405 | &nbsp;&nbsp;&nbsp;&nbsp; 7817 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 66552 | &nbsp;&nbsp;&nbsp;&nbsp; 58586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 24131 | &nbsp;&nbsp;&nbsp;&nbsp; 19848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25808 | &nbsp;&nbsp;&nbsp;&nbsp; 22403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FT, 4.94%, 7/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 215732 | &nbsp;&nbsp;&nbsp;&nbsp; 217245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-63, Class ZH, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 76870 | &nbsp;&nbsp;&nbsp;&nbsp; 82940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 26968 | &nbsp;&nbsp;&nbsp;&nbsp; 22590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 38960 | &nbsp;&nbsp;&nbsp;&nbsp; 33565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.31%, 8/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 254020 | &nbsp;&nbsp;&nbsp;&nbsp; 28073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 110463 | &nbsp;&nbsp;&nbsp;&nbsp; 114312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-78, Class BZ, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 52306 | &nbsp;&nbsp;&nbsp;&nbsp; 56056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-86, Class OB, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 58469 | &nbsp;&nbsp;&nbsp;&nbsp; 50511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 27415 | &nbsp;&nbsp;&nbsp;&nbsp; 24789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 307571 | &nbsp;&nbsp;&nbsp;&nbsp; 51076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 31349 | &nbsp;&nbsp;&nbsp;&nbsp; 27467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 21965 | &nbsp;&nbsp;&nbsp;&nbsp; 17982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-105, Class ME, 5.50%, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 303229 | &nbsp;&nbsp;&nbsp;&nbsp; 315524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class OK, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 63979 | &nbsp;&nbsp;&nbsp;&nbsp; 52508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25651 | &nbsp;&nbsp;&nbsp;&nbsp; 22878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-117, Class GS, IF, IO, 2.46%, 12/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 79772 | &nbsp;&nbsp;&nbsp;&nbsp; 7932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 4.36%, 12/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 37655 | &nbsp;&nbsp;&nbsp;&nbsp; 36989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-120, Class PF, 4.44%, 12/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20853 | &nbsp;&nbsp;&nbsp;&nbsp; 20680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-120, IO, 6.50%, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 118833 | &nbsp;&nbsp;&nbsp;&nbsp; 16453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class AC, 7.50%, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 994752 | &nbsp;&nbsp;&nbsp;&nbsp; 1053815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-126, Class AO, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 117561 | &nbsp;&nbsp;&nbsp;&nbsp; 102659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class SD, IF, 13.88%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 32521 | &nbsp;&nbsp;&nbsp;&nbsp; 57060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class OP, PO, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 37890 | &nbsp;&nbsp;&nbsp;&nbsp; 33518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 1.89%, 3/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3720 | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.25%, 3/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1419967 | &nbsp;&nbsp;&nbsp;&nbsp; 156605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.94%, 3/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15989 | &nbsp;&nbsp;&nbsp;&nbsp; 16052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-63, Class P, 5.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6292 | &nbsp;&nbsp;&nbsp;&nbsp; 6219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-18, Class MZ, 6.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 147414 | &nbsp;&nbsp;&nbsp;&nbsp; 156371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-39, Class EF, 4.44%, 5/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14168 | &nbsp;&nbsp;&nbsp;&nbsp; 13989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-46, Class ZK, 5.50%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 57907 | &nbsp;&nbsp;&nbsp;&nbsp; 60357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class WI, IF, IO, 1.91%, 6/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 120534 | &nbsp;&nbsp;&nbsp;&nbsp; 12687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class EK, IF, IO, 2.21%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 392578 | &nbsp;&nbsp;&nbsp;&nbsp; 44742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-65, Class KI, IF, IO, 2.43%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 79218 | &nbsp;&nbsp;&nbsp;&nbsp; 8117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 2.96%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 122868 | &nbsp;&nbsp;&nbsp;&nbsp; 16990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class ZG, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 77752 | &nbsp;&nbsp;&nbsp;&nbsp; 80421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class CB, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 39487 | &nbsp;&nbsp;&nbsp;&nbsp; 41870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SB, IF, 8.67%, 8/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10941 | &nbsp;&nbsp;&nbsp;&nbsp; 12971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.35%, 9/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 55934 | &nbsp;&nbsp;&nbsp;&nbsp; 4735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class OT, PO, 10/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 180587 | &nbsp;&nbsp;&nbsp;&nbsp; 155833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-100, Class SM, IF, IO, 2.26%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 128062 | &nbsp;&nbsp;&nbsp;&nbsp; 13006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.27%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 189686 | &nbsp;&nbsp;&nbsp;&nbsp; 21138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class SA, IF, IO, 2.26%, 12/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 346810 | &nbsp;&nbsp;&nbsp;&nbsp; 46425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 1.67%, 1/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 266315 | &nbsp;&nbsp;&nbsp;&nbsp; 15942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.72%, 2/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 104155 | &nbsp;&nbsp;&nbsp;&nbsp; 8718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-12, Class CO, PO, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 193398 | &nbsp;&nbsp;&nbsp;&nbsp; 171895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 2.01%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 72455 | &nbsp;&nbsp;&nbsp;&nbsp; 5894 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 2.04%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 62057 | &nbsp;&nbsp;&nbsp;&nbsp; 5748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-20, Class SA, IF, IO, 2.80%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 70919 | &nbsp;&nbsp;&nbsp;&nbsp; 7672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class UA, 7.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 6517 | &nbsp;&nbsp;&nbsp;&nbsp; 6725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class SA, IF, IO, 2.66%, 4/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15307 | &nbsp;&nbsp;&nbsp;&nbsp; 1358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.71%, 4/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 33796 | &nbsp;&nbsp;&nbsp;&nbsp; 3634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-44, PO, 5/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 8563 | &nbsp;&nbsp;&nbsp;&nbsp; 7697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 3.01%, 7/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 34510 | &nbsp;&nbsp;&nbsp;&nbsp; 3516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-47, Class ZA, 5.50%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 168246 | &nbsp;&nbsp;&nbsp;&nbsp; 173587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.66%, 9/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 84005 | &nbsp;&nbsp;&nbsp;&nbsp; 7118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.66%, 9/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 77795 | &nbsp;&nbsp;&nbsp;&nbsp; 6135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class GP, 6.25%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 8483 | &nbsp;&nbsp;&nbsp;&nbsp; 8997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.36%, 2/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 37671 | &nbsp;&nbsp;&nbsp;&nbsp; 3147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-4, Class BD, 4.50%, 2/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2284 | &nbsp;&nbsp;&nbsp;&nbsp; 2117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-17, Class QS, IF, IO, 2.46%, 3/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 37830 | &nbsp;&nbsp;&nbsp;&nbsp; 3508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-52, Class PI, IO, 5.00%, 7/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 106925 | &nbsp;&nbsp;&nbsp;&nbsp; 15850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-47, Class MT, 7.00%, 7/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 6630 | &nbsp;&nbsp;&nbsp;&nbsp; 6919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-69, PO, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 47346 | &nbsp;&nbsp;&nbsp;&nbsp; 39131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-84, Class WS, IF, IO, 1.71%, 10/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 38689 | &nbsp;&nbsp;&nbsp;&nbsp; 3300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 78565 | &nbsp;&nbsp;&nbsp;&nbsp; 13124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-92, Class AD, 6.00%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 8274 | &nbsp;&nbsp;&nbsp;&nbsp; 8274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 1.99%, 12/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 29564 | &nbsp;&nbsp;&nbsp;&nbsp; 2341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class WA, 6.33%, 12/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 103773 | &nbsp;&nbsp;&nbsp;&nbsp; 106232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 6.56%, 12/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 216617 | &nbsp;&nbsp;&nbsp;&nbsp; 218314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class ST, IF, IO, 2.06%, 1/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 94314 | &nbsp;&nbsp;&nbsp;&nbsp; 10256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-113, Class FB, 4.74%, 1/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 96705 | &nbsp;&nbsp;&nbsp;&nbsp; 96554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-23, Class KS, IF, IO, 2.91%, 2/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 51830 | &nbsp;&nbsp;&nbsp;&nbsp; 4468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class WA, 6.28%, 2/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 222447 | &nbsp;&nbsp;&nbsp;&nbsp; 226351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 4.29%, 3/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 98126 | &nbsp;&nbsp;&nbsp;&nbsp; 98468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WB, 6.11%, 3/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 517817 | &nbsp;&nbsp;&nbsp;&nbsp; 525986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WA, 6.44%, 3/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 163713 | &nbsp;&nbsp;&nbsp;&nbsp; 167514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SB, IF, IO, 2.23%, 4/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 68626 | &nbsp;&nbsp;&nbsp;&nbsp; 4646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-40, Class FJ, 4.79%, 4/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9816 | &nbsp;&nbsp;&nbsp;&nbsp; 9816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-42, Class S, IF, IO, 2.21%, 5/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31629 | &nbsp;&nbsp;&nbsp;&nbsp; 2793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class FD, 4.79%, 5/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 108383 | &nbsp;&nbsp;&nbsp;&nbsp; 108268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-61, Class WA, 6.05%, 6/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 69715 | &nbsp;&nbsp;&nbsp;&nbsp; 70916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-68, Class SA, IF, IO, 0.81%, 7/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 231369 | &nbsp;&nbsp;&nbsp;&nbsp; 20210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class ME, 4.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 271236 | &nbsp;&nbsp;&nbsp;&nbsp; 267403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-111, Class AM, 5.50%, 10/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 312383 | &nbsp;&nbsp;&nbsp;&nbsp; 327238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-125, Class SA, IF, IO, 0.25%, 11/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 239314 | &nbsp;&nbsp;&nbsp;&nbsp; 10874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CY, 4.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1200509 | &nbsp;&nbsp;&nbsp;&nbsp; 1215909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-123, Class FL, 4.62%, 11/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 27284 | &nbsp;&nbsp;&nbsp;&nbsp; 27124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.34%, 1/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 887455 | &nbsp;&nbsp;&nbsp;&nbsp; 106997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-20, Class MW, 5.00%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1644000 | &nbsp;&nbsp;&nbsp;&nbsp; 1685954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.74%, 4/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 154372 | &nbsp;&nbsp;&nbsp;&nbsp; 11460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.74%, 8/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17007 | &nbsp;&nbsp;&nbsp;&nbsp; 16979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class LB, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 246442 | &nbsp;&nbsp;&nbsp;&nbsp; 264788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 413163 | &nbsp;&nbsp;&nbsp;&nbsp; 441152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class NT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 422301 | &nbsp;&nbsp;&nbsp;&nbsp; 454271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class LZ, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 34750 | &nbsp;&nbsp;&nbsp;&nbsp; 25414 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4, Class AJ, 3.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 796641 | &nbsp;&nbsp;&nbsp;&nbsp; 763598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 626498 | &nbsp;&nbsp;&nbsp;&nbsp; 481037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 723362 | &nbsp;&nbsp;&nbsp;&nbsp; 551220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class AL, 2.00%, 3/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 13198709 | &nbsp;&nbsp;&nbsp;&nbsp; 10455799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11, Class LA, 3.50%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 825174 | &nbsp;&nbsp;&nbsp;&nbsp; 814455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-63, Class DA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 438056 | &nbsp;&nbsp;&nbsp;&nbsp; 410714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-68, Class DZ, 4.00%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 945561 | &nbsp;&nbsp;&nbsp;&nbsp; 905995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-20, Class H, 3.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1327381 | &nbsp;&nbsp;&nbsp;&nbsp; 1232943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-32, Class SD, IF, IO, 1.86%, 6/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6868517 | &nbsp;&nbsp;&nbsp;&nbsp; 819792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-91, Class GB, 1.75%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17412137 | &nbsp;&nbsp;&nbsp;&nbsp; 14918992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class SB, IF, IO, 1.91%, 11/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 334630 | &nbsp;&nbsp;&nbsp;&nbsp; 31427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-11, Class JW, 3.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3056000 | &nbsp;&nbsp;&nbsp;&nbsp; 2360399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-36, Class SH, IF, IO, 1.86%, 6/25/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9709800 | &nbsp;&nbsp;&nbsp;&nbsp; 1191398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-45, Class KG, 2.00%, 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3489821 | &nbsp;&nbsp;&nbsp;&nbsp; 2972390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-61, Class SB, IF, IO, 3.53%, 9/25/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5908234 | &nbsp;&nbsp;&nbsp;&nbsp; 233389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.81%, 2/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 42604 | &nbsp;&nbsp;&nbsp;&nbsp; 44523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-43, Class WA, 5.72%, 5/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 55878 | &nbsp;&nbsp;&nbsp;&nbsp; 58508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-58, Class WA, 5.51%, 7/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 329223 | &nbsp;&nbsp;&nbsp;&nbsp; 326685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class CZ, 3.00%, 12/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2756802 | &nbsp;&nbsp;&nbsp;&nbsp; 1700511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-21, Class WA, 5.63%, 3/25/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 413711 | &nbsp;&nbsp;&nbsp;&nbsp; 433091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-18, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 33689954 | &nbsp;&nbsp;&nbsp;&nbsp; 28773215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-29, Class LA, 2.00%, 5/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 10946008 | &nbsp;&nbsp;&nbsp;&nbsp; 9730595 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust Series 2001-W4, Class AF6, 5.11%, 1/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 957 | &nbsp;&nbsp;&nbsp;&nbsp; 957 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W4, Class A7, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 250817 | &nbsp;&nbsp;&nbsp;&nbsp; 252757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W2, Class 1A1, 4.51%, 3/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 121894 | &nbsp;&nbsp;&nbsp;&nbsp; 120594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W3, Class 1A3, 6.75%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 48935 | &nbsp;&nbsp;&nbsp;&nbsp; 49893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 14.06%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6308 | &nbsp;&nbsp;&nbsp;&nbsp; 8693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-W3, Class A, 7.00%, 9/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 168420 | &nbsp;&nbsp;&nbsp;&nbsp; 169184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-W10, IO, 0.90%, 8/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 741085 | &nbsp;&nbsp;&nbsp;&nbsp; 30147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.05%, 10/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12215 | &nbsp;&nbsp;&nbsp;&nbsp; 12419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.70%, 12/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 91537 | &nbsp;&nbsp;&nbsp;&nbsp; 92492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.08%, 12/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 63063 | &nbsp;&nbsp;&nbsp;&nbsp; 63862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W11, Class 1A1, 6.00%, 5/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 220327 | &nbsp;&nbsp;&nbsp;&nbsp; 230925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 2A, 6.00%, 9/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 50108 | &nbsp;&nbsp;&nbsp;&nbsp; 51730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 1AF1, 4.43%, 10/25/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 33217 | &nbsp;&nbsp;&nbsp;&nbsp; 32883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 185241 | &nbsp;&nbsp;&nbsp;&nbsp; 193021 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 4.73%, 6/27/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 115914 | &nbsp;&nbsp;&nbsp;&nbsp; 117108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.59%, 6/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 53099 | &nbsp;&nbsp;&nbsp;&nbsp; 52690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-64, Class FB, 4.56%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 77718 | &nbsp;&nbsp;&nbsp;&nbsp; 77199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.06%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 21140 | &nbsp;&nbsp;&nbsp;&nbsp; 21445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class A1, 6.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 113930 | &nbsp;&nbsp;&nbsp;&nbsp; 116328 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 331, Class 13, IO, 7.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 44803 | &nbsp;&nbsp;&nbsp;&nbsp; 4922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20403 | &nbsp;&nbsp;&nbsp;&nbsp; 2295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 351, Class 7, IO, 5.00%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 46458 | &nbsp;&nbsp;&nbsp;&nbsp; 4915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 356, Class 3, IO, 5.00%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 60084 | &nbsp;&nbsp;&nbsp;&nbsp; 7193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 80897 | &nbsp;&nbsp;&nbsp;&nbsp; 14370 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 373, Class 1, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 505489 | &nbsp;&nbsp;&nbsp;&nbsp; 445172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 29137 | &nbsp;&nbsp;&nbsp;&nbsp; 4472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 393, Class 6, IO, 5.50%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 12998 | &nbsp;&nbsp;&nbsp;&nbsp; 1142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 32, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 73681 | &nbsp;&nbsp;&nbsp;&nbsp; 12910 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.38%, 6/19/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 116621 | &nbsp;&nbsp;&nbsp;&nbsp; 114338 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 4.18%, 8/16/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13287 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-41, Class ID, IO, 5.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 77419 | &nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-41, Class WA, 5.81%, 10/20/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 242657 | &nbsp;&nbsp;&nbsp;&nbsp; 249334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-112, Class SA, IF, IO, 2.48%, 12/16/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 103097 | &nbsp;&nbsp;&nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 8.46%, 4/16/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23585 | &nbsp;&nbsp;&nbsp;&nbsp; 26039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class AO, PO, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 37852 | &nbsp;&nbsp;&nbsp;&nbsp; 31910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class WA, 5.66%, 8/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 133698 | &nbsp;&nbsp;&nbsp;&nbsp; 136785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-73, Class JL, IF, IO, 2.48%, 9/16/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 368970 | &nbsp;&nbsp;&nbsp;&nbsp; 33773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8282 | &nbsp;&nbsp;&nbsp;&nbsp; 8342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 2.03%, 10/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 109108 | &nbsp;&nbsp;&nbsp;&nbsp; 5353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 6.62%, 6/17/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18286 | &nbsp;&nbsp;&nbsp;&nbsp; 20141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 246293 | &nbsp;&nbsp;&nbsp;&nbsp; 209647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 323875 | &nbsp;&nbsp;&nbsp;&nbsp; 28996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 2.23%, 9/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 211185 | &nbsp;&nbsp;&nbsp;&nbsp; 19428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class AZ, 5.50%, 9/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 142773 | &nbsp;&nbsp;&nbsp;&nbsp; 145399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-85, IO, 5.50%, 11/16/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 80797 | &nbsp;&nbsp;&nbsp;&nbsp; 1757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class BO, PO, 11/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 43189 | &nbsp;&nbsp;&nbsp;&nbsp; 36713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 38998 | &nbsp;&nbsp;&nbsp;&nbsp; 32826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 5/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 27434 | &nbsp;&nbsp;&nbsp;&nbsp; 23089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-34, PO, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 21989 | &nbsp;&nbsp;&nbsp;&nbsp; 18439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.63%, 10/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 37815 | &nbsp;&nbsp;&nbsp;&nbsp; 2393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.76%, 2/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 418856 | &nbsp;&nbsp;&nbsp;&nbsp; 430640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 31711 | &nbsp;&nbsp;&nbsp;&nbsp; 26187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.74%, 4/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 230622 | &nbsp;&nbsp;&nbsp;&nbsp; 18061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-129, Class AW, 5.82%, 4/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 145991 | &nbsp;&nbsp;&nbsp;&nbsp; 150314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-31, Class AO, PO, 5/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 214937 | &nbsp;&nbsp;&nbsp;&nbsp; 175572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-25, Class FN, 4.37%, 5/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30545 | &nbsp;&nbsp;&nbsp;&nbsp; 30197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5143 | &nbsp;&nbsp;&nbsp;&nbsp; 4240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 2.13%, 5/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 103341 | &nbsp;&nbsp;&nbsp;&nbsp; 2101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class HO, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4846 | &nbsp;&nbsp;&nbsp;&nbsp; 3942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.40%, 6/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 96929 | &nbsp;&nbsp;&nbsp;&nbsp; 922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SG, IF, IO, 2.40%, 6/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 153521 | &nbsp;&nbsp;&nbsp;&nbsp; 1523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-45, Class QA, IF, IO, 2.57%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 47246 | &nbsp;&nbsp;&nbsp;&nbsp; 3174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SD, IF, IO, 2.68%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 117335 | &nbsp;&nbsp;&nbsp;&nbsp; 4217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class SB, IF, IO, 2.68%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 115626 | &nbsp;&nbsp;&nbsp;&nbsp; 4391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 7.98%, 9/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14787 | &nbsp;&nbsp;&nbsp;&nbsp; 16145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 68622 | &nbsp;&nbsp;&nbsp;&nbsp; 57609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-74, Class SL, IF, IO, 2.47%, 11/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 367843 | &nbsp;&nbsp;&nbsp;&nbsp; 2087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SA, IF, IO, 2.46%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 99312 | &nbsp;&nbsp;&nbsp;&nbsp; 585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.48%, 12/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 130091 | &nbsp;&nbsp;&nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class MS, IF, IO, 3.09%, 1/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 77413 | &nbsp;&nbsp;&nbsp;&nbsp; 6031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, PO, 1/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 16110 | &nbsp;&nbsp;&nbsp;&nbsp; 13158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-137, Class WA, 5.55%, 1/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 138792 | &nbsp;&nbsp;&nbsp;&nbsp; 144494 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-13, Class PI, IO, 5.50%, 2/16/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 179032 | &nbsp;&nbsp;&nbsp;&nbsp; 12055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class S, IF, IO, 1.76%, 2/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 52258 | &nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class ST, IF, IO, 1.93%, 2/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 287811 | &nbsp;&nbsp;&nbsp;&nbsp; 6853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IF, IO, 3.63%, 4/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 56127 | &nbsp;&nbsp;&nbsp;&nbsp; 2831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 2.23%, 4/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 116808 | &nbsp;&nbsp;&nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-52, Class WA, 6.19%, 4/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1143741 | &nbsp;&nbsp;&nbsp;&nbsp; 1187504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.33%, 5/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 328877 | &nbsp;&nbsp;&nbsp;&nbsp; 16950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 2.13%, 6/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 59016 | &nbsp;&nbsp;&nbsp;&nbsp; 467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-62, Class SA, IF, IO, 2.08%, 7/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 298836 | &nbsp;&nbsp;&nbsp;&nbsp; 1518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 1.93%, 8/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20104 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-59, Class WA, 5.58%, 8/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 223249 | &nbsp;&nbsp;&nbsp;&nbsp; 230200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.53%, 9/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 55274 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-97, Class WA, 6.08%, 11/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 362345 | &nbsp;&nbsp;&nbsp;&nbsp; 369516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.63%, 12/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 92809 | &nbsp;&nbsp;&nbsp;&nbsp; 5376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-96, Class SL, IF, IO, 1.93%, 12/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 66404 | &nbsp;&nbsp;&nbsp;&nbsp; 1344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-95, Class DS, IF, IO, 3.23%, 12/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 220292 | &nbsp;&nbsp;&nbsp;&nbsp; 1688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-163, Class WA, 5.84%, 12/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 484396 | &nbsp;&nbsp;&nbsp;&nbsp; 502251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 2.03%, 2/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 70765 | &nbsp;&nbsp;&nbsp;&nbsp; 327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class SA, IF, IO, 1.88%, 2/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 119572 | &nbsp;&nbsp;&nbsp;&nbsp; 8570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 368396 | &nbsp;&nbsp;&nbsp;&nbsp; 4968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 81273 | &nbsp;&nbsp;&nbsp;&nbsp; 4270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 95758 | &nbsp;&nbsp;&nbsp;&nbsp; 5452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 27309 | &nbsp;&nbsp;&nbsp;&nbsp; 1677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 63811 | &nbsp;&nbsp;&nbsp;&nbsp; 4314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 1.88%, 6/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 77748 | &nbsp;&nbsp;&nbsp;&nbsp; 3559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-42, Class SC, IF, IO, 2.01%, 6/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 147334 | &nbsp;&nbsp;&nbsp;&nbsp; 12253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-64, Class SN, IF, IO, 2.03%, 7/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 83877 | &nbsp;&nbsp;&nbsp;&nbsp; 4927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-54, Class JZ, 5.50%, 7/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 626861 | &nbsp;&nbsp;&nbsp;&nbsp; 659882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-67, Class SA, IF, IO, 1.98%, 8/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 107694 | &nbsp;&nbsp;&nbsp;&nbsp; 8967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 2.18%, 8/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 190181 | &nbsp;&nbsp;&nbsp;&nbsp; 15204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class AS, IF, IO, 2.33%, 11/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 263544 | &nbsp;&nbsp;&nbsp;&nbsp; 26486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class W, 5.27%, 5/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 472758 | &nbsp;&nbsp;&nbsp;&nbsp; 490809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.08%, 6/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 206869 | &nbsp;&nbsp;&nbsp;&nbsp; 212783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-137, Class WA, 5.58%, 7/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 790008 | &nbsp;&nbsp;&nbsp;&nbsp; 823451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 139619 | &nbsp;&nbsp;&nbsp;&nbsp; 149802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 394318 | &nbsp;&nbsp;&nbsp;&nbsp; 342625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-187, Class WA, 3.76%, 7/16/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3653633 | &nbsp;&nbsp;&nbsp;&nbsp; 3531795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-100, Class MY, 4.00%, 7/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 686354 | &nbsp;&nbsp;&nbsp;&nbsp; 679306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-24, Class WA, 5.51%, 7/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1014458 | &nbsp;&nbsp;&nbsp;&nbsp; 1047036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class AK, 4.70%, 9/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 483598 | &nbsp;&nbsp;&nbsp;&nbsp; 492205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.54%, 10/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 493818 | &nbsp;&nbsp;&nbsp;&nbsp; 499874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WA, 4.52%, 11/16/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1898627 | &nbsp;&nbsp;&nbsp;&nbsp; 1903688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.75%, 1/20/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 917597 | &nbsp;&nbsp;&nbsp;&nbsp; 882278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WB, 4.00%, 9/16/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1444412 | &nbsp;&nbsp;&nbsp;&nbsp; 1395105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-138, Class PT, 4.00%, 11/16/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1528274 | &nbsp;&nbsp;&nbsp;&nbsp; 1490845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.87%, 11/20/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 943065 | &nbsp;&nbsp;&nbsp;&nbsp; 968482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-99, Class PT, 5.99%, 8/20/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 502388 | &nbsp;&nbsp;&nbsp;&nbsp; 529052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-103, Class WA, 4.23%, 6/20/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2878350 | &nbsp;&nbsp;&nbsp;&nbsp; 2836313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-31, Class HC, 3.50%, 5/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1153630 | &nbsp;&nbsp;&nbsp;&nbsp; 1127370 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-160, Class PA, 3.50%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 685028 | &nbsp;&nbsp;&nbsp;&nbsp; 678074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-90, Class LI, IO, 4.00%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1209362 | &nbsp;&nbsp;&nbsp;&nbsp; 215703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-31, Class TS, IF, IO, 1.98%, 3/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13420592 | &nbsp;&nbsp;&nbsp;&nbsp; 1344926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-111, IO, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4663083 | &nbsp;&nbsp;&nbsp;&nbsp; 708866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class ST, IF, IO, 1.98%, 5/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6604712 | &nbsp;&nbsp;&nbsp;&nbsp; 722003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-133, Class IH, IO, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2870773 | &nbsp;&nbsp;&nbsp;&nbsp; 311302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-112, Class GS, IF, IO, 2.00%, 9/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1555851 | &nbsp;&nbsp;&nbsp;&nbsp; 200688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-112, Class SG, IF, IO, 2.03%, 9/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2143310 | &nbsp;&nbsp;&nbsp;&nbsp; 214784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-43, Class B, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 14836153 | &nbsp;&nbsp;&nbsp;&nbsp; 14171292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-47, Class AI, IO, 4.50%, 4/16/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4232336 | &nbsp;&nbsp;&nbsp;&nbsp; 806166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-85, Class IA, IO, 4.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 16828469 | &nbsp;&nbsp;&nbsp;&nbsp; 2595971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-95, Class HI, IO, 4.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8124551 | &nbsp;&nbsp;&nbsp;&nbsp; 1419255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-97, Class AI, IO, 4.75%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8792862 | &nbsp;&nbsp;&nbsp;&nbsp; 1584664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-97, Class IA, IO, 5.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 11138553 | &nbsp;&nbsp;&nbsp;&nbsp; 1983842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-133, Class KB, 1.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7789075 | &nbsp;&nbsp;&nbsp;&nbsp; 6398272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-122, Class HI, IO, 3.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 18247237 | &nbsp;&nbsp;&nbsp;&nbsp; 2805286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-112, Class GI, IO, 4.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9640816 | &nbsp;&nbsp;&nbsp;&nbsp; 2047035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-64, Class ZY, 2.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4509180 | &nbsp;&nbsp;&nbsp;&nbsp; 3235545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-133, Class EI, IO, 3.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13722928 | &nbsp;&nbsp;&nbsp;&nbsp; 2219043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-134, Class IH, IO, 3.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 19397515 | &nbsp;&nbsp;&nbsp;&nbsp; 3294782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-149, Class SH, IF, IO, 3.06%, 10/20/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16882136 | &nbsp;&nbsp;&nbsp;&nbsp; 448317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-149, Class TS, IF, IO, 3.06%, 10/20/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15169830 | &nbsp;&nbsp;&nbsp;&nbsp; 358146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-16, Class JI, IO, 3.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 19147420 | &nbsp;&nbsp;&nbsp;&nbsp; 2988606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-189, Class JI, IO, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 10558261 | &nbsp;&nbsp;&nbsp;&nbsp; 2029870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15, Class EI, IO, 2.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16992445 | &nbsp;&nbsp;&nbsp;&nbsp; 2413943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-27, Class TI, IO, 3.00%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 12303729 | &nbsp;&nbsp;&nbsp;&nbsp; 1855319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-69, Class CI, IO, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8604919 | &nbsp;&nbsp;&nbsp;&nbsp; 1588781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-197, Class BN, 3.00%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 16779986 | &nbsp;&nbsp;&nbsp;&nbsp; 15749945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-226, Class ZH, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1289050 | &nbsp;&nbsp;&nbsp;&nbsp; 794739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-179, Class WE, IF, 5.25%, 10/20/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4075268 | &nbsp;&nbsp;&nbsp;&nbsp; 4077152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-190, Class LS, IF, 3.75%, 11/20/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8126989 | &nbsp;&nbsp;&nbsp;&nbsp; 7826667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-53, Class SL, IF, 4.30%, 4/20/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7478437 | &nbsp;&nbsp;&nbsp;&nbsp; 7260421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-55, Class MT, 4.50%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 3692221 | &nbsp;&nbsp;&nbsp;&nbsp; 3644671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-65, Class KS, IF, 4.00%, 5/20/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6862702 | &nbsp;&nbsp;&nbsp;&nbsp; 6597824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-69, Class S, IF, 4.55%, 5/20/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5395706 | &nbsp;&nbsp;&nbsp;&nbsp; 5390537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-89, Class BS, IF, 4.01%, 6/20/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6627927 | &nbsp;&nbsp;&nbsp;&nbsp; 6369293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-115, Class TS, IF, 6.60%, 6/20/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3961720 | &nbsp;&nbsp;&nbsp;&nbsp; 4120559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-101, Class S, IF, 3.70%, 7/20/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1697658 | &nbsp;&nbsp;&nbsp;&nbsp; 1568709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-146, Class GO, PO, 10/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 13443777 | &nbsp;&nbsp;&nbsp;&nbsp; 10759204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-164, Class LO, PO, 6/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 6742456 | &nbsp;&nbsp;&nbsp;&nbsp; 5496295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-105, Class SM, IF, 4.30%, 6/20/2055 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13735491 | &nbsp;&nbsp;&nbsp;&nbsp; 13416057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 4.65%, 4/20/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1626 | &nbsp;&nbsp;&nbsp;&nbsp; 1618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 4.52%, 8/20/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 4.50%, 2/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3869 | &nbsp;&nbsp;&nbsp;&nbsp; 3832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class MA, 4.77%, 4/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H02, Class HF, 4.52%, 11/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class JA, 4.54%, 1/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 324032 | &nbsp;&nbsp;&nbsp;&nbsp; 323169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class SA, 4.64%, 2/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 572418 | &nbsp;&nbsp;&nbsp;&nbsp; 571616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class BF, 4.62%, 3/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 208521 | &nbsp;&nbsp;&nbsp;&nbsp; 207614 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 4.63%, 3/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 333352 | &nbsp;&nbsp;&nbsp;&nbsp; 332831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H09, Class HA, 1.65%, 4/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 29871 | &nbsp;&nbsp;&nbsp;&nbsp; 28521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-64, Class EO, PO, 4/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 13182650 | &nbsp;&nbsp;&nbsp;&nbsp; 11638918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H13, Class FD, 4.09%, 5/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 166305 | &nbsp;&nbsp;&nbsp;&nbsp; 165970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H13, Class FT, 4.80%, 5/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16511 | &nbsp;&nbsp;&nbsp;&nbsp; 16532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H11, Class FD, 5.08%, 5/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 398514 | &nbsp;&nbsp;&nbsp;&nbsp; 401342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H26, Class FC, 5.22%, 12/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 353420 | &nbsp;&nbsp;&nbsp;&nbsp; 355316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H05, Class FC, 4.97%, 2/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 424242 | &nbsp;&nbsp;&nbsp;&nbsp; 424978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 2.27%, 3/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1666905 | &nbsp;&nbsp;&nbsp;&nbsp; 67655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H11, Class XI, IO, 2.24%, 5/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5409994 | &nbsp;&nbsp;&nbsp;&nbsp; 179303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class XI, IO, 1.87%, 6/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2473803 | &nbsp;&nbsp;&nbsp;&nbsp; 63949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class AI, IO, 2.29%, 6/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2108909 | &nbsp;&nbsp;&nbsp;&nbsp; 104969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H11, Class GI, IO, 3.25%, 7/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 497258 | &nbsp;&nbsp;&nbsp;&nbsp; 6733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H16, Class F, 4.63%, 8/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1005893 | &nbsp;&nbsp;&nbsp;&nbsp; 1009257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H17, Class FQ, 5.05%, 9/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1732132 | &nbsp;&nbsp;&nbsp;&nbsp; 1745353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H25, Class HI, IO, 2.02%, 10/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1546105 | &nbsp;&nbsp;&nbsp;&nbsp; 58671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H04, Class FE, 4.92%, 2/20/2068 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 701612 | &nbsp;&nbsp;&nbsp;&nbsp; 703899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H18, Class AI, IO, 1.21%, 9/20/2068 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 44239104 | &nbsp;&nbsp;&nbsp;&nbsp; 2836469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H09, Class IB, IO, 1.91%, 4/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22421 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H14, Class IE, IO, 0.47%, 5/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2151044 | &nbsp;&nbsp;&nbsp;&nbsp; 53940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H12, Class JI, IO, 1.99%, 7/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1285324 | &nbsp;&nbsp;&nbsp;&nbsp; 2682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H14, Class KI, IO, 2.23%, 7/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 811434 | &nbsp;&nbsp;&nbsp;&nbsp; 1549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H15, Class IJ, IO, 2.19%, 8/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3508023 | &nbsp;&nbsp;&nbsp;&nbsp; 74303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H18, Class CI, IO, 1.06%, 10/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20605012 | &nbsp;&nbsp;&nbsp;&nbsp; 1128487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H18, Class KI, IO, 2.34%, 11/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 879992 | &nbsp;&nbsp;&nbsp;&nbsp; 5386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H02, Class DI, IO, 2.25%, 12/20/2069 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2397868 | &nbsp;&nbsp;&nbsp;&nbsp; 18783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H05, IO, 1.40%, 3/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19165154 | &nbsp;&nbsp;&nbsp;&nbsp; 1093817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H07, Class DI, IO, 1.54%, 4/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22977320 | &nbsp;&nbsp;&nbsp;&nbsp; 1399686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class IE, IO, 1.91%, 5/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5051924 | &nbsp;&nbsp;&nbsp;&nbsp; 214114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H17, Class IJ, IO, 1.08%, 10/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9521368 | &nbsp;&nbsp;&nbsp;&nbsp; 488631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H17, Class IK, IO, 1.32%, 10/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 40175429 | &nbsp;&nbsp;&nbsp;&nbsp; 2653630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H01, Class AI, IO, 1.30%, 11/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 76581667 | &nbsp;&nbsp;&nbsp;&nbsp; 4668492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H22, Class IH, IO, 1.12%, 12/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10789105 | &nbsp;&nbsp;&nbsp;&nbsp; 593798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H22, Class JI, IO, 1.20%, 12/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 110012179 | &nbsp;&nbsp;&nbsp;&nbsp; 5912294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H01, Class DI, IO, 1.82%, 12/20/2070 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24855802 | &nbsp;&nbsp;&nbsp;&nbsp; 1985282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class JI, IO, 0.56%, 1/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 26186897 | &nbsp;&nbsp;&nbsp;&nbsp; 1211293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class IH, IO, 0.69%, 1/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16968631 | &nbsp;&nbsp;&nbsp;&nbsp; 863394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class HI, IO, 1.30%, 1/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25479449 | &nbsp;&nbsp;&nbsp;&nbsp; 717359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class IJ, IO, 1.31%, 1/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 107286049 | &nbsp;&nbsp;&nbsp;&nbsp; 5700801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class IN, IO, 0.53%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 49671010 | &nbsp;&nbsp;&nbsp;&nbsp; 2377526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class NI, IO, 0.68%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 27931716 | &nbsp;&nbsp;&nbsp;&nbsp; 1385915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class TI, IO, 0.70%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 53892384 | &nbsp;&nbsp;&nbsp;&nbsp; 2598669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class IE, IO, 0.76%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7114364 | &nbsp;&nbsp;&nbsp;&nbsp; 280939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H05, Class IQ, IO, 1.31%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 75824704 | &nbsp;&nbsp;&nbsp;&nbsp; 3381304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class PI, IO, 1.33%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31018770 | &nbsp;&nbsp;&nbsp;&nbsp; 1594715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class IP, IO, 1.40%, 2/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 38429897 | &nbsp;&nbsp;&nbsp;&nbsp; 1977281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H05, Class QI, IO, 0.30%, 3/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 108805715 | &nbsp;&nbsp;&nbsp;&nbsp; 3564062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, Class IA, IO, 0.36%, 3/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16867688 | &nbsp;&nbsp;&nbsp;&nbsp; 515664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-H06, Class EI, IO, 0.73%, 3/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 41155470 | &nbsp;&nbsp;&nbsp;&nbsp; 1121248 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, Class QI, IO, 0.20%, 4/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 41389785 | &nbsp;&nbsp;&nbsp;&nbsp; 1227981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, IO, 0.67%, 4/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 71673008 | &nbsp;&nbsp;&nbsp;&nbsp; 2990628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H14, Class IY, IO, 0.03%, 9/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 75440447 | &nbsp;&nbsp;&nbsp;&nbsp; 1796067 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL2, Class A1, 3.75%, 7/25/2061 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6099579 | &nbsp;&nbsp;&nbsp;&nbsp; 5982191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL4, Class A1, 3.90%, 9/25/2061 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7191069 | &nbsp;&nbsp;&nbsp;&nbsp; 7088004 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-2, Class A, 7.50%, 6/19/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 105157 | &nbsp;&nbsp;&nbsp;&nbsp; 103261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, 4.47%, 6/25/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 67627 | &nbsp;&nbsp;&nbsp;&nbsp; 60988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, 4.42%, 3/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 128564 | &nbsp;&nbsp;&nbsp;&nbsp; 121020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 0.10%, 9/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 409065 | &nbsp;&nbsp;&nbsp;&nbsp; 9088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.42%, 9/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 899941 | &nbsp;&nbsp;&nbsp;&nbsp; 774559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 1AS2, IF, IO, 1.87%, 4/25/2036 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 731891 | &nbsp;&nbsp;&nbsp;&nbsp; 46136 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7F, Class 1A4, 5.25%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 73654 | &nbsp;&nbsp;&nbsp;&nbsp; 74124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-13, Class 1A1, 5.59%, 10/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18752 | &nbsp;&nbsp;&nbsp;&nbsp; 18788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3F, Class 3A8, 13.50%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2829 | &nbsp;&nbsp;&nbsp;&nbsp; 3213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 78632 | &nbsp;&nbsp;&nbsp;&nbsp; 80168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 69390 | &nbsp;&nbsp;&nbsp;&nbsp; 71875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 28393 | &nbsp;&nbsp;&nbsp;&nbsp; 28661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5F, Class 8A3, 4.57%, 6/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16750 | &nbsp;&nbsp;&nbsp;&nbsp; 16228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 188975 | &nbsp;&nbsp;&nbsp;&nbsp; 189959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 1AP, PO, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 44291 | &nbsp;&nbsp;&nbsp;&nbsp; 29420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1087746 | &nbsp;&nbsp;&nbsp;&nbsp; 446618 |
| &nbsp;&nbsp;&nbsp; Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2865000 | &nbsp;&nbsp;&nbsp;&nbsp; 2874019 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust Series 2005-2, Class 2M1, 4.85%, 4/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9786 | &nbsp;&nbsp;&nbsp;&nbsp; 9572 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets CMN Owner Trust Series 2001-8, Class A6, 6.44%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 100138 | &nbsp;&nbsp;&nbsp;&nbsp; 103180 |
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 2A1A, 3.78%, 3/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 57596 | &nbsp;&nbsp;&nbsp;&nbsp; 38835 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A2, 6.30%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 31958 | &nbsp;&nbsp;&nbsp;&nbsp; 31962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 6.30%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 57814 | &nbsp;&nbsp;&nbsp;&nbsp; 57820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 4.95%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18461 | &nbsp;&nbsp;&nbsp;&nbsp; 18380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 6.45%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 73511 | &nbsp;&nbsp;&nbsp;&nbsp; 75494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S1, Class 1A7, 5.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3997 | &nbsp;&nbsp;&nbsp;&nbsp; 3862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class 1A1, 6.74%, 9/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1685 | &nbsp;&nbsp;&nbsp;&nbsp; 1651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A4, 5.44%, 2/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 35760 | &nbsp;&nbsp;&nbsp;&nbsp; 34465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A2, 6.05%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24148 | &nbsp;&nbsp;&nbsp;&nbsp; 24042 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 5.89%, 10/25/2066 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3019152 | &nbsp;&nbsp;&nbsp;&nbsp; 3019749 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 5.74%, 4/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 165392 | &nbsp;&nbsp;&nbsp;&nbsp; 102420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A8, 6.00%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6676 | &nbsp;&nbsp;&nbsp;&nbsp; 5908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 310764 | &nbsp;&nbsp;&nbsp;&nbsp; 72355 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 5780000 | &nbsp;&nbsp;&nbsp;&nbsp; 5786076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6200000 | &nbsp;&nbsp;&nbsp;&nbsp; 6237243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7590000 | &nbsp;&nbsp;&nbsp;&nbsp; 7638449 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 6.29%, 4/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22184 | &nbsp;&nbsp;&nbsp;&nbsp; 21834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A2, 4.24%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17376 | &nbsp;&nbsp;&nbsp;&nbsp; 15692 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A1, 5.92%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12353 | &nbsp;&nbsp;&nbsp;&nbsp; 11891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 3A7, 5.64%, 11/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 111729 | &nbsp;&nbsp;&nbsp;&nbsp; 107888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 6.89%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22249 | &nbsp;&nbsp;&nbsp;&nbsp; 21839 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 2A1, 6.25%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 56331 | &nbsp;&nbsp;&nbsp;&nbsp; 58120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 21781 | &nbsp;&nbsp;&nbsp;&nbsp; 20770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 27779 | &nbsp;&nbsp;&nbsp;&nbsp; 19374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 30, PO, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 51728 | &nbsp;&nbsp;&nbsp;&nbsp; 38931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 30X1, IO, 6.00%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 23457 | &nbsp;&nbsp;&nbsp;&nbsp; 3458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 51734 | &nbsp;&nbsp;&nbsp;&nbsp; 53134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 30, PO, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 59680 | &nbsp;&nbsp;&nbsp;&nbsp; 44702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 30X1, IO, 6.00%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 18177 | &nbsp;&nbsp;&nbsp;&nbsp; 2939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30X1, IO, 5.50%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 25447 | &nbsp;&nbsp;&nbsp;&nbsp; 3894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 257068 | &nbsp;&nbsp;&nbsp;&nbsp; 253569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 13133 | &nbsp;&nbsp;&nbsp;&nbsp; 9312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class AX1, IO, 5.50%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 51410 | &nbsp;&nbsp;&nbsp;&nbsp; 6831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class AX2, IO, 6.00%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 470816 | &nbsp;&nbsp;&nbsp;&nbsp; 71725 |
| &nbsp;&nbsp;&nbsp; MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 6A1, 5.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 20762 | &nbsp;&nbsp;&nbsp;&nbsp; 17926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-P7, Class A6, 5.50%, 12/27/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26666 | &nbsp;&nbsp;&nbsp;&nbsp; 22696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3952 | &nbsp;&nbsp;&nbsp;&nbsp; 3086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 599 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 4.42%, 5/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1005677 | &nbsp;&nbsp;&nbsp;&nbsp; 476856 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 32804 | &nbsp;&nbsp;&nbsp;&nbsp; 24859 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A, Class 2A2, 5.29%, 3/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9924 | &nbsp;&nbsp;&nbsp;&nbsp; 8720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 4.69%, 10/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 74971 | &nbsp;&nbsp;&nbsp;&nbsp; 71670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 4.71%, 10/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 62810 | &nbsp;&nbsp;&nbsp;&nbsp; 61762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-D, Class A2, 5.19%, 9/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 39679 | &nbsp;&nbsp;&nbsp;&nbsp; 39014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-E, Class A2A, 4.97%, 11/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15803 | &nbsp;&nbsp;&nbsp;&nbsp; 15128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class 2A6, 6.29%, 8/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 36189 | &nbsp;&nbsp;&nbsp;&nbsp; 35294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class A2, 5.12%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 63344 | &nbsp;&nbsp;&nbsp;&nbsp; 60309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 5.32%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 50721 | &nbsp;&nbsp;&nbsp;&nbsp; 47564 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust MLMI |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A4, Class 2A, 6.68%, 7/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11482 | &nbsp;&nbsp;&nbsp;&nbsp; 11094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A, 5.62%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7896 | &nbsp;&nbsp;&nbsp;&nbsp; 7773 |
| &nbsp;&nbsp;&nbsp; MFA Trust Series 2024-RPL1, Class A1, 4.25%, 2/25/2066 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9955191 | &nbsp;&nbsp;&nbsp;&nbsp; 9618339 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.63%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 101616 | &nbsp;&nbsp;&nbsp;&nbsp; 100746 |
| &nbsp;&nbsp;&nbsp; MortgageIT Trust Series 2005-5, Class A1, 4.59%, 12/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15155 | &nbsp;&nbsp;&nbsp;&nbsp; 15170 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 123386 | &nbsp;&nbsp;&nbsp;&nbsp; 110915 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 11910000 | &nbsp;&nbsp;&nbsp;&nbsp; 11976433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7700000 | &nbsp;&nbsp;&nbsp;&nbsp; 7757712 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A5, 7.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22091 | &nbsp;&nbsp;&nbsp;&nbsp; 22286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3297 | &nbsp;&nbsp;&nbsp;&nbsp; 3310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7085 | &nbsp;&nbsp;&nbsp;&nbsp; 7226 |
| &nbsp;&nbsp;&nbsp; Ocwen Loan Investment Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB1, Class A, 3.00%, 2/25/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1447588 | &nbsp;&nbsp;&nbsp;&nbsp; 1428150 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB1, Class M2, 3.00%, 2/25/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1390000 | &nbsp;&nbsp;&nbsp;&nbsp; 1346480 |
| &nbsp;&nbsp;&nbsp; Onity Loan Investment Trust Series 2025-HB1, Class M1, 3.00%, 6/25/2038 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4115000 | &nbsp;&nbsp;&nbsp;&nbsp; 3907940 |
| &nbsp;&nbsp;&nbsp; PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7718617 | &nbsp;&nbsp;&nbsp;&nbsp; 7463410 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 48435 | &nbsp;&nbsp;&nbsp;&nbsp; 48596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 2, PO, 10/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 43124 | &nbsp;&nbsp;&nbsp;&nbsp; 33700 |
| &nbsp;&nbsp;&nbsp; PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2212436 | &nbsp;&nbsp;&nbsp;&nbsp; 2190554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RCF1, Class A1, 4.00%, 1/25/2054 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3373289 | &nbsp;&nbsp;&nbsp;&nbsp; 3333988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RCF3, Class A1, 4.00%, 5/25/2054 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3338355 | &nbsp;&nbsp;&nbsp;&nbsp; 3302327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RPL1, Class A1, 4.20%, 12/25/2064 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 8184846 | &nbsp;&nbsp;&nbsp;&nbsp; 8093168 |
| &nbsp;&nbsp;&nbsp; Rain City Mortgage Trust Series 2024-RTL1, Class A1, 6.53%, 9/25/2029 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4631000 | &nbsp;&nbsp;&nbsp;&nbsp; 4684955 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-QA4, Class NB3, 7.20%, 9/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 62206 | &nbsp;&nbsp;&nbsp;&nbsp; 61340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-QA6, Class NB2, 4.41%, 12/26/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22473 | &nbsp;&nbsp;&nbsp;&nbsp; 21361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA6, Class A32, 6.84%, 5/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 444941 | &nbsp;&nbsp;&nbsp;&nbsp; 229736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA10, Class A31, 5.05%, 9/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 46734 | &nbsp;&nbsp;&nbsp;&nbsp; 30798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 82449 | &nbsp;&nbsp;&nbsp;&nbsp; 66519 |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class A1, 5.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 73050 | &nbsp;&nbsp;&nbsp;&nbsp; 72292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-IP2, Class 1A1, 6.04%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 156635 | &nbsp;&nbsp;&nbsp;&nbsp; 156522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A16, Class AX, IO, 5.75%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 458146 | &nbsp;&nbsp;&nbsp;&nbsp; 94179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A6, Class 2A13, 6.00%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 163812 | &nbsp;&nbsp;&nbsp;&nbsp; 79008 |
| &nbsp;&nbsp;&nbsp; RMF Buyout Issuance Trust Series 2020-HB1, Class M3, 4.75%, 10/25/2050 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3300000 | &nbsp;&nbsp;&nbsp;&nbsp; 2982011 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class MTU, 3.25%, 6/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 8308652 | &nbsp;&nbsp;&nbsp;&nbsp; 7177211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class TTW, 4.25%, 6/25/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 9480376 | &nbsp;&nbsp;&nbsp;&nbsp; 9356225 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Trust Series 2025-2, Class A1, 3.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 18481710 | &nbsp;&nbsp;&nbsp;&nbsp; 17413863 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 1A, 4.83%, 4/20/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 67024 | &nbsp;&nbsp;&nbsp;&nbsp; 63455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A1, 4.77%, 9/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 181917 | &nbsp;&nbsp;&nbsp;&nbsp; 161221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A2, 5.22%, 9/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 119466 | &nbsp;&nbsp;&nbsp;&nbsp; 111547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-9, Class A1, 4.75%, 10/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 316437 | &nbsp;&nbsp;&nbsp;&nbsp; 294078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class A1A, 4.69%, 11/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 131980 | &nbsp;&nbsp;&nbsp;&nbsp; 126412 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR5, Class 1A1, 4.73%, 10/19/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 134939 | &nbsp;&nbsp;&nbsp;&nbsp; 130987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR5, Class A3, 4.57%, 7/19/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 211294 | &nbsp;&nbsp;&nbsp;&nbsp; 209831 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34A, Class 3A3, 5.62%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 27468 | &nbsp;&nbsp;&nbsp;&nbsp; 27279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-37A, Class 2A, 5.50%, 12/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 199842 | &nbsp;&nbsp;&nbsp;&nbsp; 196451 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 4.71%, 9/25/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11411 | &nbsp;&nbsp;&nbsp;&nbsp; 11424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class II2A, 2.35%, 3/25/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7732 | &nbsp;&nbsp;&nbsp;&nbsp; 7567 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1063668 | &nbsp;&nbsp;&nbsp;&nbsp; 1051508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M2, 4.25%, 2/25/2059 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7550000 | &nbsp;&nbsp;&nbsp;&nbsp; 6672844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15312287 | &nbsp;&nbsp;&nbsp;&nbsp; 14034149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10250000 | &nbsp;&nbsp;&nbsp;&nbsp; 8674073 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22314 | &nbsp;&nbsp;&nbsp;&nbsp; 22279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5142 | &nbsp;&nbsp;&nbsp;&nbsp; 5161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 16823 | &nbsp;&nbsp;&nbsp;&nbsp; 17045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 24176 | &nbsp;&nbsp;&nbsp;&nbsp; 24443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class DZ, 4.25%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1051685 | &nbsp;&nbsp;&nbsp;&nbsp; 1029961 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S1, Class A5, 5.50%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 58526 | &nbsp;&nbsp;&nbsp;&nbsp; 59530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S3, Class 1A4, 5.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 27912 | &nbsp;&nbsp;&nbsp;&nbsp; 27740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR8, Class A, 5.26%, 8/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 56922 | &nbsp;&nbsp;&nbsp;&nbsp; 56037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR7, Class A7, 5.65%, 8/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 67095 | &nbsp;&nbsp;&nbsp;&nbsp; 65661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 5.67%, 9/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 225395 | &nbsp;&nbsp;&nbsp;&nbsp; 223583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 5.70%, 9/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23926 | &nbsp;&nbsp;&nbsp;&nbsp; 23393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3068 | &nbsp;&nbsp;&nbsp;&nbsp; 2443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class A8, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 184457 | &nbsp;&nbsp;&nbsp;&nbsp; 184099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR11, Class A6, 5.83%, 10/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 155016 | &nbsp;&nbsp;&nbsp;&nbsp; 146612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 5.37%, 6/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12627 | &nbsp;&nbsp;&nbsp;&nbsp; 12107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 5.37%, 6/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 85574 | &nbsp;&nbsp;&nbsp;&nbsp; 82051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 2A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 186116 | &nbsp;&nbsp;&nbsp;&nbsp; 188501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 4.15%, 9/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25737 | &nbsp;&nbsp;&nbsp;&nbsp; 23665 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 20683 | &nbsp;&nbsp;&nbsp;&nbsp; 20620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 0.98%, 4/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1327927 | &nbsp;&nbsp;&nbsp;&nbsp; 76238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 154953 | &nbsp;&nbsp;&nbsp;&nbsp; 144405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 116641 | &nbsp;&nbsp;&nbsp;&nbsp; 104927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11, Class A4, IF, IO, 0.88%, 1/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2138812 | &nbsp;&nbsp;&nbsp;&nbsp; 122871 |
| &nbsp;&nbsp;&nbsp; Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA2, Class 2A, 7.00%, 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 83896 | &nbsp;&nbsp;&nbsp;&nbsp; 87288 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-U, Class A1, 6.69%, 10/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 112895 | &nbsp;&nbsp;&nbsp;&nbsp; 111526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class A7, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 56842 | &nbsp;&nbsp;&nbsp;&nbsp; 52140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $884,250,189)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 876042174 |
| **Asset-Backed Securities — 11.9%** | **Asset-Backed Securities — 11.9%** | **Asset-Backed Securities — 11.9%** |
| &nbsp;&nbsp;&nbsp; Accelerated Assets LLC Series 2018-1, Class B, 4.51%, 12/2/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 323794 | &nbsp;&nbsp;&nbsp;&nbsp; 320700 |
| &nbsp;&nbsp;&nbsp; Accelerated LLC Series 2021-1H, Class C, 2.35%, 10/20/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2638072 | &nbsp;&nbsp;&nbsp;&nbsp; 2481665 |
| &nbsp;&nbsp;&nbsp; Ajax Mortgage Loan Trust Series 2021-G, Class A, 4.88%, 6/25/2061 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1921858 | &nbsp;&nbsp;&nbsp;&nbsp; 1920558 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 2.15%, 6/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2463000 | &nbsp;&nbsp;&nbsp;&nbsp; 2318675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3400000 | &nbsp;&nbsp;&nbsp;&nbsp; 3208329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4, Class E2, 3.01%, 12/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12965000 | &nbsp;&nbsp;&nbsp;&nbsp; 12592877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E1, 4.00%, 10/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8181000 | &nbsp;&nbsp;&nbsp;&nbsp; 8004873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2908711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9599382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR1, Class C, 4.29%, 7/17/2041 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6887000 | &nbsp;&nbsp;&nbsp;&nbsp; 6739528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class D, 4.15%, 11/17/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6550000 | &nbsp;&nbsp;&nbsp;&nbsp; 6316948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class C, 3.66%, 6/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6095000 | &nbsp;&nbsp;&nbsp;&nbsp; 5781535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class D, 3.66%, 6/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5250000 | &nbsp;&nbsp;&nbsp;&nbsp; 4946812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR2, Class D, 4.28%, 11/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5903000 | &nbsp;&nbsp;&nbsp;&nbsp; 5691918 |
| &nbsp;&nbsp;&nbsp; Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3419388 | &nbsp;&nbsp;&nbsp;&nbsp; 3447475 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Bridge Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR1, Class B, 4.30%, 8/17/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11538000 | &nbsp;&nbsp;&nbsp;&nbsp; 11295528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class B, 4.20%, 9/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12150000 | &nbsp;&nbsp;&nbsp;&nbsp; 11701451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class D, 4.20%, 9/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6890000 | &nbsp;&nbsp;&nbsp;&nbsp; 6486828 |
| &nbsp;&nbsp;&nbsp; BXG Receivables Note Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class C, 5.35%, 9/28/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2674330 | &nbsp;&nbsp;&nbsp;&nbsp; 2642075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 6.31%, 11/15/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1588299 | &nbsp;&nbsp;&nbsp;&nbsp; 1623685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class C, 7.38%, 11/15/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1637000 | &nbsp;&nbsp;&nbsp;&nbsp; 1679420 |
| &nbsp;&nbsp;&nbsp; Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1116852 | &nbsp;&nbsp;&nbsp;&nbsp; 1075215 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-MH1, Class A, 4.00%, 11/25/2044 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 794342 | &nbsp;&nbsp;&nbsp;&nbsp; 765864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5235302 | &nbsp;&nbsp;&nbsp;&nbsp; 4772962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MH1, Class M1, 2.99%, 2/25/2046 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1596750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-MH1, Class A, 4.25%, 8/25/2054 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6439822 | &nbsp;&nbsp;&nbsp;&nbsp; 6294733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MH1, Class A1, 5.69%, 11/25/2056 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8183842 | &nbsp;&nbsp;&nbsp;&nbsp; 8464034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MH1, Class M1, 6.26%, 11/25/2056 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2850000 | &nbsp;&nbsp;&nbsp;&nbsp; 2994583 |
| &nbsp;&nbsp;&nbsp; CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB13, Class M2, 3.00%, 5/25/2034 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1830000 | &nbsp;&nbsp;&nbsp;&nbsp; 1764406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-HB11, Class M2, 4.00%, 2/25/2037 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4750000 | &nbsp;&nbsp;&nbsp;&nbsp; 4684996 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-3, Class 1A5, 5.91%, 6/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 202501 | &nbsp;&nbsp;&nbsp;&nbsp; 200612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 1A5, 4.87%, 5/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 171616 | &nbsp;&nbsp;&nbsp;&nbsp; 169504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A7, 4.85%, 11/25/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 110041 | &nbsp;&nbsp;&nbsp;&nbsp; 109569 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2, Class M, 5.52%, 12/25/2027 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6200000 | &nbsp;&nbsp;&nbsp;&nbsp; 6134341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.42%, 6/15/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2937873 | &nbsp;&nbsp;&nbsp;&nbsp; 2866101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class XB, IO, 1.51%, 10/15/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 27000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1160365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class XA, IO, 2.15%, 10/15/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1585868 | &nbsp;&nbsp;&nbsp;&nbsp; 955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class A, 2.71%, 10/15/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 206911 | &nbsp;&nbsp;&nbsp;&nbsp; 206432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.57%, 4/15/2053 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2036167 | &nbsp;&nbsp;&nbsp;&nbsp; 2008728 |
| &nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust Series 2025-CES1, Class A1A, 5.22%, 10/25/2055 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 11426927 | &nbsp;&nbsp;&nbsp;&nbsp; 11453140 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4547755 | &nbsp;&nbsp;&nbsp;&nbsp; 4586411 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Phase LLC Series 2024-1A, Class A1, 7.08%, 5/30/2044 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4312954 | &nbsp;&nbsp;&nbsp;&nbsp; 4362333 |
| &nbsp;&nbsp;&nbsp; E3 (Cayman Islands) Series 2019-1, Class B, 4.15%, 9/20/2055 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 929464 | &nbsp;&nbsp;&nbsp;&nbsp; 782876 |
| &nbsp;&nbsp;&nbsp; Energy Assets, 8.11%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2372922 | &nbsp;&nbsp;&nbsp;&nbsp; 2437219 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11450000 | &nbsp;&nbsp;&nbsp;&nbsp; 11224082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6100000 | &nbsp;&nbsp;&nbsp;&nbsp; 5978256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class C, 1.71%, 9/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3901901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, 5/19/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11712000 | &nbsp;&nbsp;&nbsp;&nbsp; 11608239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E2, 5.00%, 5/19/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5235000 | &nbsp;&nbsp;&nbsp;&nbsp; 5167932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | &nbsp;&nbsp;&nbsp;&nbsp; 4419573 |
| &nbsp;&nbsp;&nbsp; FMC GMSR Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13050000 | &nbsp;&nbsp;&nbsp;&nbsp; 12968665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15250000 | &nbsp;&nbsp;&nbsp;&nbsp; 14709697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7300000 | &nbsp;&nbsp;&nbsp;&nbsp; 7038310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 19222400 | &nbsp;&nbsp;&nbsp;&nbsp; 18613184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class B, 4.44%, 10/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3600000 | &nbsp;&nbsp;&nbsp;&nbsp; 3465937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13600000 | &nbsp;&nbsp;&nbsp;&nbsp; 13814982 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class A, 6.19%, 4/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14900000 | &nbsp;&nbsp;&nbsp;&nbsp; 14946162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class B, 7.17%, 4/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1004931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT2, Class A, 7.90%, 7/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8055506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT2, Class B, 10.07%, 7/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3357000 | &nbsp;&nbsp;&nbsp;&nbsp; 3428658 |
| &nbsp;&nbsp;&nbsp; FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3800000 | &nbsp;&nbsp;&nbsp;&nbsp; 3708932 |
| &nbsp;&nbsp;&nbsp; FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 7518824 | &nbsp;&nbsp;&nbsp;&nbsp; 7700690 |
| &nbsp;&nbsp;&nbsp; Goodgreen |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.76%, 4/15/2055 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1206120 | &nbsp;&nbsp;&nbsp;&nbsp; 1045100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5393324 | &nbsp;&nbsp;&nbsp;&nbsp; 5342934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 5.90%, 1/17/2061 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4962888 | &nbsp;&nbsp;&nbsp;&nbsp; 4171242 |
| &nbsp;&nbsp;&nbsp; Goodgreen Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.29%, 7/15/2056 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10389832 | &nbsp;&nbsp;&nbsp;&nbsp; 10478146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 8.12%, 7/15/2056 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2669185 | &nbsp;&nbsp;&nbsp;&nbsp; 2707354 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 162990 | &nbsp;&nbsp;&nbsp;&nbsp; 151110 |
| &nbsp;&nbsp;&nbsp; Grene 2023-Senior Series 2023-Senior, 5.50%, 1/17/2061 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 4434093 | &nbsp;&nbsp;&nbsp;&nbsp; 4540068 |
| &nbsp;&nbsp;&nbsp; Grene Energy Senio, 11.00%, 1/25/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 221976 | &nbsp;&nbsp;&nbsp;&nbsp; 183485 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12680607 | &nbsp;&nbsp;&nbsp;&nbsp; 12786664 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A1, 3.19%, 9/20/2048 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2714233 | &nbsp;&nbsp;&nbsp;&nbsp; 2500417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 446401 | &nbsp;&nbsp;&nbsp;&nbsp; 421219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A3, 3.39%, 9/20/2049 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 7689907 | &nbsp;&nbsp;&nbsp;&nbsp; 6690219 |
| &nbsp;&nbsp;&nbsp; HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 337116 | &nbsp;&nbsp;&nbsp;&nbsp; 304228 |
| &nbsp;&nbsp;&nbsp; HERO Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class A, 3.84%, 9/21/2040 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9446 | &nbsp;&nbsp;&nbsp;&nbsp; 9086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2A, Class A, 3.75%, 9/20/2041 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1705848 | &nbsp;&nbsp;&nbsp;&nbsp; 1637423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 256387 | &nbsp;&nbsp;&nbsp;&nbsp; 240182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A1, 3.57%, 9/20/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 849856 | &nbsp;&nbsp;&nbsp;&nbsp; 803841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A2, 4.29%, 9/20/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 849856 | &nbsp;&nbsp;&nbsp;&nbsp; 823363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 421603 | &nbsp;&nbsp;&nbsp;&nbsp; 404478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A1, 3.28%, 9/20/2048 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 609446 | &nbsp;&nbsp;&nbsp;&nbsp; 562932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.59%, 9/20/2057 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3998679 | &nbsp;&nbsp;&nbsp;&nbsp; 3489402 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1D, Class C, 4.69%, 6/20/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 586438 | &nbsp;&nbsp;&nbsp;&nbsp; 585205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 5.57%, 1/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1697808 | &nbsp;&nbsp;&nbsp;&nbsp; 1714462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class B, 4.22%, 2/25/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 720853 | &nbsp;&nbsp;&nbsp;&nbsp; 718586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1B, Class B, 5.99%, 9/15/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 581235 | &nbsp;&nbsp;&nbsp;&nbsp; 591223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1B, Class C, 6.62%, 9/15/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1099061 | &nbsp;&nbsp;&nbsp;&nbsp; 1124582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.71%, 8/27/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6772184 | &nbsp;&nbsp;&nbsp;&nbsp; 6874715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class C, 5.12%, 5/25/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4259598 | &nbsp;&nbsp;&nbsp;&nbsp; 4302750 |
| &nbsp;&nbsp;&nbsp; HINNT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.84%, 3/15/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3748365 | &nbsp;&nbsp;&nbsp;&nbsp; 3816535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 6.32%, 3/15/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7168068 | &nbsp;&nbsp;&nbsp;&nbsp; 7288520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class C, 5.89%, 3/15/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4233874 | &nbsp;&nbsp;&nbsp;&nbsp; 4287158 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class D, 2.65%, 12/17/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11513948 | &nbsp;&nbsp;&nbsp;&nbsp; 11205399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class E1, 2.85%, 12/17/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10554452 | &nbsp;&nbsp;&nbsp;&nbsp; 10271438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 2.91%, 9/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3248601 | &nbsp;&nbsp;&nbsp;&nbsp; 3169957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class E, 3.60%, 9/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3315487 | &nbsp;&nbsp;&nbsp;&nbsp; 3221427 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Invitation Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR1, Class B, 4.00%, 9/17/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6434000 | &nbsp;&nbsp;&nbsp;&nbsp; 6279167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8810000 | &nbsp;&nbsp;&nbsp;&nbsp; 8555221 |
| &nbsp;&nbsp;&nbsp; Jonah Energy ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 6.50%, 8/10/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7180142 | &nbsp;&nbsp;&nbsp;&nbsp; 7217479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 7.63%, 8/10/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9547193 | &nbsp;&nbsp;&nbsp;&nbsp; 9656985 |
| &nbsp;&nbsp;&nbsp; KGS-Alpha SBA COOF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-3, Class A, IO, 0.99%, 9/25/2026 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1919 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4, Class A, IO, 0.83%, 9/25/2037 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1186448 | &nbsp;&nbsp;&nbsp;&nbsp; 17193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-6, Class A, IO, 0.56%, 5/25/2039 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1401967 | &nbsp;&nbsp;&nbsp;&nbsp; 15258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 3.16%, 7/25/2041 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 373353 | &nbsp;&nbsp;&nbsp;&nbsp; 36580 |
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust Series 2004-1, Class M1, 4.82%, 2/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 161234 | &nbsp;&nbsp;&nbsp;&nbsp; 162223 |
| &nbsp;&nbsp;&nbsp; Madison Avenue Manufactured Housing Contract Trust Series 2002-A, 0.30%, 3/25/2032 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15924766 | &nbsp;&nbsp;&nbsp;&nbsp; 86336 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 538065 | &nbsp;&nbsp;&nbsp;&nbsp; 541297 |
| &nbsp;&nbsp;&nbsp; Mpire Frn, 8.29%, 9/13/2030 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4500000 | &nbsp;&nbsp;&nbsp;&nbsp; 4512730 |
| &nbsp;&nbsp;&nbsp; MVW LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class B, 2.73%, 10/20/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 394464 | &nbsp;&nbsp;&nbsp;&nbsp; 388775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 4.21%, 10/20/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 262976 | &nbsp;&nbsp;&nbsp;&nbsp; 260955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 6.54%, 10/20/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2915198 | &nbsp;&nbsp;&nbsp;&nbsp; 2995658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class C, 7.06%, 11/20/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2050553 | &nbsp;&nbsp;&nbsp;&nbsp; 2109966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1WA, Class B, 1.44%, 1/22/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 757670 | &nbsp;&nbsp;&nbsp;&nbsp; 728639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1WA, Class C, 1.94%, 1/22/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1242504 | &nbsp;&nbsp;&nbsp;&nbsp; 1193951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 7.62%, 10/21/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1645905 | &nbsp;&nbsp;&nbsp;&nbsp; 1693485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 4.92%, 3/20/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3505335 | &nbsp;&nbsp;&nbsp;&nbsp; 3463561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class C, 5.75%, 9/22/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8271375 | &nbsp;&nbsp;&nbsp;&nbsp; 8366704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.20%, 2/20/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1053859 | &nbsp;&nbsp;&nbsp;&nbsp; 1076126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class B, 4.72%, 10/20/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6737745 | &nbsp;&nbsp;&nbsp;&nbsp; 6762865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class C, 4.97%, 10/20/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6083000 | &nbsp;&nbsp;&nbsp;&nbsp; 6109045 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.85%, 11/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 109449 | &nbsp;&nbsp;&nbsp;&nbsp; 108856 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6152000 | &nbsp;&nbsp;&nbsp;&nbsp; 5993457 |
| &nbsp;&nbsp;&nbsp; NMABS Issuer LLC Series 2025-1A, Class A, 5.14%, 11/20/2055 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10975000 | &nbsp;&nbsp;&nbsp;&nbsp; 11021574 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3392499 | &nbsp;&nbsp;&nbsp;&nbsp; 3343596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3579174 | &nbsp;&nbsp;&nbsp;&nbsp; 3511551 |
| &nbsp;&nbsp;&nbsp; Ocwen Loan Investment Trust Series 2023-HB1, Class M1, 3.00%, 6/25/2036 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1550000 | &nbsp;&nbsp;&nbsp;&nbsp; 1532878 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4875574 |
| &nbsp;&nbsp;&nbsp; PRET LLC Series 2021-RN4, Class A1, 6.49%, 10/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5759563 | &nbsp;&nbsp;&nbsp;&nbsp; 5764928 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11300000 | &nbsp;&nbsp;&nbsp;&nbsp; 11149883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6775000 | &nbsp;&nbsp;&nbsp;&nbsp; 6666020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E2, 2.53%, 10/17/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5883560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4555000 | &nbsp;&nbsp;&nbsp;&nbsp; 4494521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11870000 | &nbsp;&nbsp;&nbsp;&nbsp; 11857589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR7, Class C, 2.04%, 8/17/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6246000 | &nbsp;&nbsp;&nbsp;&nbsp; 5823228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class E1, 3.57%, 12/17/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6459469 | &nbsp;&nbsp;&nbsp;&nbsp; 6224805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 3.93%, 2/17/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9661831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class D, 3.40%, 4/17/2041 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2576000 | &nbsp;&nbsp;&nbsp;&nbsp; 2443191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E1, 3.40%, 4/17/2041 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7625000 | &nbsp;&nbsp;&nbsp;&nbsp; 7164502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR3, Class E1, 4.00%, 6/17/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4796490 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class E1, 3.75%, 2/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 6109063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR2, Class D, 3.56%, 4/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7678526 | &nbsp;&nbsp;&nbsp;&nbsp; 7197254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR6, Class D, 4.00%, 9/17/2042 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7730000 | &nbsp;&nbsp;&nbsp;&nbsp; 7302471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR5, Class D, 4.00%, 10/17/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2440000 | &nbsp;&nbsp;&nbsp;&nbsp; 2323734 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 478553 | &nbsp;&nbsp;&nbsp;&nbsp; 114650 |
| &nbsp;&nbsp;&nbsp; Renew (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 219245 | &nbsp;&nbsp;&nbsp;&nbsp; 206078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11019 | &nbsp;&nbsp;&nbsp;&nbsp; 10974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13068210 | &nbsp;&nbsp;&nbsp;&nbsp; 13061300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9998711 | &nbsp;&nbsp;&nbsp;&nbsp; 10151270 |
| &nbsp;&nbsp;&nbsp; Repo Buyer RRI Trust, 0.00%, 4/14/2055 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1817446 | &nbsp;&nbsp;&nbsp;&nbsp; 1585721 |
| &nbsp;&nbsp;&nbsp; RFT TRUST Series 2024-2, Class A1, 7.11%, 9/27/2028 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 14647341 | &nbsp;&nbsp;&nbsp;&nbsp; 14661198 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.80%, 1/25/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 48237 | &nbsp;&nbsp;&nbsp;&nbsp; 41883 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.34%, 11/20/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 991192 | &nbsp;&nbsp;&nbsp;&nbsp; 988941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 1.79%, 11/20/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 629563 | &nbsp;&nbsp;&nbsp;&nbsp; 628149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 7.63%, 7/20/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1508050 | &nbsp;&nbsp;&nbsp;&nbsp; 1550183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class C, 7.30%, 4/20/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2421898 | &nbsp;&nbsp;&nbsp;&nbsp; 2514437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 6.36%, 6/20/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1230446 | &nbsp;&nbsp;&nbsp;&nbsp; 1242532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.83%, 6/20/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2171775 | &nbsp;&nbsp;&nbsp;&nbsp; 2209452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.32%, 8/20/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3717892 | &nbsp;&nbsp;&nbsp;&nbsp; 3744770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 5.94%, 1/20/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1950747 | &nbsp;&nbsp;&nbsp;&nbsp; 1984776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class C, 5.32%, 4/20/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3128284 | &nbsp;&nbsp;&nbsp;&nbsp; 3143529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 4.98%, 8/22/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3048996 | &nbsp;&nbsp;&nbsp;&nbsp; 3055347 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A2, 3.45%, 2/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4204 | &nbsp;&nbsp;&nbsp;&nbsp; 3559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A3, 3.45%, 2/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 75619 | &nbsp;&nbsp;&nbsp;&nbsp; 14109 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5669000 | &nbsp;&nbsp;&nbsp;&nbsp; 5633987 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 9995881 | &nbsp;&nbsp;&nbsp;&nbsp; 9510881 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 4516533 | &nbsp;&nbsp;&nbsp;&nbsp; 4515597 |
| &nbsp;&nbsp;&nbsp; VOLT CV LLC Series 2021-CF2, Class A1, 6.49%, 11/27/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 925509 | &nbsp;&nbsp;&nbsp;&nbsp; 926087 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 379693 | &nbsp;&nbsp;&nbsp;&nbsp; 379673 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 2.29%, 8/20/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1035355 | &nbsp;&nbsp;&nbsp;&nbsp; 1026206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.56%, 1/20/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4302692 | &nbsp;&nbsp;&nbsp;&nbsp; 4371998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 7.06%, 1/20/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3537911 | &nbsp;&nbsp;&nbsp;&nbsp; 3596588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $735,003,994)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 749176219 |
| **Commercial Mortgage-Backed Securities — 10.2%** | **Commercial Mortgage-Backed Securities — 10.2%** | **Commercial Mortgage-Backed Securities — 10.2%** |
| &nbsp;&nbsp;&nbsp; Acrc Series TL-2021A, 3.75%, 11/15/2026 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5883600 |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp;&nbsp; 1725833 |
| &nbsp;&nbsp;&nbsp; BAMLL Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR3, Class B, 1.45%, 1/27/2050 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13000000 | &nbsp;&nbsp;&nbsp;&nbsp; 12408691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR2, Class A, 2.45%, 7/27/2050 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 14141173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class AK73, 2.05%, 2/27/2051 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17316000 | &nbsp;&nbsp;&nbsp;&nbsp; 16166780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR5, Class BK86, PO, 11/27/2051 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15438000 | &nbsp;&nbsp;&nbsp;&nbsp; 13149270 |
| &nbsp;&nbsp;&nbsp; Banc of America Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR1, Class B, 0.00%, 4/27/2049 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14257000 | &nbsp;&nbsp;&nbsp;&nbsp; 10539568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FRR1, Class A, 2.08%, 4/27/2049 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9647000 | &nbsp;&nbsp;&nbsp;&nbsp; 7840041 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; BOFAS Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR6, Class B, 1.56%, 11/27/2051 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8857669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR6, Class C, 1.56%, 11/27/2051 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6838000 | &nbsp;&nbsp;&nbsp;&nbsp; 5881882 |
| &nbsp;&nbsp;&nbsp; BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DELC, Class A, 5.51%, 12/15/2030 (a) (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5100000 | &nbsp;&nbsp;&nbsp;&nbsp; 5106374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DELC, Class D, 6.56%, 12/15/2030 (a) (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3020000 | &nbsp;&nbsp;&nbsp;&nbsp; 3020000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DELC, Class B, 5.76%, 12/15/2042 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2565000 | &nbsp;&nbsp;&nbsp;&nbsp; 2565000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DELC, Class C, 6.16%, 12/15/2042 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 3560000 | &nbsp;&nbsp;&nbsp;&nbsp; 3560000 |
| &nbsp;&nbsp;&nbsp; BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4900367 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust Series 2013-CR9, Class XB, IO, 1.12%, 7/10/2045 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 26962059 | &nbsp;&nbsp;&nbsp;&nbsp; 265900 |
| &nbsp;&nbsp;&nbsp; CSMC OA LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class A2, 3.95%, 9/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 13600000 | &nbsp;&nbsp;&nbsp;&nbsp; 12577721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class B, 4.18%, 9/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8320000 | &nbsp;&nbsp;&nbsp;&nbsp; 7177190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class C, 4.34%, 9/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5056371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class D, 4.37%, 9/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1700000 | &nbsp;&nbsp;&nbsp;&nbsp; 1409790 |
| &nbsp;&nbsp;&nbsp; CSTL Commercial Mortgage Trust Series 2025-GATE2, Class D, 5.63%, 11/10/2042 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5080000 | &nbsp;&nbsp;&nbsp;&nbsp; 5081367 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust Series 2015-LCM, Class A1, 3.00%, 6/10/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 125716 | &nbsp;&nbsp;&nbsp;&nbsp; 124069 |
| &nbsp;&nbsp;&nbsp; DLIC Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR1, Class B104, 1.88%, 12/27/2052 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12130000 | &nbsp;&nbsp;&nbsp;&nbsp; 10539117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR1, Class A104, 2.57%, 12/27/2052 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4100000 | &nbsp;&nbsp;&nbsp;&nbsp; 3730182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR1, Class A111, 2.25%, 4/27/2053 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10810000 | &nbsp;&nbsp;&nbsp;&nbsp; 9503493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR1, Class A120, 2.61%, 9/27/2053 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6680000 | &nbsp;&nbsp;&nbsp;&nbsp; 5838669 |
| &nbsp;&nbsp;&nbsp; FHLMC MSCR Trust Series 2021-MN1, Class M1, 6.07%, 1/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1935773 | &nbsp;&nbsp;&nbsp;&nbsp; 1931201 |
| &nbsp;&nbsp;&nbsp; FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.55%, 2/25/2040 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 54592277 | &nbsp;&nbsp;&nbsp;&nbsp; 5842869 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Class Certificates Series 2021-P008, Class A1, 1.73%, 1/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14793115 | &nbsp;&nbsp;&nbsp;&nbsp; 12799593 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class XPT2, IO, 1.81%, 5/25/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 42565513 | &nbsp;&nbsp;&nbsp;&nbsp; 906624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K740, Class XAM, IO, 1.11%, 10/25/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 33000000 | &nbsp;&nbsp;&nbsp;&nbsp; 605804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KL06, Class XFX, IO, 1.46%, 12/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 62740718 | &nbsp;&nbsp;&nbsp;&nbsp; 2882679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K128, Class XAM, IO, 0.73%, 3/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 26300000 | &nbsp;&nbsp;&nbsp;&nbsp; 925410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1518, Class X1, IO, 0.86%, 10/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 105627392 | &nbsp;&nbsp;&nbsp;&nbsp; 6280848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1520, Class X1, IO, 0.58%, 2/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 97246887 | &nbsp;&nbsp;&nbsp;&nbsp; 3296806 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.56%, 12/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1120702 | &nbsp;&nbsp;&nbsp;&nbsp; 1104418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M7, Class A2, 3.13%, 3/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3855487 | &nbsp;&nbsp;&nbsp;&nbsp; 3795864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M39, Class 1A1, 0.75%, 9/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2270818 | &nbsp;&nbsp;&nbsp;&nbsp; 2185001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class 2A1, 1.59%, 11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 606001 | &nbsp;&nbsp;&nbsp;&nbsp; 573869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class X2, IO, 2.10%, 11/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4903311 | &nbsp;&nbsp;&nbsp;&nbsp; 191385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M11, IO, 1.89%, 1/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 69007881 | &nbsp;&nbsp;&nbsp;&nbsp; 2984046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M3, Class A2, 3.18%, 2/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 719569 | &nbsp;&nbsp;&nbsp;&nbsp; 696694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M39, Class X1, IO, 2.05%, 7/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 42454335 | &nbsp;&nbsp;&nbsp;&nbsp; 2176294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 105034 | &nbsp;&nbsp;&nbsp;&nbsp; 100903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 1.93%, 10/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1655659 | &nbsp;&nbsp;&nbsp;&nbsp; 58599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M49, Class 1A1, 1.30%, 11/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1978289 | &nbsp;&nbsp;&nbsp;&nbsp; 1858488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M4, Class 2A2, 1.25%, 12/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 42100000 | &nbsp;&nbsp;&nbsp;&nbsp; 36779806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M4, Class A1, 0.96%, 2/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5427729 | &nbsp;&nbsp;&nbsp;&nbsp; 5269042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23600000 | &nbsp;&nbsp;&nbsp;&nbsp; 20725536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M2S, Class A2, 1.87%, 10/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1041007 | &nbsp;&nbsp;&nbsp;&nbsp; 927684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M3, Class A2, 1.76%, 11/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18900000 | &nbsp;&nbsp;&nbsp;&nbsp; 16470386 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M8, Class A1, 2.00%, 12/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 566160 | &nbsp;&nbsp;&nbsp;&nbsp; 533429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M8, Class A2, 2.00%, 12/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3370000 | &nbsp;&nbsp;&nbsp;&nbsp; 2965749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M10, Class A2, 1.99%, 1/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 26000000 | &nbsp;&nbsp;&nbsp;&nbsp; 23108384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22730000 | &nbsp;&nbsp;&nbsp;&nbsp; 20162847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A1, 3.88%, 5/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17515 | &nbsp;&nbsp;&nbsp;&nbsp; 17462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.68%, 6/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15000000 | &nbsp;&nbsp;&nbsp;&nbsp; 13723824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M4, Class A1, 3.89%, 9/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7224460 | &nbsp;&nbsp;&nbsp;&nbsp; 7209478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A1, 4.63%, 11/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2984813 | &nbsp;&nbsp;&nbsp;&nbsp; 3033689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M6, Class A1, 1.54%, 3/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3158732 | &nbsp;&nbsp;&nbsp;&nbsp; 3045896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A2, 4.63%, 3/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6345000 | &nbsp;&nbsp;&nbsp;&nbsp; 6446241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-M2, Class A1, 4.77%, 4/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14239551 | &nbsp;&nbsp;&nbsp;&nbsp; 14581559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M12, Class 2A2, 2.20%, 5/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4301179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-M2, Class A2, 3.75%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4787089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 2.00%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9822016 | &nbsp;&nbsp;&nbsp;&nbsp; 609915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M10, Class X, IO, 0.57%, 5/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 47546832 | &nbsp;&nbsp;&nbsp;&nbsp; 1276119 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KBX1, Class B, 3.62%, 1/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2400000 | &nbsp;&nbsp;&nbsp;&nbsp; 2389134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K736, Class B, 3.86%, 7/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 6451737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K66, Class B, 4.17%, 7/25/2027 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000000 | &nbsp;&nbsp;&nbsp;&nbsp; 994128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-KS11, Class B, 4.98%, 6/25/2029 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7745908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-KS12, Class B, 7.12%, 8/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9871013 | &nbsp;&nbsp;&nbsp;&nbsp; 9872452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-KHG2, Class C, 3.17%, 2/25/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp;&nbsp; 8626985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-KLU3, Class BFX, 4.40%, 1/25/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4848972 | &nbsp;&nbsp;&nbsp;&nbsp; 4531076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 19K-1511, Class B, 4.72%, 3/25/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3500000 | &nbsp;&nbsp;&nbsp;&nbsp; 3172345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K54, Class C, 4.26%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3691000 | &nbsp;&nbsp;&nbsp;&nbsp; 3674651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K56, Class B, 4.09%, 6/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1600000 | &nbsp;&nbsp;&nbsp;&nbsp; 1589516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K69, Class C, 3.85%, 10/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2765000 | &nbsp;&nbsp;&nbsp;&nbsp; 2704043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K59, Class B, 3.69%, 11/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1902000 | &nbsp;&nbsp;&nbsp;&nbsp; 1883894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K65, Class C, 4.22%, 7/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3662000 | &nbsp;&nbsp;&nbsp;&nbsp; 3624668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K71, Class B, 3.88%, 11/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1240000 | &nbsp;&nbsp;&nbsp;&nbsp; 1220495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K73, Class B, 3.98%, 2/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1150000 | &nbsp;&nbsp;&nbsp;&nbsp; 1134904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K75, Class B, 4.11%, 4/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2967932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K78, Class B, 4.27%, 6/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3449000 | &nbsp;&nbsp;&nbsp;&nbsp; 3412654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K79, Class C, 4.35%, 7/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4030000 | &nbsp;&nbsp;&nbsp;&nbsp; 3958139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K81, Class B, 4.32%, 9/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000000 | &nbsp;&nbsp;&nbsp;&nbsp; 1987767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K88, Class B, 4.53%, 2/25/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | &nbsp;&nbsp;&nbsp;&nbsp; 3987078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K94, Class C, 4.10%, 7/25/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6750000 | &nbsp;&nbsp;&nbsp;&nbsp; 6602816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K98, Class C, 3.86%, 10/25/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5807441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K100, Class C, 3.61%, 11/25/2052 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7140000 | &nbsp;&nbsp;&nbsp;&nbsp; 6812398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.44%, 1/25/2053 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4832000 | &nbsp;&nbsp;&nbsp;&nbsp; 4772277 |
| &nbsp;&nbsp;&nbsp; GAM Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FRR3, Class BK71, 1.95%, 11/27/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000000 | &nbsp;&nbsp;&nbsp;&nbsp; 7418501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class 2A, PO, 11/29/2050 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3300000 | &nbsp;&nbsp;&nbsp;&nbsp; 2962607 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-147, Class AK, 3.01%, 4/16/2054 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3815964 | &nbsp;&nbsp;&nbsp;&nbsp; 3576919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-76, Class B, 2.60%, 12/16/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 4850524 | &nbsp;&nbsp;&nbsp;&nbsp; 3631426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-121, Class B, 1.50%, 8/16/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 10982817 | &nbsp;&nbsp;&nbsp;&nbsp; 8315950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-211, Class AC, 1.30%, 1/16/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 3673062 | &nbsp;&nbsp;&nbsp;&nbsp; 2746325 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4180000 | &nbsp;&nbsp;&nbsp;&nbsp; 4001761 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2686000 | &nbsp;&nbsp;&nbsp;&nbsp; 2564213 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust Series 2021-MHC, Class E, 6.17%, 4/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1920000 | &nbsp;&nbsp;&nbsp;&nbsp; 1919999 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class A, 2.72%, 12/15/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4387050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class E, 2.72%, 12/15/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4783870 |
| &nbsp;&nbsp;&nbsp; Multi-Family Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-01, Class M7, 8.07%, 11/25/2053 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7812642 | &nbsp;&nbsp;&nbsp;&nbsp; 8122983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-01, Class M7, 6.82%, 7/25/2054 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1163287 | &nbsp;&nbsp;&nbsp;&nbsp; 1177642 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A, 7.25%, 10/11/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2465255 | &nbsp;&nbsp;&nbsp;&nbsp; 2436658 |
| &nbsp;&nbsp;&nbsp; PRM7 Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-PRM7, Class C, 5.11%, 11/10/2042 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2945000 | &nbsp;&nbsp;&nbsp;&nbsp; 2920807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-PRM7, Class D, 5.85%, 11/10/2042 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6770000 | &nbsp;&nbsp;&nbsp;&nbsp; 6778519 |
| &nbsp;&nbsp;&nbsp; RFM Re-REMIC Trust Series 2024-FRR2, Class A100, PO, 11/27/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 11000000 | &nbsp;&nbsp;&nbsp;&nbsp; 9085646 |
| &nbsp;&nbsp;&nbsp; ROCK Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class B, 5.93%, 11/13/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5185231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class C, 6.47%, 11/13/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 15580000 | &nbsp;&nbsp;&nbsp;&nbsp; 16232693 |
| &nbsp;&nbsp;&nbsp; RWC Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 5.01%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 12010000 | &nbsp;&nbsp;&nbsp;&nbsp; 12043812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class AS, 5.26%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5395000 | &nbsp;&nbsp;&nbsp;&nbsp; 5421229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 5.76%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1650000 | &nbsp;&nbsp;&nbsp;&nbsp; 1658237 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-OVA, Class A, 2.59%, 7/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6500000 | &nbsp;&nbsp;&nbsp;&nbsp; 5855079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-OVA, Class E, 2.85%, 7/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7000000 | &nbsp;&nbsp;&nbsp;&nbsp; 6041881 |
| &nbsp;&nbsp;&nbsp; Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Class XC, IO, 0.00%, 3/15/2045 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 14117 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust Series 2021-SAVE, Class A, 5.32%, 2/15/2040 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1167936 | &nbsp;&nbsp;&nbsp;&nbsp; 1168974 |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.20%, 3/15/2045 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 750000 | &nbsp;&nbsp;&nbsp;&nbsp; 657800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $641,171,400)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 645243076 |
| **U.S. Treasury Obligations — 2.7%** | **U.S. Treasury Obligations — 2.7%** | **U.S. Treasury Obligations — 2.7%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 63000000 | &nbsp;&nbsp;&nbsp;&nbsp; 40760508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3000000 | &nbsp;&nbsp;&nbsp;&nbsp; 2752969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 97339000 | &nbsp;&nbsp;&nbsp;&nbsp; 85787598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8956000 | &nbsp;&nbsp;&nbsp;&nbsp; 8730351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 25000000 | &nbsp;&nbsp;&nbsp;&nbsp; 15665039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 17000000 | &nbsp;&nbsp;&nbsp;&nbsp; 14182383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes <br>2.88%, 5/15/2032<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5000000 | &nbsp;&nbsp;&nbsp;&nbsp; 4750781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds <br>4.76%, 11/15/2030 (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 150000 | &nbsp;&nbsp;&nbsp;&nbsp; 124874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $184,519,201)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 172754503 |
| **Corporate Bonds — 0.4%** | **Corporate Bonds — 0.4%** | **Corporate Bonds — 0.4%** |
| **Financial Services — 0.2%** | **Financial Services — 0.2%** | **Financial Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 14738237 | &nbsp;&nbsp;&nbsp;&nbsp; 14738237 |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT($)**<br>| **VALUE($)** |
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care Providers & Services — 0.2%** | **Health Care Providers & Services — 0.2%** | **Health Care Providers & Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; Triad Holdings III LLC 0.00%, 4/1/2052 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 10874494 | &nbsp;&nbsp;&nbsp;&nbsp; 10874494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $25,612,731)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 25612731 |
|  | **SHARES** |  |
| **Short-Term Investments — 3.9%** | **Short-Term Investments — 3.9%** | **Short-Term Investments — 3.9%** |
| **Investment Companies — 3.9%** | **Investment Companies — 3.9%** | **Investment Companies — 3.9%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class IM Shares, 4.06% (f) (g) <br>(Cost $243,992,440)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 243911561 | &nbsp;&nbsp;&nbsp;&nbsp; 244009125 |
| **Total Investments — 100.7%** <br>**(Cost $6,464,693,728)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **6359275254** |
| **Liabilities in Excess of Other Assets — (0.7)%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **(43990192)**<br>|
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **6315285062** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<br>Percentages indicated are based on net assets.<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2025. |
| CSMC | Credit Suisse Mortgage Trust |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| FRN | Floating Rate Note |
| GNMA | Government National Mortgage Association |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of November 30, 2025. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REMIC | Real Estate Mortgage Investment Conduit |
| Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal <br> components of eligible notes and bonds as separate securities.<br>|
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;‡ Value determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Variable or floating rate security, the interest rate of which adjusts periodically
 based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November
 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) All or a portion of the security is a when-issued security, delayed delivery security,
 or forward commitment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
 Act of 1933, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Step bond. Interest rate is a fixed rate for an initial period that either resets
 at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) The rate shown is the effective yield as of November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Investment in an affiliated fund, which is registered under the Investment Company
 Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The rate shown is the current yield as of November 30, 2025.

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

**Futures contracts outstanding as of November 30, 2025:**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 583 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 66079406 | &nbsp;&nbsp;&nbsp;&nbsp; 144837 |
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 29976375 | &nbsp;&nbsp;&nbsp;&nbsp; 195097 |
| U.S. Treasury Long Bond | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 5402125 | &nbsp;&nbsp;&nbsp;&nbsp; 32985 |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 133365234 | &nbsp;&nbsp;&nbsp;&nbsp; 150753 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 523672 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations** |  |
| USD | United States Dollar |

---

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**A. Valuation of Investments**— Investments are valued in accordance with U.S. generally accepted accounting principles ("GAAP") and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under Securities and Exchange Commission Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the "Valuation Designee" to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee ("AVC") to help oversee and carry out the policies for the valuation of investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.

This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

A market-based approach is primarily used to value the Fund's investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as "Pricing Services"), or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Futures contracts are generally valued on the basis of available market quotations.

See the table on "Quantitative Information about Level 3 Fair Value Measurements" for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2025.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.

• Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

• Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

• Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).

A financial instrument's level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $597985614 | &nbsp;&nbsp;&nbsp;&nbsp; $151190605 | &nbsp;&nbsp;&nbsp;&nbsp; $749176219 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 779987293 | &nbsp;&nbsp;&nbsp;&nbsp; 96054881 | &nbsp;&nbsp;&nbsp;&nbsp; 876042174 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 513302300 | &nbsp;&nbsp;&nbsp;&nbsp; 131940776 | &nbsp;&nbsp;&nbsp;&nbsp; 645243076 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25612731 | &nbsp;&nbsp;&nbsp;&nbsp; 25612731 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3641376930 | &nbsp;&nbsp;&nbsp;&nbsp; 5060496 | &nbsp;&nbsp;&nbsp;&nbsp; 3646437426 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 172754503 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 172754503 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 244009125 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 244009125 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $244009125 | &nbsp;&nbsp;&nbsp;&nbsp; $5705406640 | &nbsp;&nbsp;&nbsp;&nbsp; $409859489 | &nbsp;&nbsp;&nbsp;&nbsp; $6359275254 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $523672 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $523672 |

---

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2025**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Other**<sup>(a),\*</sup> <br>| **Balance as of** <br>**November 30,** <br>**2025**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $139192581 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $598839 | &nbsp;&nbsp; $52602 | &nbsp;&nbsp; $25728072 | &nbsp;&nbsp; $(13553039)<br>| &nbsp;&nbsp; $79111 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(907561)<br>| &nbsp;&nbsp; $151190605 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| &nbsp;&nbsp; 64383905 | &nbsp;&nbsp; 962 | &nbsp;&nbsp; 922083 | &nbsp;&nbsp; 139990 | &nbsp;&nbsp; 43830287 | &nbsp;&nbsp; (14119543)<br>| &nbsp;&nbsp; 34157 | &nbsp;&nbsp; (44521)<br>| &nbsp;&nbsp; 907561 | &nbsp;&nbsp; 96054881 |
| &nbsp;&nbsp;&nbsp;&nbsp; Commercial <br> Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp; 41742513 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1851139 | &nbsp;&nbsp; 273954 | &nbsp;&nbsp; 50465672 | &nbsp;&nbsp; (13350127)<br>| &nbsp;&nbsp; 50957625 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 131940776 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 26340000 | &nbsp;&nbsp; (727269)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 25612731 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp; 2659923 | &nbsp;&nbsp; — | &nbsp;&nbsp; (76750)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 5064923 | &nbsp;&nbsp; (2587600)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 5060496 |
| **Total** | &nbsp;&nbsp; $247978922 | &nbsp;&nbsp; $962 | &nbsp;&nbsp; $3295311 | &nbsp;&nbsp; $466546 | &nbsp;&nbsp; $151428954 | &nbsp;&nbsp; $(44337578)<br>| &nbsp;&nbsp; $51070893 | &nbsp;&nbsp; $(44521)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $409859489 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>1</sup> Purchases include all purchases of securities and securities received in corporate actions.

<sup>2</sup> Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

(a) Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations.

\* Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions from the Acquired Fund for the period March 1, 2025 through June 27, 2025. 

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2025, which were valued using significant unobservable inputs (level 3) amounted to $3,295,311.

For the period ended November 30, 2025, transfers in and out of level 3 were the result of decreased or increased transparency of market activity and observability of certain inputs used in determining fair value. This change in observability and resulting changes in levels does not impact liquidity or fair value of the Fund's investments or reflect any change in the investment strategy of the Fund.

The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

**Quantitative Information about Level 3 Fair Value Measurements #** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at November 30, 2025** | **Valuation Technique(s)** | **Unobservable Input** | **Range (Weighted Average) (a)** |
|  | &nbsp;&nbsp; $60092240<br>| Discounted Cash Flow | Constant Prepayment Rate | 5.00% - 100.00% (19.18%) |
|  |  |  | Constant Default Rate | 0.00% - 2.50% (0.26%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.00% - 9.35% (5.93%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br> Securities<br>| &nbsp;&nbsp; 60092240<br>|  |  |  |
|  | &nbsp;&nbsp; 58198503<br>| Discounted Cash Flow | Constant Prepayment Rate | 35.00% - 100.00% (92.59%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 4.93% - 6.17% (5.28%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized <br> Mortgage <br> Obligations<br>| &nbsp;&nbsp; 58198503<br>|  |  |  |
|  | &nbsp;&nbsp; 28575471<br>| Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 5.17% - 5.56% (5.34%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial <br> Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp; 28575471<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; $146866214<br>|  |  |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2025, the value of these investments was $262,993,275. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

(a) Unobservable inputs were weighted by the relative fair value of the instruments.

**B. Investment Transactions with Affiliates**— The Fund invested in Underlying Funds advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. The Underlying Funds' distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** | **For the period ended November 30, 2025\*** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2025**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2025**<br>| **Shares at** <br>**November 30,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime <br> Money Market Fund <br> Class IM Shares, <br> 4.06% (a) (b)<br>| $— | $734811836 | $490825188 | $5791 | $16686 | $244009125 | 243911561 | $2979838 | $— |
| &nbsp;&nbsp;&nbsp; JPMorgan Prime <br> Money Market Fund <br> Class Institutional <br> Shares, 3.96% <br> (a) (b)<br>| 361182168 | 771250129 | 1132391655 | 21202 | (61844)<br>|  |  | 3513303 |  |
| **Total** | $361182168 | $1506061965 | $1623216843 | $26993 | $(45158)<br>| $244009125 |  | $6493141 | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

(a) Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. 

(b) The rate shown is the current yield as of November 30, 2025.

\* Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The table includes transactions from the Acquired Fund for the period March 1, 2025 through June 27, 2025. 

------

**JPMorgan Mortgage-Backed Securities ETF**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** J.P. Morgan Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22903

- **c. CIK number of Registrant:** 0001485894

- **d. LEI of Registrant:** 5493001E1K1DVWDV2464

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 844-457-6383

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

- **a. Name of Series:** JPMorgan Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000090417

- **c. LEI of Series:** 5299009W5D9FG1N8GU90

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

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

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6386705088.92

**Total Liabilities:** $79157334.70

**Net Assets:** $6307547754.22

**Delayed Delivery Securities:** $26566364.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 633.99828000 | **1-Year:** 118523.35432000 | **5-Year:** 1413977.21347000 | **10-Year:** 1273809.19333000 | **30-Year:** 0.00000000

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

- **3-Month:** 45.66083000 | **1-Year:** 10997.54038000 | **5-Year:** 25212.98769000 | **10-Year:** 2839.43256000 | **30-Year:** 89.35306000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000257464 | 0.99%                | 0.74%                | 0.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $356769.54               | $36294613.23                               |
| Month 2  | $-96271.67               | $23013553.95                               |
| Month 3  | $-15590159.46            | $41502569.41                               |

**Designated Index Information**

- **Index Name:** Global Aggregate - U.S. MBS

- **Index Identifier:** 3446TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR2, Class E1                                                           | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9599382.00   | 0.15%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR1, Class C                                                            | CUSIP: 00179CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6887000 | PA      | $6739527.98   | 0.11%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class B                                                            | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2463000 | PA      | $2318674.85   | 0.04%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class D                                                            | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3208328.74   | 0.05%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR2, Class D                                                            | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6550000 | PA      | $6316947.73   | 0.10%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR2, Class D                                                            | CUSIP: 00180BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5903000 | PA      | $5691918.16   | 0.09%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class C                                                            | CUSIP: 00182MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6095000 | PA      | $5781535.37   | 0.09%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class D                                                            | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4946811.98   | 0.08%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                           | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                            | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28399 | PA      | $8582.65      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Accelerated Assets LLC                                               | Accelerated Assets LLC, Series 2018-1, Class B                                                   | CUSIP: 00436MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    323794 | PA      | $320700.03    | 0.01%             | 2033-12-02      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2021-1H, Class C                                                         | CUSIP: 00439KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2638072 | PA      | $2481665.05   | 0.04%             | 2040-10-20      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2022-A, Class A1                                                | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717478 | PA      | $1677341.61   | 0.03%             | 2061-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                 | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1921858 | PA      | $1920557.85   | 0.03%             | 2061-06-25      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                                           | FNMA/FHLMC UMBS, Single Family, 30 Year                                                          | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  51485000 | PA      | $51375640.71  | 0.81%             | 2055-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-26CB, Class A9                                               | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291558 | PA      | $140180.79    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                 | American General Mortgage Loan Trust, Series 2006-1, Class A5                                    | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       504 | PA      | $571.05       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                                | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3390000 | PA      | $3401211.75   | 0.05%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A2                                                | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3580000 | PA      | $3604009.63   | 0.06%             | 2040-05-25      | Variable      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust                                                                            | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $12155508.00  | 0.19%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class A                                                  | CUSIP: 05493UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $14141173.50  | 0.22%             | 2050-07-27      | Variable      | 2.45%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class AK73                                               | CUSIP: 05494BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17316000 | PA      | $16166780.37  | 0.26%             | 2051-02-27      | Variable      | 2.05%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK86                                               | CUSIP: 05494BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15438000 | PA      | $13149270.19  | 0.21%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class B                                                  | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $12408691.10  | 0.20%             | 2050-01-27      | Variable      | 1.45%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                           | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1725833.50   | 0.03%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2025-DELC, Class A                                                              | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $5106374.49   | 0.08%             | 2030-12-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2025-DELC, Class D                                                              | CUSIP: 05594MAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3020000 | PA      | $3020000.00   | 0.05%             | 2030-12-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                                            | BXP Trust, Series 2017-GM, Class A                                                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4900367.00   | 0.08%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| BVRT LLC                                                             | BVRT LLC, Series 2025-1, Class A                                                                 | CUSIP: 05614UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3655579 | PA      | $3554202.37   | 0.06%             | 2033-05-10      | Floating      | 4.19%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Re-REMIC Trust                                       | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class A                                        | CUSIP: 05942XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9647000 | PA      | $7840040.69   | 0.12%             | 2049-04-27      | Variable      | 2.08%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Re-REMIC Trust                                       | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class B                                        | CUSIP: 05942XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14257000 | PA      | $10539568.51  | 0.17%             | 2049-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-8, Class 30                                           | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25502 | PA      | $16876.81     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-4, Class 30                                           | CUSIP: 05946XA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19594 | PA      | $13584.87     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-1                                                     | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20739 | PA      | $14879.09     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-3, Class 1A1                                          | CUSIP: 05946XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41083 | PA      | $41537.92     | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-6, Class 2A7                                          | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66826 | PA      | $61116.60     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-1, Class 30                                           | CUSIP: 05946XQF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38705 | PA      | $5546.03      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-7, Class 30                                           | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5965 | PA      | $5943.66      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                         | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9265 | PA      | $8659.45      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                | Bastion Funding I LLC, Series 2023-1A, Class A2                                                  | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   3419388 | PA      | $3447475.02   | 0.05%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89830 | PA      | $80261.52     | 0.00%             | 2034-04-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                 | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36284 | PA      | $33733.84     | 0.00%             | 2034-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-4, Class 3A1                                                 | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33099 | PA      | $31964.45     | 0.00%             | 2033-07-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9423 | PA      | $9454.32      | 0.00%             | 2033-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1                            | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39959 | PA      | $46532.92     | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                  | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110274 | PA      | $107471.80    | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class B                                                  | CUSIP: 09711PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8857669.00   | 0.14%             | 2051-11-27      | Variable      | 1.56%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class C                                                  | CUSIP: 09711PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6838000 | PA      | $5881882.12   | 0.09%             | 2051-11-27      | Variable      | 1.56%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1                                   | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4943104 | PA      | $4863235.46   | 0.08%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                                  | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6320411 | PA      | $6296181.76   | 0.10%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM11, Class A1                                  | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9472575 | PA      | $9355047.14   | 0.15%             | 2065-05-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM12, Class A1                                  | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9235000 | PA      | $9032376.71   | 0.14%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM13, Class A1                                  | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5233824 | PA      | $5073131.62   | 0.08%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2024-SFR1, Class B                                                          | CUSIP: 10806DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11538000 | PA      | $11295527.78  | 0.18%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class B                                                          | CUSIP: 10807GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12150000 | PA      | $11701451.16  | 0.19%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class D                                                          | CUSIP: 10807GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6890000 | PA      | $6486828.21   | 0.10%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class B                                               | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1588299 | PA      | $1623685.50   | 0.03%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class C                                               | CUSIP: 123919AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1637000 | PA      | $1679419.68   | 0.03%             | 2038-11-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2022-A, Class C                                               | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2674330 | PA      | $2642074.59   | 0.04%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                            | CFIN 2022-RTL1 Issuer LLC, Class A                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  14738237 | PA      | $14738237.30  | 0.23%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2023-HB11, Class M2                                                             | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4684995.78   | 0.07%             | 2037-02-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB13, Class M2                                                             | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1764406.40   | 0.03%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB14, Class M1                                                             | CUSIP: 12530XAB7<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   5430000 | PA      | $5256975.77   | 0.08%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB14, Class M2                                                             | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   3735000 | PA      | $3597057.86   | 0.06%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M1                                       | CUSIP: 12531BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3191805.21   | 0.05%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2007-4, Class 1A52                                       | CUSIP: 12544RCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328593 | PA      | $124642.52    | 0.00%             | 2037-05-25      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2013-CR9, Class XB                                             | CUSIP: 12625UAA1<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |  26962059 | PA      | $265899.83    | 0.00%             | 2045-07-10      | Variable      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class A2                                                           | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $12577720.64  | 0.20%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class B                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8320000 | PA      | $7177189.76   | 0.11%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class C                                                            | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5056371.00   | 0.08%             | 2037-09-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class D                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1409790.11   | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                               | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152698 | PA      | $18811.05     | 0.00%             | 2035-03-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                               | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251894 | PA      | $258214.52    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-J3, Class 4A1                                                | CUSIP: 12667FGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7114 | PA      | $6991.70      | 0.00%             | 2019-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-37T1, Class A2                                               | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2190171 | PA      | $187996.57    | 0.00%             | 2035-09-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-22T1, Class A2                                               | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245598 | PA      | $117923.53    | 0.00%             | 2035-06-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                              | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1051299 | PA      | $65727.34     | 0.00%             | 2035-07-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                              | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49581 | PA      | $18667.02     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                              | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003005 | PA      | $67153.01     | 0.00%             | 2035-11-25      | Floating      | 0.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                              | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5635 | PA      | $4389.40      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                             | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168118 | PA      | $129524.32    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                              | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138906 | PA      | $13078.78     | 0.00%             | 2035-12-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                              | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87050 | PA      | $77880.00     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-86CB, Class A11                                              | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177452 | PA      | $99744.07     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-7CB, Class 1A2                                               | CUSIP: 12668BXT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6860079 | PA      | $755186.97    | 0.01%             | 2036-05-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250889 | PA      | $206648.84    | 0.00%             | 2035-11-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-13, Class 1A4                                       | CUSIP: 12669FJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107789 | PA      | $108955.28    | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                      | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24838 | PA      | $23819.17     | 0.00%             | 2034-05-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                        | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53692 | PA      | $54050.57     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3                                                   | CUSIP: 12669FQB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4719 | PA      | $3691.66      | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                        | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130952 | PA      | $130418.20    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                        | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18866 | PA      | $17341.37     | 0.00%             | 2034-06-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                      | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88885 | PA      | $84233.78     | 0.00%             | 2034-06-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                       | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50868 | PA      | $30838.20     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                      | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76820 | PA      | $73938.29     | 0.00%             | 2034-11-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                       | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                       | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5080000 | PA      | $5081367.03   | 0.08%             | 2042-11-10      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                                       | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                                      | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9730000 | PA      | $9662237.36   | 0.15%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  3 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                        | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                          | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1116852 | PA      | $1075215.47   | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                                | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5235302 | PA      | $4772962.21   | 0.08%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class M1                                                | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1596749.80   | 0.03%             | 2046-02-25      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                                | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8183842 | PA      | $8464034.25   | 0.13%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2024-MH1, Class M1                                                | CUSIP: 14731VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2994582.78   | 0.05%             | 2056-11-25      | Variable      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2019-MH1, Class A                                                 | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794342 | PA      | $765864.31    | 0.01%             | 2044-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                 | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6439822 | PA      | $6294733.24   | 0.10%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates     | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-9, Class 1P        | CUSIP: 15132EGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2854 | PA      | $2213.61      | 0.00%             | 2033-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust               | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1               | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11540000 | PA      | $11661995.11  | 0.18%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB15, Class M2                                                             | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1915000 | PA      | $1868109.31   | 0.03%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2002-3, Class 1A5                                                    | CUSIP: 161546CW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202501 | PA      | $200612.04    | 0.00%             | 2032-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-4, Class 1A5                                                    | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171616 | PA      | $169503.68    | 0.00%             | 2033-05-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-6, Class 1A7                                                    | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110041 | PA      | $109568.81    | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                          | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105926 | PA      | $106375.82    | 0.00%             | 2037-02-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                          | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15699 | PA      | $15116.22     | 0.00%             | 2037-02-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                          | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3009 | PA      | $3021.95      | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                          | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58025 | PA      | $57494.77     | 0.00%             | 2037-02-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                          | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53475 | PA      | $53627.71     | 0.00%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                    | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6992 | PA      | $6742.96      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                      | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6570 | PA      | $4700.93      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2                                    | CUSIP: 17307GCK2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       322 | PA      | $322.19       | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class W2                                     | CUSIP: 17307GCN6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        14 | PA      | $12.27        | 0.00%             | 2031-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A3                                        | CUSIP: 17307GLA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     26298 | PA      | $25890.46     | 0.00%             | 2034-08-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     10476 | PA      | $10020.09     | 0.00%             | 2034-08-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                   | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     73757 | PA      | $64341.72     | 0.00%             | 2035-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                   | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     93667 | PA      | $94154.45     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                    | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    208308 | PA      | $175619.07    | 0.00%             | 2035-08-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                         | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25069 | PA      | $25039.11     | 0.00%             | 2033-09-25      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                           | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143804 | PA      | $141559.13    | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2017-2, Class M                                          | CUSIP: 21870DAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6200000 | PA      | $6134341.38   | 0.10%             | 2027-12-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-2, Class B                                          | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2937873 | PA      | $2866101.21   | 0.05%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class A                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206911 | PA      | $206432.18    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XA                                         | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1585868 | PA      | $954.69       | 0.00%             | 2052-10-15      | Variable      | 2.15%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XB                                         | CUSIP: 21872NAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27000000 | PA      | $1160365.50   | 0.02%             | 2052-10-15      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2021-1, Class A                                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2036167 | PA      | $2008727.55   | 0.03%             | 2053-04-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 1A1                        | CUSIP: 22541Q3U4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60688 | PA      | $61795.23     | 0.00%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 5A1                        | CUSIP: 22541Q4B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20086 | PA      | $20928.76     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29299 | PA      | $30095.87     | 0.00%             | 2033-06-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                  | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31618 | PA      | $31787.92     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                         | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112716 | PA      | $115628.29    | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                         | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55420 | PA      | $56813.52     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                          | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226661 | PA      | $37947.46     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 2X                          | CUSIP: 225458QZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273201 | PA      | $39615.23     | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                   | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195417 | PA      | $202004.25    | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                  | DBWF Mortgage Trust, Series 2015-LCM, Class A1                                                   | CUSIP: 23306NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125717 | PA      | $124068.58    | 0.00%             | 2034-06-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                 | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                                | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11426927 | PA      | $11453139.64  | 0.18%             | 2055-10-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                    | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9760 | PA      | $9528.60      | 0.00%             | 2020-02-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                       | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                              | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4312954 | PA      | $4362332.69   | 0.07%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A104                                                | CUSIP: 255928AW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3730182.46   | 0.06%             | 2052-12-27      | Variable      | 2.57%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class B104                                                | CUSIP: 255928AY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12130000 | PA      | $10539116.54  | 0.17%             | 2052-12-27      | Variable      | 1.88%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A111                                                | CUSIP: 255928BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10810000 | PA      | $9503492.59   | 0.15%             | 2053-04-27      | Variable      | 2.25%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A120                                                | CUSIP: 255928BY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6680000 | PA      | $5838668.70   | 0.09%             | 2053-09-27      | Variable      | 2.61%                 | Yes           |                  3 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                      | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                            | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4547755 | PA      | $4586411.17   | 0.07%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| E3                                                                   | E3, Series 2019-1, Class B                                                                       | CUSIP: 269330AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    929464 | PA      | $782875.64    | 0.01%             | 2055-09-20      | Fixed         | 4.15%                 | Yes           |                  3 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                  | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13050000 | PA      | $12968664.57  | 0.21%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                  | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15250000 | PA      | $14709697.08  | 0.23%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                  | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7300000 | PA      | $7038310.33   | 0.11%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                  | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19222400 | PA      | $18613184.48  | 0.30%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                                  | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3465937.44   | 0.05%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                  | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14900000 | PA      | $14946161.69  | 0.24%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                                  | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004930.60   | 0.02%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT2, Class A                                                  | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8055505.60   | 0.13%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT2, Class B                                                  | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3357000 | PA      | $3428658.19   | 0.05%             | 2027-07-25      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                 | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13600000 | PA      | $13814982.00  | 0.22%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                           | FW Energy Asset Issuer LLC                                                                       | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   7518824 | PA      | $7700689.57   | 0.12%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                                        | Energy Assets                                                                                    | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   2393831 | PA      | $2458694.05   | 0.04%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K54, Class C                                                   | CUSIP: 30288RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3691000 | PA      | $3674650.72   | 0.06%             | 2048-04-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K56, Class B                                                   | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1589516.32   | 0.03%             | 2049-06-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K79, Class C                                                   | CUSIP: 302956AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4030000 | PA      | $3958138.65   | 0.06%             | 2051-07-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K59, Class B                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1902000 | PA      | $1883893.53   | 0.03%             | 2049-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K75, Class B                                                   | CUSIP: 30296PAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2967931.80   | 0.05%             | 2051-04-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K78, Class B                                                   | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3449000 | PA      | $3412654.09   | 0.05%             | 2051-06-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K88, Class B                                                   | CUSIP: 302971AR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3987078.40   | 0.06%             | 2052-02-25      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K81, Class B                                                   | CUSIP: 30297HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1987767.40   | 0.03%             | 2051-09-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                  | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8626985.00   | 0.14%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS11, Class B                                                  | CUSIP: 30298KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7745908.00   | 0.12%             | 2029-06-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K736, Class B                                                  | CUSIP: 30298MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6451736.85   | 0.10%             | 2026-07-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-K737, Class B                                                  | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4832000 | PA      | $4772276.96   | 0.08%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K65, Class C                                                   | CUSIP: 30302XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3662000 | PA      | $3624667.74   | 0.06%             | 2050-07-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K69, Class C                                                   | CUSIP: 30305KAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2765000 | PA      | $2704042.81   | 0.04%             | 2049-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KBX1, Class B                                                  | CUSIP: 30307LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2389133.76   | 0.04%             | 2026-01-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 19K-1511, Class B                                                   | CUSIP: 30309KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3172345.40   | 0.05%             | 2034-03-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K94, Class C                                                   | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6750000 | PA      | $6602815.58   | 0.10%             | 2052-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS12, Class B                                                  | CUSIP: 30311XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9871013 | PA      | $9872452.25   | 0.16%             | 2029-08-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K98, Class C                                                   | CUSIP: 30312DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5807440.80   | 0.09%             | 2052-10-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K100, Class C                                                  | CUSIP: 30313PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7140000 | PA      | $6812398.23   | 0.11%             | 2052-11-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family ML Certificates                                   | FHLMC Multi-Family ML Certificates, Series 2021-ML09, Class XUS                                  | CUSIP: 30319NAA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54592277 | PA      | $5842869.51   | 0.09%             | 2040-02-25      | Variable      | 1.55%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4848973 | PA      | $4531076.30   | 0.07%             | 2031-01-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                                | FRTKL, Series 2021-SFR1, Class D                                                                 | CUSIP: 30322DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3708931.86   | 0.06%             | 2038-09-17      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                  | FARM Mortgage Trust, Series 2023-1, Class A                                                      | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7846411 | PA      | $6556421.57   | 0.10%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 191                                                                        | CUSIP: 31282YCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42060 | PA      | $2105.90      | 0.00%             | 2028-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 11                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83468 | PA      | $13117.11     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 12                                                              | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48138 | PA      | $6538.64      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 13                                                              | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110321 | PA      | $15754.84     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 239, Class S30                                                             | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167844 | PA      | $21519.98     | 0.00%             | 2036-08-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12957 | PA      | $13576.08     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       564 | PA      | $565.04       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28396 | PA      | $29210.32     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5398 | PA      | $5655.82      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28529 | PA      | $28919.96     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177229 | PA      | $187056.47    | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60079 | PA      | $62234.71     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40341 | PA      | $41695.27     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85209 | PA      | $87232.04     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84262 | PA      | $87836.99     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128E54X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241736 | PA      | $240167.71    | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 262, Class 35                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4732671 | PA      | $4508169.90   | 0.07%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9247 | PA      | $9385.49      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14374 | PA      | $14598.08     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116355 | PA      | $121910.36    | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172514 | PA      | $179466.35    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128KHFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7677 | PA      | $8053.00      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8939 | PA      | $9154.49      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64828 | PA      | $68698.80     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11464 | PA      | $11945.35     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165107 | PA      | $171575.71    | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705381 | PA      | $712743.56    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128MSE71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42092 | PA      | $42286.23     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15335 | PA      | $15680.49     | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65401 | PA      | $66682.26     | 0.00%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51200 | PA      | $53099.97     | 0.00%             | 2036-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28608 | PA      | $29298.80     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2084 | PA      | $2166.19      | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4149 | PA      | $4258.08      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7EP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39609 | PA      | $40147.60     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18205 | PA      | $18492.02     | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20052 | PA      | $20324.29     | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4992 | PA      | $5068.59      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8341 | PA      | $8563.06      | 0.00%             | 2036-12-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJWQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4693 | PA      | $4845.42      | 0.00%             | 2037-02-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21232 | PA      | $22009.07     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30052 | PA      | $30548.48     | 0.00%             | 2036-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8605 | PA      | $8760.58      | 0.00%             | 2037-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31090 | PA      | $32060.35     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2091 | PA      | $2136.13      | 0.00%             | 2038-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6093 | PA      | $6139.09      | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9185 | PA      | $9431.05      | 0.00%             | 2036-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31667 | PA      | $32525.06     | 0.00%             | 2037-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11205 | PA      | $11517.97     | 0.00%             | 2038-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15311 | PA      | $15636.65     | 0.00%             | 2036-11-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28584 | PA      | $29099.04     | 0.00%             | 2037-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248639 | PA      | $255814.56    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5978 | PA      | $6189.72      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292H4U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21578 | PA      | $21298.68     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72222 | PA      | $75670.75     | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26147 | PA      | $27646.90     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50645 | PA      | $52727.13     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31293EAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       248 | PA      | $253.63       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440780 | PA      | $454638.90    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74528 | PA      | $75752.20     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296RS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20014 | PA      | $20516.88     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39433 | PA      | $41145.43     | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193104 | PA      | $186119.41    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 20 Year                                                                              | CUSIP: 3132AD2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1653902 | PA      | $1621199.58   | 0.03%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8316705 | PA      | $8416003.39   | 0.13%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12466565 | PA      | $11946667.07  | 0.19%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DNAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2490312 | PA      | $2217969.29   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9752041 | PA      | $8751735.94   | 0.14%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8219527 | PA      | $7375151.32   | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DSQC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20017455 | PA      | $17245207.84  | 0.27%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DTMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9054432 | PA      | $8422528.62   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4400984 | PA      | $3950255.55   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8162226 | PA      | $7009982.54   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3724399 | PA      | $3235041.96   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11433410 | PA      | $9779812.11   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4793961 | PA      | $4131663.30   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0UE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7855638 | PA      | $7327294.17   | 0.12%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713371 | PA      | $716122.09    | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYBH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1810427 | PA      | $1762824.97   | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7BQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115596 | PA      | $114697.64    | 0.00%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7CD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205184 | PA      | $202133.94    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7D69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654015 | PA      | $640030.54    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7FN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434413 | PA      | $427907.78    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594055 | PA      | $584683.33    | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3M34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1699184 | PA      | $1665058.22   | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3S79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579275 | PA      | $570925.18    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1943564 | PA      | $1860902.45   | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1158019 | PA      | $1136185.75   | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261678 | PA      | $250225.64    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1055822 | PA      | $1030683.04   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132HBQA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1622928 | PA      | $1588312.03   | 0.03%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 299, Class 300                                                             | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169758 | PA      | $158012.75    | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 310                                                                        | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661304 | PA      | $518537.83    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132LAEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317439 | PA      | $308106.25    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QUUJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941128 | PA      | $893192.59    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QWN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435250 | PA      | $412070.25    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VM3T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632297 | PA      | $630827.93    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542545 | PA      | $545901.32    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WD3F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1234539 | PA      | $1169179.54   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WEAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338449 | PA      | $320477.71    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WFJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497381 | PA      | $472360.93    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8126038 | PA      | $7776279.76   | 0.12%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XFJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3907896.00   | 0.06%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4972378 | PA      | $4665720.46   | 0.07%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ABG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2862369 | PA      | $2660462.94   | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ADJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994854 | PA      | $1026108.90   | 0.02%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31335PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83026 | PA      | $86462.30     | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31336CNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7757 | PA      | $7885.76      | 0.00%             | 2036-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZD                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37175 | PA      | $38843.23     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZJ                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6203 | PA      | $6501.22      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2345, Class NE                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3819 | PA      | $4003.27      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2372, Class F                                                               | CUSIP: 31339G4S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1514 | PA      | $1514.69      | 0.00%             | 2031-10-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2367, Class ZK                                                              | CUSIP: 31339GJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41432 | PA      | $42953.23     | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2368, Class AS                                                              | CUSIP: 31339GNQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2059 | PA      | $2147.14      | 0.00%             | 2031-10-15      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2383, Class FD                                                              | CUSIP: 31339GX63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1496 | PA      | $1496.20      | 0.00%             | 2031-11-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2388, Class UZ                                                              | CUSIP: 31339M7J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4322 | PA      | $4551.89      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2399, Class TH                                                              | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46813 | PA      | $49118.35     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QX                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6310 | PA      | $504.70       | 0.00%             | 2032-02-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11581 | PA      | $12555.11     | 0.00%             | 2032-02-15      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2431, Class F                                                               | CUSIP: 31339NQ74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42787 | PA      | $42792.64     | 0.00%             | 2032-03-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MC                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11537 | PA      | $12082.00     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MT                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12884 | PA      | $13560.83     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0AC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746689 | PA      | $721890.21    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0UF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889399 | PA      | $859229.09    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260800 | PA      | $234597.98    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563762 | PA      | $553288.89    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4740877 | PA      | $4076049.97   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14586173 | PA      | $12048141.83  | 0.19%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1214500 | PA      | $1128668.82   | 0.02%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AMS98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3102900 | PA      | $2790241.31   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ASZ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1038717 | PA      | $895488.57    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AWMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3992667 | PA      | $3577470.49   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7491910 | PA      | $6718329.06   | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BDS55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4445074 | PA      | $4581701.96   | 0.07%             | 2052-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BESR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018111 | PA      | $1024515.50   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BJPD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10985649 | PA      | $10179215.47  | 0.16%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402775 | PA      | $376707.46    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1515926 | PA      | $1466382.84   | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1906609 | PA      | $1841936.63   | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13929753 | PA      | $13231110.10  | 0.21%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KJGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9086914 | PA      | $7805089.00   | 0.12%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KKMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8196606 | PA      | $7089312.28   | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12221497 | PA      | $10527859.85  | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KLAQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4295659 | PA      | $4124099.91   | 0.07%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7349893 | PA      | $6315809.46   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4112753 | PA      | $3543515.67   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19465792 | PA      | $16779584.80  | 0.27%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10020415 | PA      | $9299887.87   | 0.15%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3824789 | PA      | $3288195.76   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KRW67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5406328 | PA      | $5411683.67   | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 406                                                                        | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6323155 | PA      | $5453281.22   | 0.09%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1829, Class ZB                                                              | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.01         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1899, Class ZE                                                              | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1121.90      | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1963, Class Z                                                               | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1075 | PA      | $1081.99      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1985, Class PR                                                              | CUSIP: 3133TAVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       673 | PA      | $25.70        | 0.00%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1987, Class PE                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1069 | PA      | $1079.31      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2042, Class T                                                               | CUSIP: 3133TCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       350 | PA      | $353.63       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2040, Class PE                                                              | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4042 | PA      | $4110.71      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2038, Class PN                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       584 | PA      | $28.45        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2060, Class Z                                                               | CUSIP: 3133TDSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1743 | PA      | $1770.40      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2065, Class PX                                                              | CUSIP: 3133TEFM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2779 | PA      | $9.51         | 0.00%             | 2027-08-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2061, Class DC                                                              | CUSIP: 3133TEHE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5391 | PA      | $242.46       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2075, Class PH                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14750 | PA      | $14995.52     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2086, Class GB                                                              | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1641 | PA      | $1668.59      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2089, Class PJ                                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1213 | PA      | $61.79        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2110, Class PG                                                              | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9927 | PA      | $10023.16     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2111, Class SB                                                              | CUSIP: 3133TJ3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5781 | PA      | $138.95       | 0.00%             | 2029-01-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2125, Class JZ                                                              | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4775 | PA      | $4859.15      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2130, Class QS                                                              | CUSIP: 3133TJP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1934 | PA      | $1949.13      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class SB                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1673 | PA      | $1879.29      | 0.00%             | 2029-03-15      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class ZL                                                              | CUSIP: 3133TJVY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2493 | PA      | $2523.84      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2141                                                                        | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       249 | PA      | $10.94        | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2163, Class PC                                                              | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       962 | PA      | $50.46        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2178, Class PB                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2251 | PA      | $2311.64      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2201, Class C                                                               | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1866 | PA      | $1908.46      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2209, Class TC                                                              | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15666 | PA      | $16323.35     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2210, Class Z                                                               | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11345 | PA      | $11842.67     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2224, Class CB                                                              | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3730 | PA      | $3880.55      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2247, Class Z                                                               | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3587 | PA      | $3736.88      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2256, Class MC                                                              | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8573 | PA      | $8932.81      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2254, Class Z                                                               | CUSIP: 3133TPUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27192 | PA      | $29691.05     | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2259, Class ZM                                                              | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17234 | PA      | $17834.50     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2271, Class PC                                                              | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18946 | PA      | $19789.10     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2296, Class PD                                                              | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6450 | PA      | $6724.05      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZD                                                              | CUSIP: 3133TSTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86608 | PA      | $90913.57     | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZN                                                              | CUSIP: 3133TSTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25933 | PA      | $26958.86     | 0.00%             | 2029-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2359, Class ZB                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12952 | PA      | $13938.94     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2433, Class SA                                                              | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21442 | PA      | $23613.20     | 0.00%             | 2032-02-15      | Floating      | 9.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2436, Class MC                                                              | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11282 | PA      | $11531.88     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2434, Class TC                                                              | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15843 | PA      | $16653.19     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133USHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9307719 | PA      | $8366944.14   | 0.13%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133USJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23901469 | PA      | $19773754.87  | 0.31%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31346YUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822825 | PA      | $796442.84    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14122 | PA      | $14409.25     | 0.00%             | 2033-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29599 | PA      | $30705.64     | 0.00%             | 2036-11-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27521 | PA      | $28434.30     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 197                                                                        | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23222 | PA      | $22355.34     | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2000-52                                                                      | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1397 | PA      | $162.64       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-27, Class J                                                             | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275 | PA      | $277.77       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G97-2, Class ZA                                                              | CUSIP: 31359NSL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1828 | PA      | $1851.74      | 0.00%             | 2027-02-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-24, Class Z                                                             | CUSIP: 31359PBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       172 | PA      | $173.29       | 0.00%             | 2027-04-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-46, Class Z                                                             | CUSIP: 31359PD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9811 | PA      | $9858.89      | 0.00%             | 2027-06-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-81, Class PI                                                            | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $13.86        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-33, Class ID                                                            | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8785 | PA      | $879.13       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T7, Class A1                                        | CUSIP: 31359S6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182251 | PA      | $190543.59    | 0.00%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-7, Class PF                                                             | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2226 | PA      | $2328.59      | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-4, Class ZA                                                             | CUSIP: 31359SFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51287 | PA      | $52363.41     | 0.00%             | 2031-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-36, Class ZB                                                            | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4630 | PA      | $4674.88      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-30, Class ZA                                                            | CUSIP: 31359TUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36786 | PA      | $37415.12     | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1999-62, Class PB                                                            | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2893 | PA      | $2933.38      | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       324 | PA      | $320.65       | 0.00%             | 2027-09-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 313637ZB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4825000 | PA      | $4692807.21   | 0.07%             | 2033-10-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-75, Class FA                                                            | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17007 | PA      | $16978.93     | 0.00%             | 2041-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class MT                                                           | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413163 | PA      | $441152.24    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class LB                                                           | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246442 | PA      | $264788.50    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class NT                                                           | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422301 | PA      | $454271.22    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-21, Class WA                                                            | CUSIP: 3136A35N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413711 | PA      | $433090.82    | 0.01%             | 2052-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-2, Class LZ                                                             | CUSIP: 3136AB4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34750 | PA      | $25414.28     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-4, Class AJ                                                             | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796641 | PA      | $763597.64    | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-92                                                                      | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626498 | PA      | $481036.53    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-101, Class DO                                                           | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723362 | PA      | $551219.64    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-44, Class B                                                             | CUSIP: 3136AKSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564415 | PA      | $540343.38    | 0.01%             | 2034-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-91, Class AC                                                            | CUSIP: 3136AQUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994752 | PA      | $1053815.15   | 0.02%             | 2036-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M3, Class A2                                                              | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120702 | PA      | $1104418.19   | 0.02%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-11, Class LA                                                            | CUSIP: 3136B1DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825174 | PA      | $814454.95    | 0.01%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M7, Class A2                                                              | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3855487 | PA      | $3795864.42   | 0.06%             | 2028-03-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M3, Class A2                                                              | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719569 | PA      | $696694.00    | 0.01%             | 2030-02-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-63, Class DA                                                            | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438056 | PA      | $410713.95    | 0.01%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-68, Class DZ                                                            | CUSIP: 3136B2K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945561 | PA      | $905995.44    | 0.01%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M10, Class X                                                              | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  47546832 | PA      | $1276118.92   | 0.02%             | 2049-05-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-20, Class H                                                             | CUSIP: 3136B4NV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327381 | PA      | $1232943.30   | 0.02%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-32, Class SD                                                            | CUSIP: 3136B4XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6868517 | PA      | $819791.87    | 0.01%             | 2049-06-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M11                                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69007881 | PA      | $2984045.69   | 0.05%             | 2029-01-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-11, Class JW                                                            | CUSIP: 3136B8XD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3056000 | PA      | $2360398.78   | 0.04%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-36, Class SH                                                            | CUSIP: 3136B94B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9709800 | PA      | $1191398.31   | 0.02%             | 2050-06-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-45, Class KG                                                            | CUSIP: 3136BA2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3489822 | PA      | $2972390.20   | 0.05%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-61, Class SB                                                            | CUSIP: 3136BBF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5908234 | PA      | $233388.83    | 0.00%             | 2050-09-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class 2A1                                                            | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606001 | PA      | $573869.21    | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class X2                                                             | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4903311 | PA      | $191385.04    | 0.00%             | 2028-11-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class 1A1                                                            | CUSIP: 3136BBTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2270818 | PA      | $2185000.54   | 0.03%             | 2028-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class X1                                                             | CUSIP: 3136BBTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42454335 | PA      | $2176294.12   | 0.03%             | 2030-07-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M49, Class 1A1                                                            | CUSIP: 3136BCC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1978289 | PA      | $1858488.18   | 0.03%             | 2030-11-25      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class A2                                                             | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105034 | PA      | $100903.16    | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class X1                                                             | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1655659 | PA      | $58598.90     | 0.00%             | 2030-10-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M3, Class X1                                                              | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9822016 | PA      | $609914.78    | 0.01%             | 2033-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M4, Class A1                                                              | CUSIP: 3136BDYY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5427729 | PA      | $5269041.89   | 0.08%             | 2031-02-25      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M6, Class A1                                                              | CUSIP: 3136BFHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3158732 | PA      | $3045895.58   | 0.05%             | 2033-03-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M12, Class 2A2                                                            | CUSIP: 3136BHNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4301179.00   | 0.07%             | 2033-05-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M2S, Class A2                                                             | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1041007 | PA      | $927683.60    | 0.01%             | 2031-10-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2021-91, Class GB                                                            | CUSIP: 3136BK3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17412137 | PA      | $14918992.14  | 0.24%             | 2049-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2022-1, Class CZ                                                             | CUSIP: 3136BLLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2756802 | PA      | $1700511.15   | 0.03%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M4, Class 2A2                                                             | CUSIP: 3136BLQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42100000 | PA      | $36779806.16  | 0.58%             | 2030-12-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1G, Class A2                                                             | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23600000 | PA      | $20725536.52  | 0.33%             | 2031-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M3, Class A2                                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18900000 | PA      | $16470386.10  | 0.26%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M8, Class A1                                                              | CUSIP: 3136BMSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566160 | PA      | $533429.46    | 0.01%             | 2031-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M8, Class A2                                                              | CUSIP: 3136BMST6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3370000 | PA      | $2965748.95   | 0.05%             | 2031-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M10, Class A2                                                             | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26000000 | PA      | $23108384.00  | 0.37%             | 2032-01-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1S, Class A2                                                             | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22730000 | PA      | $20162846.52  | 0.32%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M13, Class A2                                                             | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $13723824.00  | 0.22%             | 2032-06-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M4, Class A1                                                              | CUSIP: 3136BP3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7224460 | PA      | $7209478.37   | 0.11%             | 2032-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M2S, Class A1                                                             | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17515 | PA      | $17462.43     | 0.00%             | 2032-05-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-6, Class AL                                                             | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13198709 | PA      | $10455799.49  | 0.17%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A1                                                              | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14239551 | PA      | $14581559.48  | 0.23%             | 2033-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A1                                                              | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2984813 | PA      | $3033688.72   | 0.05%             | 2032-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A2                                                              | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6345000 | PA      | $6446240.82   | 0.10%             | 2033-03-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A2                                                              | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4787089.00   | 0.08%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-29, Class LA                                                            | CUSIP: 3136BV2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10946008 | PA      | $9730595.21   | 0.15%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-18, Class MA                                                            | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33689954 | PA      | $28773215.16  | 0.46%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 331, Class 13                                                               | CUSIP: 3136FAXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44803 | PA      | $4922.33      | 0.00%             | 2032-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 345, Class 6                                                                | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20403 | PA      | $2294.87      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 351, Class 7                                                                | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46458 | PA      | $4915.41      | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 356, Class 3                                                                | CUSIP: 3136FCPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60084 | PA      | $7193.46      | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 373, Class 1                                                                | CUSIP: 3136FCW44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505489 | PA      | $445171.93    | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 374, Class 5                                                                | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29137 | PA      | $4471.82      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 365, Class 8                                                                | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80897 | PA      | $14369.53     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 32                                                               | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73681 | PA      | $12909.61     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 393, Class 6                                                                | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12998 | PA      | $1142.40      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4360 | PA      | $4438.79      | 0.00%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17177 | PA      | $17531.59     | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15235 | PA      | $15488.64     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5663 | PA      | $5920.04      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NBU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11934 | PA      | $12560.37     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11778 | PA      | $12182.56     | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13249 | PA      | $13464.48     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81499 | PA      | $87452.36     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       746 | PA      | $740.06       | 0.00%             | 2029-03-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108617 | PA      | $111423.84    | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3714, Class IP                                                              | CUSIP: 3137A0WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140363 | PA      | $6116.52      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class DT                                                              | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298923 | PA      | $322844.15    | 0.01%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class ET                                                              | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228681 | PA      | $252876.60    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3753                                                                        | CUSIP: 3137A3ML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    521135 | PA      | $421426.47    | 0.01%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3860, Class PZ                                                              | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2330928 | PA      | $2378195.99   | 0.04%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class QN                                                              | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32931 | PA      | $31862.05     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class TP                                                              | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58106 | PA      | $59116.45     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3895, Class WA                                                              | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61581 | PA      | $64432.24     | 0.00%             | 2038-10-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3966, Class NA                                                              | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535528 | PA      | $529868.64    | 0.01%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4015, Class MY                                                              | CUSIP: 3137ANDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    731836 | PA      | $701774.85    | 0.01%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4136, Class HS                                                              | CUSIP: 3137AWH65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351634 | PA      | $237941.96    | 0.00%             | 2042-11-15      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4177, Class MQ                                                              | CUSIP: 3137B16U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $920356.80    | 0.01%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4274, Class EM                                                              | CUSIP: 3137B5UH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $942275.60    | 0.01%             | 2043-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4280, Class EO                                                              | CUSIP: 3137B6HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385840 | PA      | $299994.64    | 0.00%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4281, Class OB                                                              | CUSIP: 3137B6QJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363824 | PA      | $285184.32    | 0.00%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4377, Class JP                                                              | CUSIP: 3137BDCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1644021 | PA      | $1582341.04   | 0.03%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4456, Class SA                                                              | CUSIP: 3137BGRJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2451154 | PA      | $290070.29    | 0.00%             | 2045-03-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class SE                                                              | CUSIP: 3137BKF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2497114 | PA      | $369121.92    | 0.01%             | 2045-06-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4580, Class PT                                                              | CUSIP: 3137BPNP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298615 | PA      | $310269.35    | 0.00%             | 2039-08-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5036, Class NA                                                              | CUSIP: 3137F6U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6904247 | PA      | $5099756.63   | 0.08%             | 2050-11-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class XAM                 | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33000000 | PA      | $605804.10    | 0.01%             | 2027-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5054, Class DZ                                                              | CUSIP: 3137F75J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14656880 | PA      | $7995668.08   | 0.13%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5048, Class TI                                                              | CUSIP: 3137F7FM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17612709 | PA      | $2641781.34   | 0.04%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX                 | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62740718 | PA      | $2882678.78   | 0.05%             | 2029-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                      | FHLMC, Multi-Class Certificates, Series 2021-P008, Class A1                                      | CUSIP: 3137F9ZH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14793115 | PA      | $12799593.10  | 0.20%             | 2033-01-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4848, Class QY                                                              | CUSIP: 3137FKFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    582211 | PA      | $582324.03    | 0.01%             | 2048-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4862, Class NO                                                              | CUSIP: 3137FKUH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14167672 | PA      | $9060794.28   | 0.14%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4888, Class AZ                                                              | CUSIP: 3137FM6J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3226243 | PA      | $3097413.69   | 0.05%             | 2048-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4903, Class SN                                                              | CUSIP: 3137FN5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6921032 | PA      | $822551.50    | 0.01%             | 2049-08-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4936, Class YZ                                                              | CUSIP: 3137FQJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2078006 | PA      | $1813682.10   | 0.03%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4982, Class JA                                                              | CUSIP: 3137FTPL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5485984 | PA      | $4439257.38   | 0.07%             | 2050-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class XPT2                | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42565513 | PA      | $906624.15    | 0.01%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5028, Class JG                                                              | CUSIP: 3137FWSA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6017019 | PA      | $4913544.65   | 0.08%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1518, Class X1                | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 105627392 | PA      | $6280847.67   | 0.10%             | 2035-10-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1520, Class X1                | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  97246887 | PA      | $3296805.60   | 0.05%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class XAM                 | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26300000 | PA      | $925410.21    | 0.01%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3740, Class SC                                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171840 | PA      | $18905.25     | 0.00%             | 2040-10-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5156, Class DC                                                              | CUSIP: 3137H2VD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14679478 | PA      | $12945864.03  | 0.21%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5190, Class PH                                                              | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100526 | PA      | $2885058.29   | 0.05%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5250                                                                        | CUSIP: 3137H8RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10021310 | PA      | $3469787.42   | 0.06%             | 2052-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5337, Class SB                                                              | CUSIP: 3137HAM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4316545 | PA      | $4474851.06   | 0.07%             | 2053-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5358, Class SB                                                              | CUSIP: 3137HAWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3535207 | PA      | $3756050.11   | 0.06%             | 2053-11-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5438                                                                        | CUSIP: 3137HF7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5599552 | PA      | $4661201.23   | 0.07%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3196 | PA      | $3269.96      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31384LXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $314.76       | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25284 | PA      | $25275.37     | 0.00%             | 2033-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31386L4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8190 | PA      | $8307.54      | 0.00%             | 2030-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12654 | PA      | $13088.45     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31388PKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22916 | PA      | $23986.84     | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138AFXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80567 | PA      | $81781.04     | 0.00%             | 2031-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71091 | PA      | $73739.78     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106694 | PA      | $102982.50    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597461 | PA      | $591440.96    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580041 | PA      | $599199.81    | 0.01%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138ETE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1797604 | PA      | $1669108.02   | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L7GA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1572553 | PA      | $1526478.43   | 0.02%             | 2034-08-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    849650 | PA      | $841876.84    | 0.01%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1968853.26   | 0.03%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784913 | PA      | $771618.40    | 0.01%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1986993 | PA      | $1813035.12   | 0.03%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6337113 | PA      | $6113996.67   | 0.10%             | 2030-11-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376154 | PA      | $1302085.95   | 0.02%             | 2037-11-01      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LEWS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859551 | PA      | $806419.99    | 0.01%             | 2031-08-01      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LFNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8749070 | PA      | $8151982.16   | 0.13%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6060000 | PA      | $5912504.27   | 0.09%             | 2029-01-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2832704 | PA      | $2772846.44   | 0.04%             | 2029-01-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LHCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1526083 | PA      | $1510166.30   | 0.02%             | 2027-02-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $750646.78    | 0.01%             | 2032-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4075000 | PA      | $3846835.86   | 0.06%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LKL96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586683 | PA      | $548253.78    | 0.01%             | 2032-10-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LLET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7574898 | PA      | $6841730.95   | 0.11%             | 2037-11-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LMBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5871207 | PA      | $5694150.11   | 0.09%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LNX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3379240.03   | 0.05%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LXQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686648 | PA      | $675343.98    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513641 | PA      | $503376.72    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358016 | PA      | $350861.93    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458170 | PA      | $448293.30    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M34Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2621543 | PA      | $2565906.91   | 0.04%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138M66U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271891 | PA      | $266380.66    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628374 | PA      | $583372.12    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453802 | PA      | $447999.04    | 0.01%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138W6A63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927566 | PA      | $885079.68    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WGW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009762 | PA      | $954408.46    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WHHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758192 | PA      | $716632.86    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493649 | PA      | $485234.07    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 3138Y9NQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434971 | PA      | $428382.98    | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6680 | PA      | $6716.70      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391JWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8509 | PA      | $8704.89      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       942 | PA      | $963.92       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4674 | PA      | $4782.18      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PD                                                            | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3982 | PA      | $4156.41      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PU                                                            | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11614 | PA      | $12225.37     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-36, Class DE                                                            | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14070 | PA      | $14669.20     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-38, Class FB                                                            | CUSIP: 313920QJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2743 | PA      | $2743.17      | 0.00%             | 2031-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T10                                                 | CUSIP: 3139216E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5276 | PA      | $4715.47      | 0.00%             | 2041-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2001-W3, Class A                                           | CUSIP: 3139216F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168420 | PA      | $169183.57    | 0.00%             | 2041-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Series 2001-W4, Class AF6                                                     | CUSIP: 3139216U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       957 | PA      | $957.18       | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-49, Class LZ                                                            | CUSIP: 313921AM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15446 | PA      | $16080.20     | 0.00%             | 2031-07-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-61, Class Z                                                             | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35939 | PA      | $37443.45     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-53, Class FX                                                            | CUSIP: 313921XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65682 | PA      | $65525.29     | 0.00%             | 2031-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28948 | PA      | $29727.40     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                                       | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1599458 | PA      | $1617996.32   | 0.03%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A2                                       | CUSIP: 31392A5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82818 | PA      | $83842.70     | 0.00%             | 2041-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class SJ                                                            | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23800 | PA      | $389.75       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-7, Class FD                                                             | CUSIP: 31392B3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13208 | PA      | $13243.87     | 0.00%             | 2029-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class ST                                                            | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1360 | PA      | $1425.06      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A2                                        | CUSIP: 31392B6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66728 | PA      | $69662.35     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A3                                        | CUSIP: 31392B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158497 | PA      | $168770.26    | 0.00%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-72, Class SX                                                            | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1993 | PA      | $2259.21      | 0.00%             | 2031-12-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-1, Class SA                                                             | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2534 | PA      | $3013.84      | 0.00%             | 2032-02-25      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-30, Class Z                                                             | CUSIP: 31392CH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58129 | PA      | $60474.70     | 0.00%             | 2032-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-50, Class ZA                                                            | CUSIP: 31392DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79087 | PA      | $81404.63     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-37, Class Z                                                             | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4208 | PA      | $4363.60      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2002-W10                                                   | CUSIP: 31392ET34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741085 | PA      | $30146.76     | 0.00%             | 2042-08-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FA                                                            | CUSIP: 31392EUN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40577 | PA      | $40712.28     | 0.00%             | 2031-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FB                                                            | CUSIP: 31392EUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40577 | PA      | $40712.28     | 0.00%             | 2031-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-77, Class S                                                             | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9644 | PA      | $10026.10     | 0.00%             | 2032-12-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                       | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67269 | PA      | $71802.59     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                       | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154631 | PA      | $164581.99    | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                         | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91537 | PA      | $92492.19     | 0.00%             | 2042-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                          | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63063 | PA      | $63861.55     | 0.00%             | 2042-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2003-7, Class A1                                                 | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113930 | PA      | $116327.59    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-2, Class F                                                              | CUSIP: 31392HZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140896 | PA      | $141652.36    | 0.00%             | 2033-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100132 | PA      | $104884.08    | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-14, Class TI                                                            | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23825 | PA      | $306.65       | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class SW                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10674 | PA      | $1020.02      | 0.00%             | 2032-03-15      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class GZ                                                              | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14755 | PA      | $15659.57     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2444, Class ES                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9418 | PA      | $843.22       | 0.00%             | 2032-03-15      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                   | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102796 | PA      | $95683.61     | 0.00%             | 2032-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                   | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357956 | PA      | $388795.23    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2464, Class FE                                                              | CUSIP: 31392MW81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34126 | PA      | $34478.11     | 0.00%             | 2032-03-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2470, Class SL                                                              | CUSIP: 31392RJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       185 | PA      | $185.03       | 0.00%             | 2027-01-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2494, Class SX                                                              | CUSIP: 31392UZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119200 | PA      | $9412.33      | 0.00%             | 2032-02-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A                   | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31057 | PA      | $32649.38     | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                   | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36013 | PA      | $36683.93     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2517, Class Z                                                               | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14844 | PA      | $15255.95     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2513, Class ZC                                                              | CUSIP: 31392XEX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35106 | PA      | $36233.58     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-39                                                                      | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6674 | PA      | $946.31       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-22, Class UD                                                            | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131112 | PA      | $130185.49    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                          | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12214 | PA      | $12418.84     | 0.00%             | 2042-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-33, Class IA                                                            | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139240 | PA      | $17916.52     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-52, Class SX                                                            | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3118 | PA      | $3549.54      | 0.00%             | 2031-10-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-44, Class IU                                                            | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186937 | PA      | $21493.60     | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                 | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56744 | PA      | $58541.85     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64675 | PA      | $64536.62     | 0.00%             | 2042-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-72, Class IE                                                            | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81545 | PA      | $9511.38      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-105, Class AZ                                                           | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402032 | PA      | $418732.96    | 0.01%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-74, Class SH                                                            | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14170 | PA      | $12833.88     | 0.00%             | 2033-08-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-86, Class ZA                                                            | CUSIP: 31393EF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83677 | PA      | $86422.27     | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-91, Class SD                                                            | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9821 | PA      | $10349.09     | 0.00%             | 2033-09-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2552, Class FP                                                              | CUSIP: 31393HUX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158691 | PA      | $160545.78    | 0.00%             | 2033-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2557, Class HL                                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130646 | PA      | $132410.11    | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782394 | PA      | $793843.40    | 0.01%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                   | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359074 | PA      | $377497.12    | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2586, Class WI                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36942 | PA      | $4788.35      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2611, Class SQ                                                              | CUSIP: 31393QYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12663 | PA      | $13046.29     | 0.00%             | 2033-05-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                   | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601308 | PA      | $579698.02    | 0.01%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2631, Class SA                                                              | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6431 | PA      | $6791.67      | 0.00%             | 2033-06-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-116, Class SB                                                           | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65655 | PA      | $5867.25      | 0.00%             | 2033-11-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103280 | PA      | $108466.76    | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W17, Class 1A7                                               | CUSIP: 31393UAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466990 | PA      | $1496757.47   | 0.02%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-122, Class ZJ                                                           | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418180 | PA      | $439119.51    | 0.01%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class PI                                                           | CUSIP: 31393UUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5320 | PA      | $92.69        | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class OA                                                           | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       734 | PA      | $716.91       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-130, Class SX                                                           | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1319 | PA      | $1369.48      | 0.00%             | 2034-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W4, Class A7                                          | CUSIP: 31393X3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250817 | PA      | $252756.60    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-36, Class SA                                                            | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41120 | PA      | $45955.16     | 0.00%             | 2034-05-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A1                                       | CUSIP: 31393XFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102257 | PA      | $106383.13    | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51095 | PA      | $53068.81     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-25, Class SA                                                            | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18035 | PA      | $19686.88     | 0.00%             | 2034-04-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-17, Class H                                                             | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131176 | PA      | $135727.20    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-51, Class SY                                                            | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6186 | PA      | $6429.36      | 0.00%             | 2034-07-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-28, Class PF                                                            | CUSIP: 31393YFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5136 | PA      | $5135.56      | 0.00%             | 2034-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class EP                                                            | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2057 | PA      | $2046.22      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class SK                                                            | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6861 | PA      | $7374.17      | 0.00%             | 2034-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class QB                                                            | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20738 | PA      | $22358.26     | 0.00%             | 2034-05-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                       | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80353 | PA      | $86122.44     | 0.00%             | 2044-01-25      | Variable      | 9.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                        | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220327 | PA      | $230924.55    | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-50, Class VZ                                                            | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606935 | PA      | $633834.70    | 0.01%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class FH                                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316246 | PA      | $318154.40    | 0.01%             | 2032-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class SK                                                            | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12624 | PA      | $13163.38     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-59, Class BG                                                            | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20408 | PA      | $18343.72     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-7, Class LO                                                             | CUSIP: 31394B5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121427 | PA      | $111661.17    | 0.00%             | 2035-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-13, Class FL                                                            | CUSIP: 31394B7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30767 | PA      | $30578.59     | 0.00%             | 2035-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-87, Class F                                                             | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58800 | PA      | $59138.33     | 0.00%             | 2034-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-15, Class MO                                                            | CUSIP: 31394CVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55251 | PA      | $47513.88     | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-56, Class S                                                             | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94392 | PA      | $7136.64      | 0.00%             | 2035-07-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-68, Class PG                                                            | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67543 | PA      | $69386.44     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-73, Class PS                                                            | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18288 | PA      | $18975.59     | 0.00%             | 2035-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SV                                                            | CUSIP: 31394EKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45301 | PA      | $3370.76      | 0.00%             | 2035-07-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SG                                                            | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39148 | PA      | $43563.96     | 0.00%             | 2035-07-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-84, Class XM                                                            | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29353 | PA      | $30293.20     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123165 | PA      | $122113.47    | 0.00%             | 2045-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class AO                                                            | CUSIP: 31394FVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4983 | PA      | $4529.76      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class ES                                                            | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56351 | PA      | $59688.63     | 0.00%             | 2035-10-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2671, Class S                                                               | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11278 | PA      | $12480.35     | 0.00%             | 2033-09-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                    | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35435 | PA      | $29430.98     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2692, Class SC                                                              | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32547 | PA      | $34893.39     | 0.00%             | 2033-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2204, Class GB                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       615 | PA      | $66.59        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2722, Class PF                                                              | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282352 | PA      | $282764.99    | 0.00%             | 2033-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                  | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37673 | PA      | $19523.14     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2763, Class ZA                                                              | CUSIP: 31394TMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094654 | PA      | $1152976.29   | 0.02%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-103, Class SC                                                           | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117871 | PA      | $114822.05    | 0.00%             | 2035-07-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-106, Class US                                                           | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21597 | PA      | $22855.51     | 0.00%             | 2035-11-25      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class HZ                                                            | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43636 | PA      | $45296.76     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38111 | PA      | $39178.43     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 3A                                                 | CUSIP: 31394VQB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237379 | PA      | $242627.75    | 0.00%             | 2045-06-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WQ                                                             | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164565 | PA      | $138718.19    | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WN                                                             | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603403 | PA      | $59354.44     | 0.00%             | 2036-03-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2779, Class ZC                                                              | CUSIP: 31394WGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721668 | PA      | $761970.68    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2802, Class ZY                                                              | CUSIP: 31394YRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186188 | PA      | $194594.67    | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-23, Class KO                                                            | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14062 | PA      | $12840.24     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class OH                                                            | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25815 | PA      | $22795.45     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class PS                                                            | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52469 | PA      | $47637.94     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class JO                                                            | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35604 | PA      | $31130.32     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2835, Class QO                                                              | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13945 | PA      | $12581.78     | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                  | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370706 | PA      | $341386.03    | 0.01%             | 2044-10-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                               | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62848 | PA      | $62198.62     | 0.00%             | 2046-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class P                                                             | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170467 | PA      | $150614.52    | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class GO                                                            | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64264 | PA      | $57425.15     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58                                                                      | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66552 | PA      | $58586.16     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58, Class AP                                                            | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24131 | PA      | $19848.43     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-53, Class US                                                            | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96405 | PA      | $7816.76      | 0.00%             | 2036-06-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-63, Class ZH                                                            | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76870 | PA      | $82940.09     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-56, Class FT                                                            | CUSIP: 31395NXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215732 | PA      | $217244.96    | 0.00%             | 2036-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2990, Class WP                                                              | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       267 | PA      | $275.98       | 0.00%             | 2035-06-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3035, Class Z                                                               | CUSIP: 31396ANL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365919 | PA      | $385072.88    | 0.01%             | 2035-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class EO                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40525 | PA      | $36402.52     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OG                                                              | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20152 | PA      | $17932.69     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OK                                                              | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43918 | PA      | $38808.92     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3134                                                                        | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6019 | PA      | $5046.29      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class OH                                                              | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3616 | PA      | $3168.64      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class ZB                                                              | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35291 | PA      | $37989.30     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GK                                                            | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       493 | PA      | $510.43       | 0.00%             | 2026-10-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GI                                                            | CUSIP: 31396K4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11763 | PA      | $65.06        | 0.00%             | 2026-10-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-65, Class QO                                                            | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25808 | PA      | $22402.80     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-78, Class BZ                                                            | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52306 | PA      | $56056.18     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-77, Class PC                                                            | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110463 | PA      | $114311.75    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class TO                                                            | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26968 | PA      | $22589.79     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-86, Class OB                                                            | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58469 | PA      | $50511.21     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class HO                                                            | CUSIP: 31396KJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1410 | PA      | $1392.14      | 0.00%             | 2026-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMIC Trust, Series 2006-72, Class GO                                                       | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40200 | PA      | $35765.85     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-90, Class AO                                                            | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27415 | PA      | $24788.82     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-79, Class DO                                                            | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38960 | PA      | $33564.96     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-118, Class A2                                                           | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37655 | PA      | $36988.97     | 0.00%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-126, Class AO                                                           | CUSIP: 31396L4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117561 | PA      | $102659.41    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 1AF1                                        | CUSIP: 31396L5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33217 | PA      | $32882.97     | 0.00%             | 2046-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                          | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50108 | PA      | $51729.70     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-117, Class GS                                                           | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79772 | PA      | $7931.67      | 0.00%             | 2036-12-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120                                                                     | CUSIP: 31396LH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118833 | PA      | $16453.02     | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120, Class PF                                                           | CUSIP: 31396LJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20853 | PA      | $20680.02     | 0.00%             | 2036-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-119                                                                     | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25651 | PA      | $22878.21     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-111, Class EO                                                           | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21965 | PA      | $17981.82     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-115, Class OK                                                           | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63979 | PA      | $52508.31     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-105, Class ME                                                           | CUSIP: 31396LUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303229 | PA      | $315524.40    | 0.01%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-110                                                                     | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31349 | PA      | $27466.53     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3137, Class XP                                                              | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271570 | PA      | $287242.27    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3138                                                                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27992 | PA      | $24687.89     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3143, Class BC                                                              | CUSIP: 31396NG75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83643 | PA      | $87098.33     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3151                                                                        | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77853 | PA      | $66767.51     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-18, Class MZ                                                            | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147414 | PA      | $156370.82    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-130, Class GI                                                           | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50057 | PA      | $2911.97      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class ES                                                            | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1419967 | PA      | $156604.71    | 0.00%             | 2037-03-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class OP                                                            | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37890 | PA      | $33517.66     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-1, Class SD                                                             | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32521 | PA      | $57059.84     | 0.00%             | 2037-02-25      | Floating      | 13.88%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-7, Class SG                                                             | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254020 | PA      | $28073.36     | 0.00%             | 2036-08-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-22, Class SC                                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3720 | PA      | $125.76       | 0.00%             | 2037-03-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-16, Class FC                                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15989 | PA      | $16052.06     | 0.00%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-69                                                                      | CUSIP: 31396Q5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47346 | PA      | $39130.62     | 0.00%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-47, Class MT                                                            | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6630 | PA      | $6918.51      | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-52, Class PI                                                            | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106925 | PA      | $15850.46     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-63, Class P                                                             | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6292 | PA      | $6219.15      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3152, Class MO                                                              | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77317 | PA      | $68823.17     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3149, Class SO                                                              | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29844 | PA      | $24379.66     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3153, Class EO                                                              | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36650 | PA      | $32176.93     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3171, Class MO                                                              | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20917 | PA      | $19104.18     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3194, Class SA                                                              | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22480 | PA      | $2402.94      | 0.00%             | 2036-07-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3179, Class OA                                                              | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26319 | PA      | $23055.68     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W2, Class 1A1                                         | CUSIP: 31396VAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121894 | PA      | $120593.77    | 0.00%             | 2037-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-46, Class ZK                                                            | CUSIP: 31396VB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57907 | PA      | $60357.00     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                         | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48935 | PA      | $49893.25     | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-39, Class EF                                                            | CUSIP: 31396VSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14168 | PA      | $13988.77     | 0.00%             | 2037-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-78, Class CB                                                            | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39487 | PA      | $41870.38     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-54, Class WI                                                            | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120534 | PA      | $12687.45     | 0.00%             | 2037-06-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53099 | PA      | $52689.98     | 0.00%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-65, Class KI                                                            | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79218 | PA      | $8116.58      | 0.00%             | 2037-07-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-72, Class EK                                                            | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392578 | PA      | $44741.76     | 0.00%             | 2037-07-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-60, Class AX                                                            | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122868 | PA      | $16989.93     | 0.00%             | 2037-07-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                         | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6308 | PA      | $8692.94      | 0.00%             | 2037-07-25      | Floating      | 14.06%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77718 | PA      | $77198.61     | 0.00%             | 2037-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-76, Class ZG                                                            | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77752 | PA      | $80420.72     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-112, Class SA                                                           | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346810 | PA      | $46424.88     | 0.00%             | 2037-12-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-116, Class HI                                                           | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266315 | PA      | $15942.16     | 0.00%             | 2038-01-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                               | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115914 | PA      | $117107.78    | 0.00%             | 2036-06-27      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-79, Class SB                                                            | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10941 | PA      | $12970.82     | 0.00%             | 2037-08-25      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21140 | PA      | $21445.18     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-88, Class VI                                                            | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55934 | PA      | $4735.37      | 0.00%             | 2037-09-25      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-100, Class SM                                                           | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128062 | PA      | $13005.64     | 0.00%             | 2037-10-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-91, Class ES                                                            | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189686 | PA      | $21137.80     | 0.00%             | 2037-10-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-27, Class SN                                                            | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33796 | PA      | $3634.08      | 0.00%             | 2038-04-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-32, Class SA                                                            | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15307 | PA      | $1358.33      | 0.00%             | 2038-04-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-1, Class BI                                                             | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104155 | PA      | $8718.10      | 0.00%             | 2038-02-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-10, Class XI                                                            | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62057 | PA      | $5748.36      | 0.00%             | 2038-03-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-12, Class CO                                                            | CUSIP: 31396YND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193398 | PA      | $171894.75    | 0.00%             | 2038-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-16, Class IS                                                            | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72455 | PA      | $5893.73      | 0.00%             | 2038-03-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-20, Class SA                                                            | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70919 | PA      | $7672.30      | 0.00%             | 2038-03-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3200                                                                        | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56295 | PA      | $48699.88     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3219, Class DI                                                              | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35693 | PA      | $5816.83      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3232, Class ST                                                              | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75155 | PA      | $5994.69      | 0.00%             | 2036-10-15      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3237, Class AO                                                              | CUSIP: 31397CDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36377 | PA      | $30428.08     | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3260, Class CS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41589 | PA      | $3979.34      | 0.00%             | 2037-01-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3262, Class SG                                                              | CUSIP: 31397EMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5218 | PA      | $348.54       | 0.00%             | 2037-01-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class JO                                                              | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14314 | PA      | $12591.92     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class MO                                                              | CUSIP: 31397F6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21755 | PA      | $19189.21     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3275, Class FL                                                              | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10443 | PA      | $10374.29     | 0.00%             | 2037-02-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3290, Class SB                                                              | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125292 | PA      | $10973.80     | 0.00%             | 2037-03-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3288, Class GS                                                              | CUSIP: 31397FV66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6264 | PA      | $6454.95      | 0.00%             | 2037-03-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3305, Class MB                                                              | CUSIP: 31397GU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22360 | PA      | $22455.71     | 0.00%             | 2034-07-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3318, Class BT                                                              | CUSIP: 31397HCY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357590 | PA      | $361318.83    | 0.01%             | 2034-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3316, Class JO                                                              | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7252 | PA      | $6078.63      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3322, Class NS                                                              | CUSIP: 31397HMC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273023 | PA      | $272709.33    | 0.00%             | 2037-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3371, Class FA                                                              | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18622 | PA      | $18609.47     | 0.00%             | 2037-09-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3373, Class TO                                                              | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48206 | PA      | $42094.43     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                   | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304284 | PA      | $1202290.84   | 0.02%             | 2037-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-53, Class CI                                                            | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34510 | PA      | $3515.58      | 0.00%             | 2038-07-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-44                                                                      | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8563 | PA      | $7696.95      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-6, Class GS                                                             | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37671 | PA      | $3147.17      | 0.00%             | 2039-02-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class SA                                                            | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84005 | PA      | $7117.99      | 0.00%             | 2038-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class GP                                                            | CUSIP: 31397MRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8483 | PA      | $8997.22      | 0.00%             | 2038-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-81, Class SB                                                            | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77795 | PA      | $6134.72      | 0.00%             | 2038-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-4, Class BD                                                             | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2284 | PA      | $2117.45      | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-17, Class QS                                                            | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37830 | PA      | $3507.58      | 0.00%             | 2039-03-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-19, Class IP                                                            | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307571 | PA      | $51075.77     | 0.00%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3385, Class SN                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35278 | PA      | $2558.19      | 0.00%             | 2037-11-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3387, Class SA                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90296 | PA      | $7523.39      | 0.00%             | 2037-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3393, Class JO                                                              | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46307 | PA      | $42232.80     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3404, Class SC                                                              | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112563 | PA      | $11012.61     | 0.00%             | 2038-01-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-2, Class WA                                                             | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42604 | PA      | $44522.60     | 0.00%             | 2051-02-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-20, Class MW                                                            | CUSIP: 31397QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1644000 | PA      | $1685953.52   | 0.03%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-147, Class SA                                                           | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887455 | PA      | $106997.15    | 0.00%             | 2041-01-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3422, Class AI                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228525 | PA      | $2348.10      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-43, Class WA                                                            | CUSIP: 31397S5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55878 | PA      | $58507.67     | 0.00%             | 2051-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-30, Class LS                                                            | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154372 | PA      | $11459.81     | 0.00%             | 2041-04-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-39, Class ZA                                                            | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408473 | PA      | $426801.84    | 0.01%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3451, Class SA                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7481 | PA      | $531.37       | 0.00%             | 2038-05-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3461, Class LZ                                                              | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49916 | PA      | $53000.91     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-47, Class ZA                                                            | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168246 | PA      | $173586.67    | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-58, Class WA                                                            | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329223 | PA      | $326685.35    | 0.01%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3481, Class SJ                                                              | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129871 | PA      | $12691.66     | 0.00%             | 2038-08-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3511, Class SA                                                              | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33160 | PA      | $2811.81      | 0.00%             | 2039-02-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3537, Class MI                                                              | CUSIP: 31398CR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146801 | PA      | $16379.13     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3531, Class SA                                                              | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122557 | PA      | $10999.18     | 0.00%             | 2039-05-15      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3546, Class A                                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17977 | PA      | $18308.42     | 0.00%             | 2039-02-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3549, Class FA                                                              | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8380 | PA      | $8556.74      | 0.00%             | 2039-07-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class SC                                                            | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29564 | PA      | $2340.61      | 0.00%             | 2039-12-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class WA                                                            | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103773 | PA      | $106231.79    | 0.00%             | 2039-12-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                           | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185241 | PA      | $193020.66    | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-84, Class WS                                                            | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38689 | PA      | $3299.59      | 0.00%             | 2039-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-79, Class UA                                                            | CUSIP: 31398FPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6517 | PA      | $6724.94      | 0.00%             | 2038-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class OT                                                            | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180587 | PA      | $155832.70    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class IP                                                            | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78565 | PA      | $13123.55     | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-92, Class AD                                                            | CUSIP: 31398FVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8274 | PA      | $8274.03      | 0.00%             | 2039-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-103, Class MB                                                           | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216617 | PA      | $218314.08    | 0.00%             | 2039-12-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class ST                                                           | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94314 | PA      | $10256.34     | 0.00%             | 2040-01-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-1, Class WA                                                             | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222447 | PA      | $226350.96    | 0.00%             | 2040-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-113, Class FB                                                           | CUSIP: 31398GWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96705 | PA      | $96553.74     | 0.00%             | 2040-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3572, Class JS                                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52688 | PA      | $2639.84      | 0.00%             | 2039-09-15      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3604                                                                        | CUSIP: 31398KQQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55414 | PA      | $47384.86     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class AO                                                              | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55552 | PA      | $48232.26     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class BO                                                              | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55552 | PA      | $49183.33     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607                                                                        | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148272 | PA      | $124686.25    | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3611                                                                        | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63170 | PA      | $56667.48     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3623, Class LO                                                              | CUSIP: 31398LYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88331 | PA      | $74491.12     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621, Class BO                                                              | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75819 | PA      | $66705.15     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WA                                                            | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163713 | PA      | $167513.72    | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WB                                                            | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517817 | PA      | $525986.02    | 0.01%             | 2040-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-23, Class KS                                                            | CUSIP: 31398MZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51830 | PA      | $4468.35      | 0.00%             | 2040-02-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-123, Class FL                                                           | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27284 | PA      | $27123.70     | 0.00%             | 2040-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-130, Class CY                                                           | CUSIP: 31398N3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200509 | PA      | $1215908.68   | 0.02%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-111, Class AM                                                           | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312383 | PA      | $327237.97    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-49, Class SC                                                            | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98126 | PA      | $98468.25     | 0.00%             | 2040-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-35, Class SB                                                            | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68626 | PA      | $4645.69      | 0.00%             | 2040-04-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-40, Class FJ                                                            | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9816 | PA      | $9815.63      | 0.00%             | 2040-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-42, Class S                                                             | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31629 | PA      | $2793.08      | 0.00%             | 2040-05-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-39, Class OT                                                            | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46918 | PA      | $41324.10     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class CY                                                              | CUSIP: 31398QSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1163981 | PA      | $1179009.59   | 0.02%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class PY                                                              | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734157 | PA      | $727661.14    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-43, Class FD                                                            | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108383 | PA      | $108268.22    | 0.00%             | 2040-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-61, Class WA                                                            | CUSIP: 31398RPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69715 | PA      | $70915.63     | 0.00%             | 2040-06-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-125, Class SA                                                           | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239314 | PA      | $10874.38     | 0.00%             | 2040-11-25      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-68, Class SA                                                            | CUSIP: 31398TGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231369 | PA      | $20209.97     | 0.00%             | 2040-07-25      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class ME                                                           | CUSIP: 31398TX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271236 | PA      | $267402.64    | 0.00%             | 2040-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class SB                                                           | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334630 | PA      | $31427.07     | 0.00%             | 2049-11-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621                                                                        | CUSIP: 31398W2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109159 | PA      | $91851.42     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3632, Class BS                                                              | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241140 | PA      | $242727.43    | 0.00%             | 2040-02-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101334 | PA      | $104153.31    | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6529 | PA      | $6679.44      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1769 | PA      | $1778.69      | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53579 | PA      | $54503.13     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1694 | PA      | $1707.74      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2246 | PA      | $2297.78      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65445 | PA      | $67411.10     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18744 | PA      | $18888.65     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108580 | PA      | $111487.77    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402ER91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       349 | PA      | $345.52       | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44437 | PA      | $44752.06     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12297 | PA      | $12580.82     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17953 | PA      | $18354.12     | 0.00%             | 2034-08-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67486 | PA      | $69527.34     | 0.00%             | 2035-04-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11508 | PA      | $11762.09     | 0.00%             | 2034-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23558 | PA      | $23897.79     | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16803 | PA      | $17209.80     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57171 | PA      | $57827.22     | 0.00%             | 2033-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403C6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15531 | PA      | $16387.28     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13117 | PA      | $13277.99     | 0.00%             | 2035-06-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30381 | PA      | $31147.74     | 0.00%             | 2035-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19032 | PA      | $19646.40     | 0.00%             | 2033-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25742 | PA      | $26478.17     | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11975 | PA      | $12008.15     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23191 | PA      | $23614.01     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8148 | PA      | $8250.70      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14951 | PA      | $15162.61     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403NKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9536 | PA      | $9317.33      | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18308 | PA      | $18653.18     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16426 | PA      | $16818.50     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32354 | PA      | $32913.94     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79636 | PA      | $78658.79     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5782 | PA      | $5880.35      | 0.00%             | 2034-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404FQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10973 | PA      | $11111.53     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9796 | PA      | $9921.17      | 0.00%             | 2034-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404R3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5378 | PA      | $5325.60      | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404RW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93654 | PA      | $92277.88     | 0.00%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404UKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8595 | PA      | $8650.31      | 0.00%             | 2034-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4667 | PA      | $4774.55      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10367 | PA      | $10580.66     | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23617 | PA      | $24109.15     | 0.00%             | 2034-10-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93379 | PA      | $93592.61     | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21477 | PA      | $21738.78     | 0.00%             | 2034-10-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15321 | PA      | $15604.66     | 0.00%             | 2034-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130829 | PA      | $134083.69    | 0.00%             | 2035-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $5919.50      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22956 | PA      | $23591.76     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4147 | PA      | $4212.25      | 0.00%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29135 | PA      | $29267.24     | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20943 | PA      | $21356.24     | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2316 | PA      | $2362.17      | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5336 | PA      | $5376.04      | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15604 | PA      | $16332.82     | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44049 | PA      | $45258.72     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17460 | PA      | $17850.54     | 0.00%             | 2036-01-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13100 | PA      | $13392.09     | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31409TVS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26042 | PA      | $27412.63     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31409XPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6076 | PA      | $6117.05      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140AEL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14777557 | PA      | $14878814.50  | 0.24%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9869156 | PA      | $9856266.98   | 0.16%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E07B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312888 | PA      | $305569.85    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E6S94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1472404 | PA      | $1430969.87   | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140EVJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260205 | PA      | $245965.94    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140EVL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154011 | PA      | $145567.60    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F2XL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133058 | PA      | $1101527.63   | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140F4KN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323184 | PA      | $305466.50    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F5P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143937 | PA      | $136866.07    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F7KM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213814 | PA      | $203353.84    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F8LZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347946 | PA      | $329249.48    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FAMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500237 | PA      | $473589.16    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FANE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199170 | PA      | $188250.44    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FCZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1111361 | PA      | $1051504.56   | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FFTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645346 | PA      | $611770.67    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1005872 | PA      | $1001747.57   | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FRQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423454 | PA      | $1358252.43   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FUH50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412884 | PA      | $401365.02    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15069624 | PA      | $12601629.77  | 0.20%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6129512 | PA      | $5385116.48   | 0.09%             | 2064-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3175818 | PA      | $3019672.19   | 0.05%             | 2064-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8725900 | PA      | $8264945.97   | 0.13%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6443169 | PA      | $6653832.40   | 0.11%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5546762 | PA      | $5792203.49   | 0.09%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5961072 | PA      | $6132929.74   | 0.10%             | 2058-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14597022 | PA      | $14015790.92  | 0.22%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5893720 | PA      | $5941435.72   | 0.09%             | 2059-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4126782 | PA      | $3787810.04   | 0.06%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2536834 | PA      | $2241428.30   | 0.04%             | 2060-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12300312 | PA      | $11655811.21  | 0.18%             | 2054-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5607771 | PA      | $4815235.85   | 0.08%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8566297 | PA      | $7099727.94   | 0.11%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7080782 | PA      | $6437005.78   | 0.10%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3247791 | PA      | $2952495.60   | 0.05%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4153745 | PA      | $3504488.72   | 0.06%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9091503 | PA      | $8734424.49   | 0.14%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3668524 | PA      | $3469984.76   | 0.06%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2676454 | PA      | $2684164.90   | 0.04%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10627505 | PA      | $8808047.31   | 0.14%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6380065 | PA      | $5534098.30   | 0.09%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6478246 | PA      | $5889256.18   | 0.09%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9076209 | PA      | $8250888.67   | 0.13%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23955827 | PA      | $19854334.12  | 0.31%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11975540 | PA      | $9925152.18   | 0.16%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7452041 | PA      | $6338845.28   | 0.10%             | 2062-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6925258 | PA      | $5791091.39   | 0.09%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13867010 | PA      | $12028193.34  | 0.19%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8444073 | PA      | $7987042.22   | 0.13%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GTFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2012469 | PA      | $1954787.31   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794620 | PA      | $764431.10    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1779096 | PA      | $1727366.51   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446254 | PA      | $445022.64    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HDK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100498 | PA      | $1069548.97   | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HF7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708388 | PA      | $661813.58    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HLYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374106 | PA      | $372378.97    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1167593 | PA      | $1092374.83   | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HPKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144771 | PA      | $1133942.81   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HRQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2996488 | PA      | $2892344.03   | 0.05%             | 2033-10-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140J1CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23916761 | PA      | $21060241.13  | 0.33%             | 2030-09-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1162646 | PA      | $1149415.80   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7L29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1488136 | PA      | $1445249.82   | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939416 | PA      | $936145.44    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J96A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065938 | PA      | $1051898.96   | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1775145 | PA      | $1807038.21   | 0.03%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3424003 | PA      | $3025168.70   | 0.05%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10522862 | PA      | $8809869.85   | 0.14%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9292421 | PA      | $7869761.04   | 0.12%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18974792 | PA      | $16088672.37  | 0.26%             | 2033-01-01      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5878333 | PA      | $5009839.81   | 0.08%             | 2033-03-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11869803 | PA      | $10457942.19  | 0.17%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19098076 | PA      | $16710892.49  | 0.26%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JCGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10962795 | PA      | $10396860.28  | 0.16%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JJA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307359 | PA      | $305560.25    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270517 | PA      | $274793.69    | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1920356 | PA      | $1964236.82   | 0.03%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JPRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259428 | PA      | $257349.03    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JRPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122322 | PA      | $123006.26    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114279 | PA      | $1139258.39   | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002528 | PA      | $1022104.53   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429707 | PA      | $1456427.09   | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102213 | PA      | $1124608.98   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100119 | PA      | $101181.16    | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1856505 | PA      | $1890841.98   | 0.03%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840065 | PA      | $1882139.98   | 0.03%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2269886 | PA      | $2330286.81   | 0.04%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426538 | PA      | $448580.00    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1964248 | PA      | $2008703.08   | 0.03%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050348 | PA      | $1024008.35   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559061 | PA      | $567553.81    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020228 | PA      | $1022527.32   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325287 | PA      | $1286482.23   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3731872 | PA      | $3343023.59   | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1688721 | PA      | $1678957.79   | 0.03%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776219 | PA      | $750851.50    | 0.01%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2189701 | PA      | $2095844.11   | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2741401 | PA      | $2619648.01   | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1413871 | PA      | $1390836.20   | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639160 | PA      | $620846.98    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613872 | PA      | $595339.72    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262884 | PA      | $253952.45    | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K9BR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1370414 | PA      | $1389158.28   | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2846578 | PA      | $2666353.91   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1545174 | PA      | $1486394.28   | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KCD82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3625717 | PA      | $3113504.54   | 0.05%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4179525 | PA      | $3585764.04   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KEB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3906012 | PA      | $3505075.92   | 0.06%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3550522 | PA      | $3278376.15   | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2950690 | PA      | $2719965.50   | 0.04%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KHLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2744153 | PA      | $2666691.27   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KJBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1979936 | PA      | $1850519.98   | 0.03%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11913217 | PA      | $10280614.97  | 0.16%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2613573 | PA      | $2326686.44   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KPSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390039 | PA      | $1245629.72   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12760214 | PA      | $10460130.72  | 0.17%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KRF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2939026 | PA      | $2629160.29   | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KSXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7809378 | PA      | $6667784.98   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KX6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515483 | PA      | $481752.91    | 0.01%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140L2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13386446 | PA      | $11089139.47  | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8923378.70   | 0.14%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5949647 | PA      | $5147739.50   | 0.08%             | 2033-05-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCUP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $15125682.06  | 0.24%             | 2033-07-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10548049.80  | 0.17%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4224647.95   | 0.07%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20203000 | PA      | $17546930.38  | 0.28%             | 2031-09-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7565810 | PA      | $6739735.41   | 0.11%             | 2031-05-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9632000 | PA      | $8071012.84   | 0.13%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $19205003.91  | 0.30%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9179420 | PA      | $7852235.04   | 0.12%             | 2033-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LE6W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5438989 | PA      | $4714809.24   | 0.07%             | 2034-01-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5469618 | PA      | $4838020.52   | 0.08%             | 2031-11-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LECK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5598431.94   | 0.09%             | 2029-06-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEP27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11965000 | PA      | $9687327.28   | 0.15%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9844133 | PA      | $8731048.57   | 0.14%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8134322.00   | 0.13%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LES81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7441577 | PA      | $6682304.76   | 0.11%             | 2032-01-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3673081 | PA      | $3271190.54   | 0.05%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9190882 | PA      | $7904790.29   | 0.13%             | 2034-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5984150 | PA      | $5350820.68   | 0.08%             | 2032-08-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6463272 | PA      | $5779325.99   | 0.09%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16418000 | PA      | $14529455.68  | 0.23%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22120932 | PA      | $21164564.47  | 0.34%             | 2029-05-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5401000 | PA      | $4949108.38   | 0.08%             | 2034-09-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5704887 | PA      | $5404844.40   | 0.09%             | 2031-10-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2426764 | PA      | $2353087.08   | 0.04%             | 2031-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11034740 | PA      | $10531002.36  | 0.17%             | 2030-11-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7489453.70   | 0.12%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4644711 | PA      | $4197430.42   | 0.07%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3561875.68   | 0.06%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3720994 | PA      | $3265692.47   | 0.05%             | 2034-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4602414.91   | 0.07%             | 2034-04-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4358000 | PA      | $3784253.57   | 0.06%             | 2035-10-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4668227 | PA      | $4274764.83   | 0.07%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3288000 | PA      | $2909872.57   | 0.05%             | 2034-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8053000 | PA      | $7356408.82   | 0.12%             | 2032-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7656705.67   | 0.12%             | 2032-05-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5068750 | PA      | $4757666.42   | 0.08%             | 2030-07-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8925454 | PA      | $7993721.28   | 0.13%             | 2034-04-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9911444 | PA      | $9198093.85   | 0.15%             | 2032-04-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LG6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1752955 | PA      | $1732822.43   | 0.03%             | 2032-08-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9070000 | PA      | $8505482.84   | 0.13%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3389724 | PA      | $3281275.19   | 0.05%             | 2032-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGXV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184000 | PA      | $2121242.98   | 0.03%             | 2032-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6373997 | PA      | $6453847.57   | 0.10%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3880935 | PA      | $4001999.33   | 0.06%             | 2032-12-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6292077.78   | 0.10%             | 2032-12-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7507077.89   | 0.12%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21407000 | PA      | $20705922.46  | 0.33%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8090860 | PA      | $7894738.96   | 0.13%             | 2032-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11722931 | PA      | $11436861.94  | 0.18%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5928652 | PA      | $5825571.61   | 0.09%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9130000 | PA      | $8718254.71   | 0.14%             | 2034-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232556 | PA      | $1206627.80   | 0.02%             | 2032-10-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6265135 | PA      | $6092763.65   | 0.10%             | 2033-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2096000 | PA      | $1978052.50   | 0.03%             | 2038-04-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8596655 | PA      | $8360635.73   | 0.13%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1944393.16   | 0.03%             | 2032-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4238000 | PA      | $4253604.70   | 0.07%             | 2031-11-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871263 | PA      | $3898176.62   | 0.06%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4895768 | PA      | $4887885.77   | 0.08%             | 2031-01-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3826068 | PA      | $3829431.00   | 0.06%             | 2032-11-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHX70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6105000 | PA      | $6164087.24   | 0.10%             | 2032-12-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2073365.44   | 0.03%             | 2032-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5080000 | PA      | $5067998.91   | 0.08%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4655000 | PA      | $4798391.04   | 0.08%             | 2032-11-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJ4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5583405 | PA      | $5668576.73   | 0.09%             | 2030-11-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJ5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8383000 | PA      | $8424101.93   | 0.13%             | 2032-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4200823.92   | 0.07%             | 2032-08-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1924484 | PA      | $2033059.99   | 0.03%             | 2036-03-01      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2518808 | PA      | $2692684.61   | 0.04%             | 2032-11-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2380000 | PA      | $2501301.13   | 0.04%             | 2032-12-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2086969.42   | 0.03%             | 2031-08-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJDY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1442280 | PA      | $1499183.39   | 0.02%             | 2032-12-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5963748 | PA      | $6190174.87   | 0.10%             | 2030-02-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4146486.84   | 0.07%             | 2031-06-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007042 | PA      | $1046681.54   | 0.02%             | 2033-03-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4027359.88   | 0.06%             | 2030-12-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJV60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3373000 | PA      | $3437671.61   | 0.05%             | 2034-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3698000 | PA      | $3701561.69   | 0.06%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3575000 | PA      | $3649444.94   | 0.06%             | 2031-01-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5355080 | PA      | $5334636.87   | 0.08%             | 2031-05-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4095000 | PA      | $4143273.54   | 0.07%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5050000 | PA      | $5170026.53   | 0.08%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3644143 | PA      | $3712139.00   | 0.06%             | 2033-04-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987000 | PA      | $2020071.63   | 0.03%             | 2033-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4877601 | PA      | $5019121.00   | 0.08%             | 2031-09-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4973501.60   | 0.08%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4030000 | PA      | $4087017.37   | 0.06%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3956033 | PA      | $4072090.32   | 0.06%             | 2031-01-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3143661.73   | 0.05%             | 2033-05-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7296000 | PA      | $7486480.39   | 0.12%             | 2033-06-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9761359 | PA      | $9747213.39   | 0.15%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6583000 | PA      | $6649481.26   | 0.11%             | 2033-04-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKEL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703985 | PA      | $1689701.16   | 0.03%             | 2033-05-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10005000 | PA      | $10099755.05  | 0.16%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKF65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4484000 | PA      | $4530727.00   | 0.07%             | 2033-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4502168.96   | 0.07%             | 2033-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4907518 | PA      | $5014241.74   | 0.08%             | 2033-03-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2995000 | PA      | $3050231.93   | 0.05%             | 2033-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6630000 | PA      | $6800538.05   | 0.11%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8985930 | PA      | $9062194.07   | 0.14%             | 2030-09-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6299368 | PA      | $6281680.06   | 0.10%             | 2034-08-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2105322 | PA      | $2168826.64   | 0.03%             | 2030-04-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKQV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2508807 | PA      | $2526347.67   | 0.04%             | 2035-05-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5055692.15   | 0.08%             | 2033-06-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKUK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5235818 | PA      | $5314405.01   | 0.08%             | 2035-02-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKV26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6165464 | PA      | $6307911.50   | 0.10%             | 2030-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLC74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1291013 | PA      | $1343890.95   | 0.02%             | 2030-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2584280 | PA      | $2646712.93   | 0.04%             | 2030-10-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4102711 | PA      | $4173820.58   | 0.07%             | 2033-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3427000 | PA      | $3566557.31   | 0.06%             | 2031-01-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LUFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759063 | PA      | $655332.08    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LVMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15512596 | PA      | $12662298.31  | 0.20%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140M2TH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3765460 | PA      | $3212072.64   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140M5NA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18474183 | PA      | $18998206.44  | 0.30%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MFNE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7516812 | PA      | $6418644.90   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MG6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980947 | PA      | $879782.83    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9223775 | PA      | $7886572.85   | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236295 | PA      | $1149502.26   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2388442 | PA      | $2227790.92   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6853500 | PA      | $6120070.60   | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19827390 | PA      | $16902530.59  | 0.27%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7766468 | PA      | $6643201.67   | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MLRT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1101420 | PA      | $1054917.42   | 0.02%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MLSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1306300 | PA      | $1284488.12   | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MMWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1146455 | PA      | $1149436.62   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MPCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7317780 | PA      | $6779458.48   | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MST70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279045 | PA      | $275874.12    | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MURZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145416 | PA      | $1165199.48   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959784 | PA      | $971217.55    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1305040 | PA      | $1317984.35   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1366989 | PA      | $1395327.95   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1737967 | PA      | $1773196.89   | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1698164 | PA      | $1640143.63   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW7L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652936 | PA      | $661458.50    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MYW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2583246 | PA      | $2467507.53   | 0.04%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N15L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3322243 | PA      | $3330054.36   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7DV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1760949 | PA      | $1752429.61   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7UJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3835842 | PA      | $3855059.26   | 0.06%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N8HA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6207302 | PA      | $6353137.74   | 0.10%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N8YM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2405258 | PA      | $2420676.89   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9311883 | PA      | $9521688.58   | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10312369 | PA      | $10296212.68  | 0.16%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NPYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7558556 | PA      | $7554275.30   | 0.12%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NU3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871000 | PA      | $3953206.22   | 0.06%             | 2031-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5230182 | PA      | $5468373.10   | 0.09%             | 2036-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684000 | PA      | $711671.47    | 0.01%             | 2034-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4189477.96   | 0.07%             | 2033-01-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NV7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5436000 | PA      | $5522405.71   | 0.09%             | 2030-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550182 | PA      | $1602320.38   | 0.03%             | 2031-06-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6634000 | PA      | $6964449.29   | 0.11%             | 2032-01-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NYPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3343581.39   | 0.05%             | 2035-11-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140Q0RG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439000 | PA      | $1447309.94   | 0.02%             | 2035-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140Q1HY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4472000 | PA      | $4525465.49   | 0.07%             | 2032-11-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QALL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4151626 | PA      | $4081995.99   | 0.06%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QBP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4514189 | PA      | $4312069.78   | 0.07%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QBZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    968757 | PA      | $938102.59    | 0.01%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QCAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3608208 | PA      | $3336607.72   | 0.05%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QCFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818912 | PA      | $1702492.39   | 0.03%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4869442 | PA      | $4366362.86   | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12309824 | PA      | $11073052.61  | 0.18%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957404 | PA      | $2573393.97   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4528027 | PA      | $4232086.91   | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4224526 | PA      | $3629526.53   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5073067 | PA      | $4388761.76   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7936059 | PA      | $6819557.04   | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6210876 | PA      | $5569614.84   | 0.09%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55505964 | PA      | $47857866.74  | 0.76%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3609720 | PA      | $3234367.61   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25946200 | PA      | $22315927.53  | 0.35%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QN3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5879773 | PA      | $5467452.89   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13428606 | PA      | $11498051.18  | 0.18%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22045451 | PA      | $19011960.69  | 0.30%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8611596 | PA      | $8023934.31   | 0.13%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16459041 | PA      | $14747274.56  | 0.23%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3415303 | PA      | $3272876.33   | 0.05%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16459375 | PA      | $14768091.29  | 0.23%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QPN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941293 | PA      | $917691.35    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3291101 | PA      | $3237167.75   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4561798 | PA      | $4487039.65   | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3930318 | PA      | $3977240.73   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7789475 | PA      | $7464627.51   | 0.12%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9865141 | PA      | $8799637.30   | 0.14%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4194286 | PA      | $4202332.43   | 0.07%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W06D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17339937 | PA      | $14900452.71  | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W0MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9776608 | PA      | $8401226.75   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W12D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3346987 | PA      | $2892718.53   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W1WB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15138065 | PA      | $13563860.57  | 0.22%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X5YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1918155 | PA      | $1895478.34   | 0.03%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X6W31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8498892 | PA      | $7650288.36   | 0.12%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2804201 | PA      | $2526908.50   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X8XB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000657 | PA      | $5184447.10   | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X9M44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6248723 | PA      | $5401375.98   | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10185274 | PA      | $8785072.16   | 0.14%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17303486 | PA      | $14787489.19  | 0.23%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10538668 | PA      | $9085410.02   | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XEB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8028932 | PA      | $7152687.74   | 0.11%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5898220 | PA      | $5114951.76   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFGX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21937854 | PA      | $19672773.70  | 0.31%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFRJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4346455 | PA      | $3911048.01   | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6872256 | PA      | $6403318.37   | 0.10%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19244999 | PA      | $17118342.54  | 0.27%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3254392 | PA      | $3119012.75   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4188780 | PA      | $3753182.69   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6567931 | PA      | $5629030.84   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XL6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19466845 | PA      | $15954649.40  | 0.25%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4023143 | PA      | $3477136.49   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8207774 | PA      | $7029973.87   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XN4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16004238 | PA      | $13756776.19  | 0.22%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4273826 | PA      | $3832564.06   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17131576 | PA      | $15962531.99  | 0.25%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNRL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8440058 | PA      | $7228237.40   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12634337 | PA      | $11320457.14  | 0.18%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12218355 | PA      | $10164368.62  | 0.16%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8222352 | PA      | $7118606.06   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14737960 | PA      | $13252747.92  | 0.21%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13316768 | PA      | $11902969.84  | 0.19%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17922 | PA      | $18361.30     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27608 | PA      | $28518.76     | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23892 | PA      | $24380.81     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19853 | PA      | $20569.32     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13289 | PA      | $13847.33     | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31259 | PA      | $32853.33     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41470 | PA      | $43964.05     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75466 | PA      | $77498.27     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16962 | PA      | $17545.19     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410KUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28869 | PA      | $30152.41     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414988 | PA      | $436573.90    | 0.01%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1292494 | PA      | $1357380.10   | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16272 | PA      | $16610.64     | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410PMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52382 | PA      | $54787.88     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6961 | PA      | $7106.49      | 0.00%             | 2036-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31057 | PA      | $32118.36     | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5066 | PA      | $5230.47      | 0.00%             | 2036-10-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       265 | PA      | $271.79       | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7402 | PA      | $7543.11      | 0.00%             | 2036-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217031 | PA      | $229939.27    | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56226 | PA      | $57325.69     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228618 | PA      | $236779.68    | 0.00%             | 2036-03-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124335 | PA      | $128299.63    | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21068 | PA      | $22298.03     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5791 | PA      | $5943.02      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35141 | PA      | $37000.13     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22358 | PA      | $23896.90     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31413STL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228425 | PA      | $235728.19    | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31415P6U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64615 | PA      | $67795.22     | 0.00%             | 2036-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14038 | PA      | $14821.66     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48466 | PA      | $50730.75     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18195 | PA      | $18634.93     | 0.00%             | 2037-07-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91738 | PA      | $95745.22     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416RZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193544 | PA      | $190516.25    | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31416XA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67839 | PA      | $64633.93     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130716 | PA      | $137419.47    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31417FPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270203 | PA      | $250849.62    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417G4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1737656 | PA      | $1708452.81   | 0.03%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47354 | PA      | $47028.23     | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417WCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79478 | PA      | $85436.12     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417YU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216196 | PA      | $213496.27    | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169464 | PA      | $166078.27    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251253 | PA      | $239979.96    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501909 | PA      | $491880.91    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222748 | PA      | $1167887.90   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1369584 | PA      | $1308128.57   | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382526 | PA      | $365359.46    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900862 | PA      | $881743.17    | 0.01%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663355 | PA      | $630304.77    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AWN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464982 | PA      | $431698.76    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88045 | PA      | $83658.22     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2829344 | PA      | $2674282.41   | 0.04%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562560 | PA      | $531722.20    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104743 | PA      | $99002.58     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151129 | PA      | $142847.25    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13019051 | PA      | $11620788.48  | 0.18%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7354512 | PA      | $6308426.99   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42656940 | PA      | $36626216.32  | 0.58%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6279312 | PA      | $5342946.01   | 0.08%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8488681 | PA      | $7269816.17   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249129 | PA      | $269307.60    | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418M3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $76.95        | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11987 | PA      | $12054.54     | 0.00%             | 2037-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5405 | PA      | $5588.12      | 0.00%             | 2037-12-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114302 | PA      | $122065.24    | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418SQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941634 | PA      | $970147.27    | 0.02%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418UCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32639 | PA      | $33959.24     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418WQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111379 | PA      | $112031.15    | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9134 | PA      | $9344.88      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427MJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14517528 | PA      | $12998406.50  | 0.21%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427MSR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20343892 | PA      | $17481864.18  | 0.28%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427NUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22314236 | PA      | $22559914.46  | 0.36%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GR5S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5541737 | PA      | $5426298.73   | 0.09%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GTTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18908957 | PA      | $19082205.78  | 0.30%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                   | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58404 | PA      | $57549.23     | 0.00%             | 2034-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                 | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124788 | PA      | $55497.81     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                  | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2363204 | PA      | $222076.23    | 0.00%             | 2037-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                 | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4419572.85   | 0.07%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR2, Class C                                                  | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3901901.20   | 0.06%             | 2038-09-17      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                 | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11450000 | PA      | $11224082.34  | 0.18%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                 | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6100000 | PA      | $5978256.20   | 0.09%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                 | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11712000 | PA      | $11608238.71  | 0.18%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E2                                                 | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5235000 | PA      | $5167932.32   | 0.08%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2021-MN1, Class M1                                                      | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |   1935773 | PA      | $1931200.81   | 0.03%             | 2051-01-25      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-3, Class MBU                              | CUSIP: 35563P5A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2048146 | PA      | $1389395.56   | 0.02%             | 2061-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                              | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7611571 | PA      | $6693205.32   | 0.11%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MBU                              | CUSIP: 35563P7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10135874 | PA      | $7598002.53   | 0.12%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                               | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2062471 | PA      | $1891309.64   | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                             | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13417958 | PA      | $12546959.38  | 0.20%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                             | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9881138 | PA      | $9254454.13   | 0.15%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                             | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8257865 | PA      | $7875395.36   | 0.12%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA                               | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12007109 | PA      | $11695618.27  | 0.19%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                             | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6745268 | PA      | $6399994.80   | 0.10%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                               | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2117840 | PA      | $1912947.01   | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                             | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2404884 | PA      | $2312920.43   | 0.04%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                               | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13037722 | PA      | $11100260.11  | 0.18%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                             | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5037565 | PA      | $4780850.57   | 0.08%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                             | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1895638 | PA      | $1791841.84   | 0.03%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MT                               | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3451790 | PA      | $2868512.44   | 0.05%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                             | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3236658 | PA      | $2953302.74   | 0.05%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                               | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3836440 | PA      | $2731365.81   | 0.04%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                               | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12124086 | PA      | $10380839.14  | 0.16%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                              | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000529 | PA      | $9184155.02   | 0.15%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                             | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5087378 | PA      | $4607639.17   | 0.07%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                               | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10725467 | PA      | $9493679.48   | 0.15%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                    | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8308652 | PA      | $7177210.56   | 0.11%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class TTW                                    | CUSIP: 35563VCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9480376 | PA      | $9356224.75   | 0.15%             | 2065-06-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                          | Seasoned Loans Structured Transaction Trust, Series 2025-2, Class A1                             | CUSIP: 35564C2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18481710 | PA      | $17413862.55  | 0.28%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K66, Class B                                                   | CUSIP: 35708QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $994128.40    | 0.02%             | 2027-07-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1240000 | PA      | $1220494.80   | 0.02%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K73, Class B                                                   | CUSIP: 35708YAS5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1134904.30   | 0.02%             | 2051-02-25      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DDG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264267 | PA      | $254476.50    | 0.00%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DEY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1068083 | PA      | $1028303.27   | 0.02%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599983 | PA      | $577635.42    | 0.01%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178654 | PA      | $171808.67    | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92333 | PA      | $88694.66     | 0.00%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125056 | PA      | $119615.98    | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DS53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104324 | PA      | $100934.80    | 0.00%             | 2041-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56302 | PA      | $53889.83     | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87438 | PA      | $84980.23     | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DZ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50194 | PA      | $48165.63     | 0.00%             | 2041-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298775 | PA      | $291526.66    | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102264 | PA      | $99100.78     | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231967 | PA      | $225293.94    | 0.00%             | 2041-06-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473516 | PA      | $474385.57    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1788294 | PA      | $1844314.54   | 0.03%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36179UZJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344105 | PA      | $311640.32    | 0.00%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179VMJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65887 | PA      | $67949.59     | 0.00%             | 2050-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179X2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18757166 | PA      | $16309959.87  | 0.26%             | 2053-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7357164 | PA      | $6640027.56   | 0.11%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12838870 | PA      | $10717937.91  | 0.17%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XHT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2158820 | PA      | $1799879.85   | 0.03%             | 2052-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12046823 | PA      | $10470799.88  | 0.17%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2766780 | PA      | $2307357.44   | 0.04%             | 2052-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10625821 | PA      | $9240641.17   | 0.15%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2010653 | PA      | $1685934.84   | 0.03%             | 2053-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40023828 | PA      | $34796424.80  | 0.55%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1108016 | PA      | $966131.34    | 0.02%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11979295 | PA      | $10851343.22  | 0.17%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1815831 | PA      | $1580408.46   | 0.03%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179Y2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10813332 | PA      | $9813093.46   | 0.16%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179Y5F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5415591 | PA      | $4910159.63   | 0.08%             | 2054-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8903231 | PA      | $7744369.51   | 0.12%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YDF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8224185 | PA      | $7575398.98   | 0.12%             | 2053-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3959042 | PA      | $3444998.15   | 0.05%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3131125 | PA      | $2916292.28   | 0.05%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12079208 | PA      | $10977986.68  | 0.17%             | 2054-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2499505 | PA      | $2295684.99   | 0.04%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3337345 | PA      | $2904490.53   | 0.05%             | 2054-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617B0XY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1984488 | PA      | $1882355.62   | 0.03%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502769 | PA      | $508832.00    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487423 | PA      | $487833.34    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643541 | PA      | $650147.84    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BJRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7872915 | PA      | $7492155.39   | 0.12%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BYFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10648479 | PA      | $10274862.80  | 0.16%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    938396 | PA      | $921005.21    | 0.01%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5048253 | PA      | $4939087.99   | 0.08%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4032840 | PA      | $4213385.39   | 0.07%             | 2052-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4437074 | PA      | $4696479.55   | 0.07%             | 2052-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FG4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4145450 | PA      | $4151515.69   | 0.07%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FGLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4331562 | PA      | $4335231.88   | 0.07%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G85E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315386 | PA      | $323123.93    | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9JQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825343 | PA      | $831368.24    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9K67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799768 | PA      | $808194.06    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765524 | PA      | $1815839.24   | 0.03%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    861644 | PA      | $870691.34    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649057 | PA      | $660723.92    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741915 | PA      | $735108.38    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617H0PS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1688223 | PA      | $1695461.07   | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HAA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1464934 | PA      | $1489379.13   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HD6Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680176 | PA      | $670310.40    | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1037347 | PA      | $1031828.09   | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617HGFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2037906 | PA      | $2046278.65   | 0.03%             | 2048-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    938751 | PA      | $936953.21    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HNPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1583727 | PA      | $1590363.67   | 0.03%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142063 | PA      | $143440.54    | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    879278 | PA      | $896233.75    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1851319 | PA      | $1821616.12   | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801726 | PA      | $788862.72    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX6B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2294416 | PA      | $2257599.01   | 0.04%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496766 | PA      | $501984.05    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXVX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305659 | PA      | $309015.11    | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1007130 | PA      | $1037801.22   | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902280 | PA      | $931312.55    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333193 | PA      | $339467.06    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395730 | PA      | $401178.38    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683531 | PA      | $691884.00    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882491 | PA      | $873572.57    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    962759 | PA      | $978336.80    | 0.02%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696625 | PA      | $682436.01    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JKQS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1259329 | PA      | $1291065.33   | 0.02%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2164986 | PA      | $2053620.43   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173518 | PA      | $1117541.12   | 0.02%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585352 | PA      | $555770.14    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135725 | PA      | $137004.63    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JR5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1411344 | PA      | $1417142.31   | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1606666 | PA      | $1613267.10   | 0.03%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1089613 | PA      | $1109415.86   | 0.02%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSML7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2250019 | PA      | $2293775.38   | 0.04%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1422082 | PA      | $1442128.63   | 0.02%             | 2049-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2308155 | PA      | $2308722.41   | 0.04%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSSQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522031 | PA      | $489758.03    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1012219 | PA      | $978261.40    | 0.02%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1167516 | PA      | $1178627.88   | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669286 | PA      | $674104.84    | 0.01%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2647509 | PA      | $2669793.67   | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K1XU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2200163 | PA      | $2173682.27   | 0.03%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526140 | PA      | $516260.70    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1YK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120154 | PA      | $120712.43    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310693 | PA      | $315064.94    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303183 | PA      | $289083.65    | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208650 | PA      | $205302.69    | 0.00%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256416 | PA      | $261096.91    | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343651 | PA      | $348487.57    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368259 | PA      | $373440.56    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1156169 | PA      | $1100247.81   | 0.02%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4AG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    710868 | PA      | $699462.36    | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    990444 | PA      | $996825.79    | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1793229 | PA      | $1806300.93   | 0.03%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    547879 | PA      | $557472.15    | 0.01%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1733345 | PA      | $1652707.29   | 0.03%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1822225 | PA      | $1736326.59   | 0.03%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2427027 | PA      | $2450127.15   | 0.04%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2362967 | PA      | $2379979.71   | 0.04%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3480422 | PA      | $3522416.85   | 0.06%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2101913 | PA      | $2067863.77   | 0.03%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2943440 | PA      | $2917118.33   | 0.05%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KFSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314584 | PA      | $302282.43    | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708284 | PA      | $688452.77    | 0.01%             | 2040-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    899989 | PA      | $884365.67    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667500 | PA      | $683206.49    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568075 | PA      | $579914.21    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850358 | PA      | $862324.92    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9GD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1256022 | PA      | $1241298.65   | 0.02%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    681117 | PA      | $695235.39    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219605 | PA      | $226289.36    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642974 | PA      | $664071.29    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    814485 | PA      | $842447.29    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320627 | PA      | $334180.91    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    536281 | PA      | $541914.13    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453526 | PA      | $458289.54    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420614 | PA      | $1442244.89   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1328388 | PA      | $1350485.57   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643595 | PA      | $660081.32    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LCDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596823 | PA      | $578399.58    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685767 | PA      | $649551.36    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1462878 | PA      | $1384538.57   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1085021 | PA      | $1021015.77   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5076268 | PA      | $4726526.58   | 0.07%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LET53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315402 | PA      | $317742.32    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1526642 | PA      | $1417739.49   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFS93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1013067 | PA      | $1027322.45   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229691 | PA      | $235521.28    | 0.00%             | 2049-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649345 | PA      | $600796.74    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    550255 | PA      | $524995.99    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    728314 | PA      | $694435.99    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    920214 | PA      | $876268.49    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    505754 | PA      | $497638.52    | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516860 | PA      | $524133.75    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487258 | PA      | $479440.91    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1162510 | PA      | $1143857.70   | 0.02%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585783 | PA      | $594027.29    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349113 | PA      | $354026.14    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1421128 | PA      | $1398326.07   | 0.02%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    948665 | PA      | $962014.82    | 0.02%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742403 | PA      | $758378.79    | 0.01%             | 2049-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1178522 | PA      | $1080978.01   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022995 | PA      | $976064.78    | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856299 | PA      | $816482.30    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1649471 | PA      | $1623013.64   | 0.03%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LKPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2536420 | PA      | $2405950.89   | 0.04%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LMPX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713765 | PA      | $680119.25    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3382808 | PA      | $3187797.35   | 0.05%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1169826 | PA      | $1109615.89   | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNR71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4459161 | PA      | $4249864.22   | 0.07%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNRT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5482415 | PA      | $4954868.93   | 0.08%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456035 | PA      | $1324778.97   | 0.02%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144322 | PA      | $130934.11    | 0.00%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2045787 | PA      | $1861352.58   | 0.03%             | 2050-06-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3957767 | PA      | $3600954.86   | 0.06%             | 2050-07-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2190191 | PA      | $2085631.85   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    561734 | PA      | $543642.85    | 0.01%             | 2050-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764260 | PA      | $770300.06    | 0.01%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1749268 | PA      | $1677836.11   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2797511 | PA      | $2658775.07   | 0.04%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578200 | PA      | $534269.37    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1807468 | PA      | $1722296.39   | 0.03%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    807731 | PA      | $771939.78    | 0.01%             | 2050-02-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LUSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999058 | PA      | $927135.32    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LWS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1520811 | PA      | $1502987.96   | 0.02%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LXWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763957 | PA      | $769736.21    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LY4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268788 | PA      | $256283.08    | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6691247 | PA      | $6137334.87   | 0.10%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520439 | PA      | $493669.26    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747896 | PA      | $675004.47    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746981 | PA      | $708553.56    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3269988 | PA      | $2999296.52   | 0.05%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708829 | PA      | $648526.48    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381098 | PA      | $363404.53    | 0.01%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264559 | PA      | $259338.12    | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MASZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2232008 | PA      | $2004087.24   | 0.03%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434649 | PA      | $412693.10    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2062677 | PA      | $1962943.34   | 0.03%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936536 | PA      | $865955.04    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MJN24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2599931 | PA      | $2384722.90   | 0.04%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1087153 | PA      | $1106948.44   | 0.02%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4175542 | PA      | $3768577.03   | 0.06%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2669908 | PA      | $2462093.20   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4505975 | PA      | $3874691.10   | 0.06%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2863872 | PA      | $2810289.71   | 0.04%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514944 | PA      | $464755.99    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947599 | PA      | $869153.24    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1666998 | PA      | $1597821.11   | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712220 | PA      | $678789.84    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1580495 | PA      | $1461385.96   | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSHU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1384908 | PA      | $1293922.07   | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3156173 | PA      | $2848581.37   | 0.05%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSQX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488998 | PA      | $473308.82    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSRR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4020148 | PA      | $3608443.08   | 0.06%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1114970 | PA      | $1039348.88   | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2614228 | PA      | $2430094.99   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3368165 | PA      | $3116408.91   | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3961213 | PA      | $3669630.04   | 0.06%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2801811 | PA      | $2640870.91   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2849337 | PA      | $2718231.35   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N4MV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    684876 | PA      | $706445.16    | 0.01%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9L76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5241732 | PA      | $4807797.89   | 0.08%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4655959 | PA      | $4270509.53   | 0.07%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836993 | PA      | $1742491.71   | 0.03%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9RB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3251710 | PA      | $2966958.97   | 0.05%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    934185 | PA      | $923237.13    | 0.01%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4545206 | PA      | $4168963.85   | 0.07%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NFUP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078175 | PA      | $1031220.07   | 0.02%             | 2050-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097632 | PA      | $1091166.25   | 0.02%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NGHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    560219 | PA      | $570948.91    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196484 | PA      | $198427.38    | 0.00%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180066 | PA      | $1183814.88   | 0.02%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1960030 | PA      | $1976996.28   | 0.03%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391115 | PA      | $392569.05    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNU34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    670040 | PA      | $638054.19    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1320143 | PA      | $1221496.22   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834362 | PA      | $771487.00    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1329533 | PA      | $1228524.87   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195686 | PA      | $1096714.13   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1233571 | PA      | $1173922.49   | 0.02%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2492718 | PA      | $2249792.29   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1595561 | PA      | $1476335.86   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1297974 | PA      | $1190549.98   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2687872 | PA      | $2425927.27   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1847182 | PA      | $1694276.63   | 0.03%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2535127 | PA      | $2192533.65   | 0.03%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630968 | PA      | $569485.25    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454721 | PA      | $1320189.31   | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612811 | PA      | $600338.50    | 0.01%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071804 | PA      | $952101.36    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2928249 | PA      | $2703933.42   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3165400 | PA      | $2880031.12   | 0.05%             | 2050-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577304 | PA      | $548674.51    | 0.01%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3189716 | PA      | $2902160.99   | 0.05%             | 2050-09-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1780199 | PA      | $1644925.42   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1293137 | PA      | $1230602.17   | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    967395 | PA      | $961990.16    | 0.02%             | 2050-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1276655 | PA      | $1152215.94   | 0.02%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1268739 | PA      | $1154349.27   | 0.02%             | 2050-10-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1186829 | PA      | $1097372.91   | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    990894 | PA      | $957148.42    | 0.02%             | 2050-10-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538692 | PA      | $510979.33    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    719121 | PA      | $704114.36    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305011 | PA      | $301436.43    | 0.00%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3004234 | PA      | $2873397.19   | 0.05%             | 2050-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272109 | PA      | $1216706.29   | 0.02%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956977 | PA      | $945761.23    | 0.01%             | 2050-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2776811 | PA      | $2655877.57   | 0.04%             | 2050-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q0FY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2935115 | PA      | $2820919.43   | 0.04%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581014 | PA      | $553850.91    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625043 | PA      | $595088.24    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163858 | PA      | $147951.69    | 0.00%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2082045 | PA      | $1879163.35   | 0.03%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538519 | PA      | $497613.55    | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1602081 | PA      | $1469485.86   | 0.02%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2257181 | PA      | $2087076.04   | 0.03%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1916106 | PA      | $1772896.99   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203863 | PA      | $1041895.79   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2119761 | PA      | $2037286.68   | 0.03%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4723720 | PA      | $4498227.29   | 0.07%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, Other                                                                                    | CUSIP: 3617QCSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2620841 | PA      | $2156995.25   | 0.03%             | 2041-09-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2687317 | PA      | $2464866.25   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2635398 | PA      | $2438420.08   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    864261 | PA      | $799127.78    | 0.01%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QNE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3308940 | PA      | $3138698.66   | 0.05%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    778913 | PA      | $738841.98    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886921 | PA      | $767039.00    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1458085 | PA      | $1349108.20   | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737797 | PA      | $684019.55    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1595229 | PA      | $1476975.29   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1251428 | PA      | $1157899.85   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632334 | PA      | $590617.18    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518931 | PA      | $496812.43    | 0.01%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485485 | PA      | $462398.97    | 0.01%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1753150 | PA      | $1517327.01   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1684333 | PA      | $1455166.89   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1592143 | PA      | $1372313.39   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438052 | PA      | $378890.33    | 0.01%             | 2045-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPES9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1911931 | PA      | $1653540.11   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2612417 | PA      | $2361084.34   | 0.04%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1390669 | PA      | $1374369.80   | 0.02%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908540 | PA      | $868971.41    | 0.01%             | 2050-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    842418 | PA      | $832544.86    | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690049 | PA      | $659995.88    | 0.01%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2121733 | PA      | $2029324.95   | 0.03%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8612230 | PA      | $7899697.61   | 0.13%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500411 | PA      | $1354272.69   | 0.02%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1648947 | PA      | $1488482.26   | 0.02%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1556751 | PA      | $1427905.05   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3261202 | PA      | $2991415.30   | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1967332 | PA      | $1819269.84   | 0.03%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000517 | PA      | $921575.51    | 0.01%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1350419 | PA      | $1286779.09   | 0.02%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1391174 | PA      | $1325660.72   | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345774 | PA      | $333766.90    | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413313 | PA      | $401009.58    | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722896 | PA      | $710854.05    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646785 | PA      | $640410.70    | 0.01%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484545 | PA      | $480966.17    | 0.01%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704426 | PA      | $649427.23    | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736485 | PA      | $700427.42    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1121764 | PA      | $1080580.55   | 0.02%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    648748 | PA      | $629429.98    | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292892 | PA      | $264736.26    | 0.00%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653164 | PA      | $591973.10    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594720 | PA      | $550272.10    | 0.01%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1201364 | PA      | $1109400.81   | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747912 | PA      | $675008.15    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2555633 | PA      | $2325216.45   | 0.04%             | 2050-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2461266 | PA      | $2339207.31   | 0.04%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2121998 | PA      | $1930682.26   | 0.03%             | 2050-12-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908266 | PA      | $840927.85    | 0.01%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1199143 | PA      | $1108759.51   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1725082 | PA      | $1569619.73   | 0.02%             | 2051-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499067 | PA      | $473409.19    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4135016 | PA      | $3818276.02   | 0.06%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    711338 | PA      | $642000.24    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    824954 | PA      | $756662.09    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U2GJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3361705 | PA      | $3188746.32   | 0.05%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1410038 | PA      | $1305536.07   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579406 | PA      | $536104.39    | 0.01%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1090601 | PA      | $1034496.36   | 0.02%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1423360 | PA      | $1234957.58   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1645064 | PA      | $1425786.83   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1910704 | PA      | $1653645.11   | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1379247 | PA      | $1193867.35   | 0.02%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    810117 | PA      | $699959.60    | 0.01%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    779608 | PA      | $711663.49    | 0.01%             | 2040-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    977135 | PA      | $844199.52    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2453814 | PA      | $2122130.77   | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    743864 | PA      | $687377.50    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435284 | PA      | $398294.29    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667097 | PA      | $636920.01    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4PP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    937204 | PA      | $805930.88    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UATG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1094817 | PA      | $1047816.78   | 0.02%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAU59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    757019 | PA      | $724520.26    | 0.01%             | 2051-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1484397 | PA      | $1420671.62   | 0.02%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UG7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097121 | PA      | $1084283.86   | 0.02%             | 2051-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UHAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6403717 | PA      | $5873895.45   | 0.09%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9382488 | PA      | $8642430.83   | 0.14%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5033124 | PA      | $4542781.01   | 0.07%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UMTN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1097454 | PA      | $1061525.03   | 0.02%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905367 | PA      | $820552.96    | 0.01%             | 2051-03-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1658650 | PA      | $1527802.51   | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764295 | PA      | $695418.07    | 0.01%             | 2051-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662362 | PA      | $611132.68    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933528 | PA      | $849398.23    | 0.01%             | 2051-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1502437 | PA      | $1391110.87   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1484348 | PA      | $1368969.93   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2290046 | PA      | $2109385.62   | 0.03%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2906725 | PA      | $2582243.58   | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1152299 | PA      | $1040045.23   | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1063334 | PA      | $959738.61    | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1345651 | PA      | $1245121.03   | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000853 | PA      | $975462.02    | 0.02%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511531 | PA      | $518738.10    | 0.01%             | 2050-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091332 | PA      | $1017218.38   | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    809866 | PA      | $767871.37    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047493 | PA      | $998413.35    | 0.02%             | 2051-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973410 | PA      | $897758.69    | 0.01%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V83Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2100334 | PA      | $1908723.95   | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1530387 | PA      | $1324515.74   | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1862776 | PA      | $1609318.55   | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1502636 | PA      | $1356281.42   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856011 | PA      | $817947.34    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727783 | PA      | $694298.71    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    758762 | PA      | $720462.58    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1572002 | PA      | $1450413.06   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1318497 | PA      | $1219983.06   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    924001 | PA      | $851464.24    | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1547481 | PA      | $1427793.12   | 0.02%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1719728 | PA      | $1586054.97   | 0.03%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1888061 | PA      | $1739114.41   | 0.03%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1052639 | PA      | $970812.79    | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1630036 | PA      | $1501436.71   | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2023915 | PA      | $1856445.19   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946562 | PA      | $875838.96    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1692124 | PA      | $1561508.93   | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VJEN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3256372 | PA      | $2995503.71   | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617VQYJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1093917 | PA      | $1007393.46   | 0.02%             | 2051-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VSKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3639644 | PA      | $3643750.25   | 0.06%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617VUE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10602765 | PA      | $11107635.85  | 0.18%             | 2071-11-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0A93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1811041 | PA      | $1643745.18   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1756438 | PA      | $1619929.87   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851923 | PA      | $785381.61    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    589647 | PA      | $546777.73    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954702 | PA      | $907831.69    | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    879687 | PA      | $811329.24    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1028758 | PA      | $948402.31    | 0.02%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596922 | PA      | $553899.34    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538785 | PA      | $513166.01    | 0.01%             | 2051-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHSS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2345006 | PA      | $2162319.79   | 0.03%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHST3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2584636 | PA      | $2372305.86   | 0.04%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WNCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9173008 | PA      | $9548672.51   | 0.15%             | 2071-08-20      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683606 | PA      | $630735.57    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922266 | PA      | $850585.81    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1167914 | PA      | $1076692.58   | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787920 | PA      | $726072.45    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902819 | PA      | $828115.30    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1169908 | PA      | $1116079.08   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1187333 | PA      | $1127664.78   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1292694 | PA      | $1168351.86   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2335205 | PA      | $2107736.06   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1558337 | PA      | $1406507.00   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1297188 | PA      | $1170814.63   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2171226 | PA      | $1973111.46   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602527 | PA      | $544759.28    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2474381 | PA      | $2233300.39   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1307778 | PA      | $1180372.44   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1214975 | PA      | $1096600.65   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454750 | PA      | $1340584.15   | 0.02%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915488 | PA      | $871952.83    | 0.01%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WRC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4983617 | PA      | $4575197.84   | 0.07%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WSPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2689777 | PA      | $2536164.03   | 0.04%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WT5T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5014784 | PA      | $5219536.41   | 0.08%             | 2071-09-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3932755 | PA      | $3670493.03   | 0.06%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WWPY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3447040 | PA      | $3578795.35   | 0.06%             | 2071-10-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X0WY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2184407 | PA      | $2014456.40   | 0.03%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1023039 | PA      | $886334.60    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1474909 | PA      | $1331139.27   | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1051214 | PA      | $969425.27    | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2149830 | PA      | $1971756.57   | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    906363 | PA      | $818052.10    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704013 | PA      | $649557.89    | 0.01%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1675025 | PA      | $1542881.51   | 0.02%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239345 | PA      | $1136694.86   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1199689 | PA      | $1137905.94   | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617XDMY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4953293 | PA      | $4977367.95   | 0.08%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3701241 | PA      | $3394978.75   | 0.05%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XLK53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7829654 | PA      | $7235915.79   | 0.11%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4261903 | PA      | $4433267.76   | 0.07%             | 2071-11-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6022189 | PA      | $6318353.90   | 0.10%             | 2071-12-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XPQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9199791 | PA      | $9544413.75   | 0.15%             | 2071-11-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XSV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9888061 | PA      | $10311206.55  | 0.16%             | 2071-11-20      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XVXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3273274 | PA      | $3018609.03   | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XW6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5159376 | PA      | $4656477.97   | 0.07%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9084562 | PA      | $9523125.12   | 0.15%             | 2071-12-20      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1902298 | PA      | $1716874.22   | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3766242 | PA      | $3399136.26   | 0.05%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0NZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2853432 | PA      | $2575325.01   | 0.04%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0PB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1260908 | PA      | $1162818.06   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7054088 | PA      | $6604689.89   | 0.10%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2441578 | PA      | $2261079.53   | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1385742 | PA      | $1277381.83   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5572161 | PA      | $5138626.93   | 0.08%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6409863 | PA      | $5906202.69   | 0.09%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3183834 | PA      | $2920126.35   | 0.05%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617YGBE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3185859 | PA      | $2905063.91   | 0.05%             | 2072-03-20      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YL2Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5108364 | PA      | $4622618.62   | 0.07%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8334397 | PA      | $7506304.09   | 0.12%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1755573 | PA      | $1618980.68   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4294841 | PA      | $3980274.86   | 0.06%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YSV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3473046 | PA      | $3530751.40   | 0.06%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461133 | PA      | $456630.10    | 0.01%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36181B5N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371620 | PA      | $358392.88    | 0.01%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36182NRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164587 | PA      | $163106.03    | 0.00%             | 2034-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183FAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126106 | PA      | $123721.25    | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183SX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764556 | PA      | $728535.53    | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                            | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                            | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116621 | PA      | $114337.52    | 0.00%             | 2035-06-19      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AA6Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1736471 | PA      | $1771723.81   | 0.03%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3618AGUJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3525718 | PA      | $3731922.06   | 0.06%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AGX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2805758 | PA      | $2852373.88   | 0.05%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXB50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2208067 | PA      | $2252893.12   | 0.04%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769840 | PA      | $794510.00    | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXBP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1705462 | PA      | $1713725.11   | 0.03%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    797400 | PA      | $813586.52    | 0.01%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801260 | PA      | $817526.77    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2212385 | PA      | $2257297.40   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971372 | PA      | $992285.71    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880652 | PA      | $899071.92    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1130673 | PA      | $1149459.48   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3618BHKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9230167 | PA      | $9600277.41   | 0.15%             | 2053-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2525406 | PA      | $2576676.88   | 0.04%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1599359 | PA      | $1631827.96   | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1831164 | PA      | $1889846.93   | 0.03%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3026504 | PA      | $3165849.13   | 0.05%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1176503 | PA      | $1214204.98   | 0.02%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2123724 | PA      | $2221505.55   | 0.04%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1424696 | PA      | $1453620.17   | 0.02%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BVFN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1427558 | PA      | $1504982.78   | 0.02%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618F3TM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203413 | PA      | $1223409.24   | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    618133 | PA      | $615800.48    | 0.01%             | 2063-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQR38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170630 | PA      | $169986.77    | 0.00%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQR87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185776 | PA      | $185075.19    | 0.00%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618FSK23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4236415 | PA      | $4478941.49   | 0.07%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618FSKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3410508 | PA      | $3592516.72   | 0.06%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FUSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232670 | PA      | $231792.39    | 0.00%             | 2063-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FUSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1002508 | PA      | $998726.18    | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FYDB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1085831 | PA      | $1081734.51   | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FYEF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1279000 | PA      | $1274174.33   | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618GRZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1030681 | PA      | $1073772.35   | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618GRZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1753846 | PA      | $1820763.68   | 0.03%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HHVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3375147 | PA      | $3563531.71   | 0.06%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HJTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9046925 | PA      | $8668023.38   | 0.14%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4447075 | PA      | $4701671.51   | 0.07%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3893182 | PA      | $4100976.69   | 0.07%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3459220 | PA      | $3657261.35   | 0.06%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSCR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2453673 | PA      | $2615882.42   | 0.04%             | 2054-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4251923 | PA      | $4478863.17   | 0.07%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSDN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1264812 | PA      | $1337222.97   | 0.02%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618J8GS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1450876 | PA      | $1507135.72   | 0.02%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618JLHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3514818 | PA      | $3747183.00   | 0.06%             | 2054-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618KSZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1630068 | PA      | $1717076.50   | 0.03%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6677969 | PA      | $7058876.18   | 0.11%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2534574 | PA      | $2631321.43   | 0.04%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1994514 | PA      | $2079053.68   | 0.03%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LLXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4488140 | PA      | $4678374.75   | 0.07%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LRJE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5068214 | PA      | $5168639.32   | 0.08%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LRJN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050338 | PA      | $1085287.85   | 0.02%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LRJU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6114339 | PA      | $6216901.59   | 0.10%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LV7E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5218537 | PA      | $5484339.83   | 0.09%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618M8U28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4994535 | PA      | $5285529.98   | 0.08%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618NJDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3215481 | PA      | $3311656.59   | 0.05%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1649395 | PA      | $1550920.26   | 0.02%             | 2046-08-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856147 | PA      | $823080.59    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2996188 | PA      | $2897796.73   | 0.05%             | 2048-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3730526 | PA      | $3610325.10   | 0.06%             | 2048-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454516 | PA      | $1406751.20   | 0.02%             | 2048-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666023 | PA      | $655334.11    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253125 | PA      | $233000.46    | 0.00%             | 2047-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818046 | PA      | $791192.32    | 0.01%             | 2047-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2817663 | PA      | $2725169.60   | 0.04%             | 2047-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3120994 | PA      | $3014685.89   | 0.05%             | 2047-11-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1982307 | PA      | $1918443.62   | 0.03%             | 2048-01-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1316195 | PA      | $1271346.16   | 0.02%             | 2048-08-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780781 | PA      | $768249.93    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3822237 | PA      | $3760893.72   | 0.06%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200MFH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5704 | PA      | $5816.56      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17038 | PA      | $17567.95     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62110 | PA      | $64273.02     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12791 | PA      | $13148.76     | 0.00%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11390 | PA      | $11802.97     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       619 | PA      | $631.87       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        49 | PA      | $48.68        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56 | PA      | $56.53        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30 | PA      | $29.92        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       461 | PA      | $468.16       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       135 | PA      | $136.41       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14126 | PA      | $14294.62     | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9891 | PA      | $10216.35     | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202WH69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5778 | PA      | $5919.86      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204US28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94783 | PA      | $92367.59     | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204USZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278126 | PA      | $270202.32    | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36208F4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1968 | PA      | $1994.29      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AQ2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67167 | PA      | $68094.58     | 0.00%             | 2033-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316227 | PA      | $298871.31    | 0.00%             | 2040-08-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    869287 | PA      | $821585.66    | 0.01%             | 2040-06-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXH68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917174 | PA      | $866295.80    | 0.01%             | 2040-04-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1539411 | PA      | $1436324.14   | 0.02%             | 2041-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1452803 | PA      | $1373059.41   | 0.02%             | 2041-02-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79875 | PA      | $75257.51     | 0.00%             | 2041-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    772256 | PA      | $708117.20    | 0.01%             | 2040-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3272023 | PA      | $3090428.41   | 0.05%             | 2040-11-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620C4Z78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30121 | PA      | $31310.07     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       686 | PA      | $698.58       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       267 | PA      | $270.76       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213E6A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11339 | PA      | $11599.34     | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213J5Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21478 | PA      | $22152.29     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225AWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10258 | PA      | $10341.86     | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15460 | PA      | $16299.25     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78632 | PA      | $80168.42     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105157 | PA      | $103260.90    | 0.00%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-3F, Class 3A8                                               | CUSIP: 36228FJ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2829 | PA      | $3212.72      | 0.00%             | 2034-02-25      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-7F, Class 1A4                                               | CUSIP: 36228FTW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73654 | PA      | $74123.82     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-13, Class 1A1                                               | CUSIP: 36228FYY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18752 | PA      | $18788.18     | 0.00%             | 2033-10-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3622A25K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3487112 | PA      | $3352324.73   | 0.05%             | 2048-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1327205 | PA      | $1268101.76   | 0.02%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445204 | PA      | $438467.74    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000010 | PA      | $3002540.79   | 0.05%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2904480 | PA      | $2841733.46   | 0.05%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8847316 | PA      | $8006067.75   | 0.13%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12014833 | PA      | $10952174.21  | 0.17%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13193740 | PA      | $12171813.97  | 0.19%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACD31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17117914 | PA      | $15638248.50  | 0.25%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7296079 | PA      | $7208576.69   | 0.11%             | 2073-01-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14445902 | PA      | $13549824.48  | 0.21%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18003413 | PA      | $16645787.43  | 0.26%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4768166 | PA      | $4865611.72   | 0.08%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AEBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13400673 | PA      | $13170502.93  | 0.21%             | 2052-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570852 | PA      | $526118.98    | 0.01%             | 2041-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LXZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52575 | PA      | $55269.70     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780778 | PA      | $752188.84    | 0.01%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230US26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808743 | PA      | $778695.18    | 0.01%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UTS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132547 | PA      | $127596.35    | 0.00%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1087746 | PA      | $446617.59    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 1AP                                               | CUSIP: 3623418L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44291 | PA      | $29420.47     | 0.00%             | 2036-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                            | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899941 | PA      | $774559.32    | 0.01%             | 2035-09-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                            | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409065 | PA      | $9088.23      | 0.00%             | 2035-09-25      | Variable      | 0.10%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188975 | PA      | $189958.62    | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36241KHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26248 | PA      | $27266.94     | 0.00%             | 2032-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269412 | PA      | $281412.57    | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62317 | PA      | $64266.08     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16750 | PA      | $16227.88     | 0.00%             | 2035-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69390 | PA      | $71874.98     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                              | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67627 | PA      | $60987.93     | 0.00%             | 2034-06-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                              | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28393 | PA      | $28660.67     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                            | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128564 | PA      | $121020.50    | 0.00%             | 2035-03-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2024-RPL2, Class A1                                  | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6099579 | PA      | $5982191.03   | 0.09%             | 2061-07-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36290TED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1915 | PA      | $1911.11      | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36291USW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31408 | PA      | $33074.77     | 0.00%             | 2037-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                                  | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7191069 | PA      | $7088004.05   | 0.11%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                                   | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12680607 | PA      | $12786663.53  | 0.20%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                           | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731891 | PA      | $46135.62     | 0.00%             | 2036-04-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK71                                                 | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7418500.80   | 0.12%             | 2050-11-27      | Variable      | 1.95%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2A                                                   | CUSIP: 364614AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2962607.34   | 0.05%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class A                                                               | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   5393324 | PA      | $5342933.93   | 0.08%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class B                                                               | CUSIP: 38217DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   4962888 | PA      | $4171242.23   | 0.07%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-1A, Class A                                                         | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162990 | PA      | $151110.44    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class A                                                          | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10389832 | PA      | $10478145.88  | 0.17%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class B                                                          | CUSIP: 38217YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2669185 | PA      | $2707354.13   | 0.04%             | 2056-07-15      | Fixed         | 8.12%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2019-2A, Class A                                                               | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1206120 | PA      | $1045099.77   | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-64, Class SN                                                                   | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83877 | PA      | $4927.44      | 0.00%             | 2039-07-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-72, Class SM                                                                   | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190181 | PA      | $15203.85     | 0.00%             | 2039-08-16      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-67, Class SA                                                                   | CUSIP: 38373AQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107694 | PA      | $8967.22      | 0.00%             | 2039-08-16      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-41, Class ID                                                                   | CUSIP: 38373QQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77419 | PA      | $719.01       | 0.00%             | 2033-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2001-35, Class SA                                                                   | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13287 | PA      | $38.18        | 0.00%             | 2031-08-16      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-79, Class SY                                                                   | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130091 | PA      | $773.47       | 0.00%             | 2037-12-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-36, Class SH                                                                   | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116808 | PA      | $629.61       | 0.00%             | 2038-04-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-34                                                                             | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21989 | PA      | $18439.50     | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-2, Class MS                                                                    | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77413 | PA      | $6031.18      | 0.00%             | 2038-01-16      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-112, Class SA                                                                  | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103097 | PA      | $573.40       | 0.00%             | 2033-12-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-46, Class AO                                                                   | CUSIP: 38374G5Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37852 | PA      | $31910.21     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-28, Class S                                                                    | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23585 | PA      | $26038.90     | 0.00%             | 2034-04-16      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-73, Class JL                                                                   | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368970 | PA      | $33772.86     | 0.00%             | 2034-09-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-71, Class ST                                                                   | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8282 | PA      | $8342.11      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-90, Class SI                                                                   | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109108 | PA      | $5352.88      | 0.00%             | 2034-10-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class KI                                                                   | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211185 | PA      | $19427.74     | 0.00%             | 2035-09-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class DP                                                                   | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18286 | PA      | $20141.45     | 0.00%             | 2035-06-17      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-72, Class AZ                                                                   | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142773 | PA      | $145398.83    | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-58, Class NI                                                                   | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323875 | PA      | $28996.24     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-22, Class AO                                                                   | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27434 | PA      | $23089.19     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-85                                                                             | CUSIP: 38374MHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80797 | PA      | $1757.24      | 0.00%             | 2035-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-16, Class OP                                                                   | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38998 | PA      | $32826.22     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-59, Class SD                                                                   | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37815 | PA      | $2392.97      | 0.00%             | 2036-10-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-10, Class SA                                                                   | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119572 | PA      | $8570.04      | 0.00%             | 2039-02-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-43, Class SA                                                                   | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77748 | PA      | $3558.67      | 0.00%             | 2039-06-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class TI                                                                   | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63811 | PA      | $4314.10      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class CI                                                                   | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27309 | PA      | $1677.50      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-42, Class SC                                                                   | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147334 | PA      | $12252.53     | 0.00%             | 2039-06-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-54, Class JZ                                                                   | CUSIP: 38374VZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    626861 | PA      | $659882.30    | 0.01%             | 2039-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class NI                                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95758 | PA      | $5451.70      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class KI                                                                   | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81273 | PA      | $4269.73      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-12, Class IE                                                                   | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368396 | PA      | $4968.44      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-25, Class SE                                                                   | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55274 | PA      | $1434.63      | 0.00%             | 2038-09-20      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H01, Class JA                                                                  | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324032 | PA      | $323169.39    | 0.01%             | 2063-01-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H03, Class FA                                                                  | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       240 | PA      | $238.59       | 0.00%             | 2060-08-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H02, Class HF                                                                  | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $237.68       | 0.00%             | 2062-11-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H04, Class SA                                                                  | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572418 | PA      | $571615.99    | 0.01%             | 2063-02-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H05, Class FB                                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3869 | PA      | $3832.02      | 0.00%             | 2062-02-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H08, Class BF                                                                  | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208521 | PA      | $207613.63    | 0.00%             | 2063-03-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class HA                                                                  | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333352 | PA      | $332831.16    | 0.01%             | 2063-03-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class MA                                                                  | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       323 | PA      | $322.36       | 0.00%             | 2062-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H09, Class HA                                                                  | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29871 | PA      | $28521.10     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H24, Class FG                                                                  | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1626 | PA      | $1617.82      | 0.00%             | 2060-04-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-52, Class WA                                                                   | CUSIP: 38375CE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1143741 | PA      | $1187504.48   | 0.02%             | 2038-04-20      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-95, Class DS                                                                   | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220292 | PA      | $1687.55      | 0.00%             | 2038-12-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-25, Class FN                                                                   | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30545 | PA      | $30197.32     | 0.00%             | 2037-05-16      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-28, Class BO                                                                   | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5143 | PA      | $4240.12      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-31, Class AO                                                                   | CUSIP: 38375JQ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214938 | PA      | $175572.32    | 0.00%             | 2037-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JI                                                                   | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230622 | PA      | $18061.08     | 0.00%             | 2037-04-16      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JO                                                                   | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31711 | PA      | $26187.08     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-40, Class SD                                                                   | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117335 | PA      | $4216.67      | 0.00%             | 2037-07-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-26, Class SC                                                                   | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103341 | PA      | $2100.87      | 0.00%             | 2037-05-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SE                                                                   | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96929 | PA      | $922.24       | 0.00%             | 2037-06-16      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SG                                                                   | CUSIP: 38375KKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153521 | PA      | $1523.31      | 0.00%             | 2037-06-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class HO                                                                   | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4846 | PA      | $3942.41      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-45, Class QA                                                                   | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47246 | PA      | $3173.56      | 0.00%             | 2037-07-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-42, Class SB                                                                   | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115626 | PA      | $4390.55      | 0.00%             | 2037-07-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-53, Class SW                                                                   | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14787 | PA      | $16144.52     | 0.00%             | 2037-09-20      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-76, Class SA                                                                   | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99312 | PA      | $585.09       | 0.00%             | 2037-11-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-74, Class SL                                                                   | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    367843 | PA      | $2087.22      | 0.00%             | 2037-11-16      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-1                                                                              | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16110 | PA      | $13157.80     | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-13, Class PI                                                                   | CUSIP: 38375PNB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179032 | PA      | $12054.80     | 0.00%             | 2038-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-96, Class SL                                                                   | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66404 | PA      | $1343.67      | 0.00%             | 2038-12-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-10, Class S                                                                    | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52258 | PA      | $281.15       | 0.00%             | 2038-02-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-33, Class XS                                                                   | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56127 | PA      | $2831.18      | 0.00%             | 2038-04-16      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-55, Class SA                                                                   | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59016 | PA      | $467.06       | 0.00%             | 2038-06-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-40, Class SA                                                                   | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328877 | PA      | $16950.24     | 0.00%             | 2038-05-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H16, Class F                                                                   | CUSIP: 38375UD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1005893 | PA      | $1009257.30   | 0.02%             | 2067-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H17, Class FQ                                                                  | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1732132 | PA      | $1745353.12   | 0.03%             | 2067-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H11, Class FD                                                                  | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398514 | PA      | $401342.43    | 0.01%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H25, Class HI                                                                  | CUSIP: 38375UZ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1546105 | PA      | $58670.84     | 0.00%             | 2067-10-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-62, Class SA                                                                   | CUSIP: 38375XHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298836 | PA      | $1518.18      | 0.00%             | 2038-07-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-71, Class SC                                                                   | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20104 | PA      | $96.92        | 0.00%             | 2038-08-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-93, Class AS                                                                   | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92809 | PA      | $5375.56      | 0.00%             | 2038-12-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-6, Class SA                                                                    | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70765 | PA      | $327.31       | 0.00%             | 2039-02-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-79, Class OK                                                                   | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68622 | PA      | $57609.25     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class AS                                                                  | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263544 | PA      | $26486.06     | 0.00%             | 2039-11-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class ST                                                                  | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287811 | PA      | $6852.92      | 0.00%             | 2038-02-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-97, Class WA                                                                   | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362345 | PA      | $369516.07    | 0.01%             | 2038-11-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H08, Class XI                                                                  | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1666905 | PA      | $67655.18     | 0.00%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H11, Class XI                                                                  | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5409994 | PA      | $179303.43    | 0.00%             | 2067-05-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class AI                                                                  | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2108909 | PA      | $104968.84    | 0.00%             | 2067-06-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class XI                                                                  | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2473803 | PA      | $63948.81     | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H26, Class FC                                                                  | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353420 | PA      | $355315.73    | 0.01%             | 2066-12-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H05, Class FC                                                                  | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424242 | PA      | $424978.33    | 0.01%             | 2067-02-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FT                                                                  | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16511 | PA      | $16531.87     | 0.00%             | 2066-05-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FD                                                                  | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166305 | PA      | $165970.01    | 0.00%             | 2066-05-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class BO                                                                   | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43189 | PA      | $36712.57     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class CO                                                                   | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246293 | PA      | $209646.72    | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-103, Class WA                                                                  | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133698 | PA      | $136785.14    | 0.00%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-41, Class WA                                                                   | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242657 | PA      | $249333.66    | 0.00%             | 2033-10-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-130, Class CP                                                                  | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139619 | PA      | $149802.39    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-129, Class AW                                                                  | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145991 | PA      | $150314.17    | 0.00%             | 2037-04-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-157, Class OP                                                                  | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394318 | PA      | $342625.43    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-22, Class WA                                                                   | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418856 | PA      | $430640.38    | 0.01%             | 2037-02-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-100, Class MY                                                                  | CUSIP: 38377XBW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686354 | PA      | $679306.09    | 0.01%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-137, Class WA                                                                  | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    790008 | PA      | $823450.97    | 0.01%             | 2040-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-163, Class WA                                                                  | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484396 | PA      | $502251.35    | 0.01%             | 2038-12-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-147, Class AK                                                                  | CUSIP: 38378B3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3815964 | PA      | $3576918.75   | 0.06%             | 2054-04-16      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-24, Class WA                                                                   | CUSIP: 38378C2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014458 | PA      | $1047035.54   | 0.02%             | 2041-07-20      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-59, Class WA                                                                   | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223249 | PA      | $230199.65    | 0.00%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-138, Class PT                                                                  | CUSIP: 38378GKK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1528274 | PA      | $1490844.83   | 0.02%             | 2042-11-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WA                                                                  | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1898627 | PA      | $1903688.17   | 0.03%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WB                                                                  | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444412 | PA      | $1395104.99   | 0.02%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WC                                                                  | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917597 | PA      | $882277.90    | 0.01%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-75, Class WA                                                                   | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206869 | PA      | $212783.09    | 0.00%             | 2040-06-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-26, Class AK                                                                   | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483598 | PA      | $492204.61    | 0.01%             | 2041-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-54, Class WA                                                                   | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943065 | PA      | $968481.68    | 0.02%             | 2042-11-20      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-188, Class W                                                                   | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493818 | PA      | $499873.74    | 0.01%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-91, Class W                                                                    | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472758 | PA      | $490809.43    | 0.01%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-137, Class WA                                                                  | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138792 | PA      | $144493.92    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-76, Class B                                                                    | CUSIP: 38379RWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4850524 | PA      | $3631425.73   | 0.06%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-90, Class LI                                                                   | CUSIP: 38379XR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1209362 | PA      | $215703.50    | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-99, Class PT                                                                   | CUSIP: 38380F3R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502388 | PA      | $529052.03    | 0.01%             | 2044-08-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H05                                                                            | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19165154 | PA      | $1093816.69   | 0.02%             | 2070-03-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H07, Class DI                                                                  | CUSIP: 38380L7Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22977320 | PA      | $1399686.41   | 0.02%             | 2070-04-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H15, Class IJ                                                                  | CUSIP: 38380LD42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3508023 | PA      | $74303.44     | 0.00%             | 2069-08-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class CI                                                                  | CUSIP: 38380LK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20605012 | PA      | $1128487.07   | 0.02%             | 2069-10-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H18, Class AI                                                                  | CUSIP: 38380LMQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44239104 | PA      | $2836468.87   | 0.04%             | 2068-09-20      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class KI                                                                  | CUSIP: 38380LN33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    879992 | PA      | $5385.82      | 0.00%             | 2069-11-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H09, Class IB                                                                  | CUSIP: 38380LTY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22421 | PA      | $18.43        | 0.00%             | 2069-04-20      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H02, Class DI                                                                  | CUSIP: 38380LV75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2397868 | PA      | $18782.98     | 0.00%             | 2069-12-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H12, Class JI                                                                  | CUSIP: 38380LXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1285324 | PA      | $2682.47      | 0.00%             | 2069-07-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class KI                                                                  | CUSIP: 38380LYP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811434 | PA      | $1549.03      | 0.00%             | 2069-07-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class IE                                                                  | CUSIP: 38380LZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2151044 | PA      | $53939.57     | 0.00%             | 2069-05-20      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-121, Class B                                                                   | CUSIP: 38380PW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10982817 | PA      | $8315949.93   | 0.13%             | 2060-08-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class PI                                                                  | CUSIP: 38380QA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31018770 | PA      | $1594715.19   | 0.03%             | 2071-02-20      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class NI                                                                  | CUSIP: 38380QA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27931716 | PA      | $1385914.59   | 0.02%             | 2071-02-20      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IP                                                                  | CUSIP: 38380QB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38429897 | PA      | $1977280.56   | 0.03%             | 2071-02-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IN                                                                  | CUSIP: 38380QB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49671010 | PA      | $2377526.19   | 0.04%             | 2071-02-20      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class TI                                                                  | CUSIP: 38380QB43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53892384 | PA      | $2598669.20   | 0.04%             | 2071-02-20      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H09, Class IE                                                                  | CUSIP: 38380QBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5051924 | PA      | $214113.86    | 0.00%             | 2070-05-20      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H11, Class GI                                                                  | CUSIP: 38380QCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497258 | PA      | $6733.23      | 0.00%             | 2067-07-20      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class IQ                                                                  | CUSIP: 38380QJ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75824704 | PA      | $3381304.10   | 0.05%             | 2071-02-20      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class QI                                                                  | CUSIP: 38380QJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 108805715 | PA      | $3564061.76   | 0.06%             | 2071-03-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class IA                                                                  | CUSIP: 38380QK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16867688 | PA      | $515663.77    | 0.01%             | 2071-03-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IK                                                                  | CUSIP: 38380QMX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40175429 | PA      | $2653630.43   | 0.04%             | 2070-10-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IJ                                                                  | CUSIP: 38380QNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9521368 | PA      | $488630.55    | 0.01%             | 2070-10-20      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class QI                                                                  | CUSIP: 38380QR53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41389785 | PA      | $1227981.13   | 0.02%             | 2071-04-20      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06                                                                            | CUSIP: 38380QS60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71673008 | PA      | $2990627.94   | 0.05%             | 2071-04-20      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class JI                                                                  | CUSIP: 38380QSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 110012179 | PA      | $5912293.96   | 0.09%             | 2070-12-20      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class IH                                                                  | CUSIP: 38380QSQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10789105 | PA      | $593798.45    | 0.01%             | 2070-12-20      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class DI                                                                  | CUSIP: 38380QUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24855802 | PA      | $1985281.89   | 0.03%             | 2070-12-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class AI                                                                  | CUSIP: 38380QUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76581667 | PA      | $4668491.69   | 0.07%             | 2070-11-20      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class HI                                                                  | CUSIP: 38380QWE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25479449 | PA      | $717358.62    | 0.01%             | 2071-01-20      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IH                                                                  | CUSIP: 38380QXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16968631 | PA      | $863393.78    | 0.01%             | 2071-01-20      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class JI                                                                  | CUSIP: 38380QXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26186897 | PA      | $1211292.78   | 0.02%             | 2071-01-20      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IJ                                                                  | CUSIP: 38380QXK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 107286049 | PA      | $5700800.58   | 0.09%             | 2071-01-20      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IE                                                                  | CUSIP: 38380QYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7114364 | PA      | $280939.45    | 0.00%             | 2071-02-20      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H04, Class FE                                                                  | CUSIP: 38380VPB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701612 | PA      | $703898.83    | 0.01%             | 2068-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-160, Class PA                                                                  | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685028 | PA      | $678073.71    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-211, Class AC                                                                  | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3673062 | PA      | $2746324.86   | 0.04%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-105, Class SM                                                                  | CUSIP: 38381NJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13735491 | PA      | $13416056.79  | 0.21%             | 2055-06-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class HC                                                                   | CUSIP: 38381RXH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1153630 | PA      | $1127369.95   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class TS                                                                   | CUSIP: 38381RYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13420592 | PA      | $1344925.81   | 0.02%             | 2049-03-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-65, Class ST                                                                   | CUSIP: 38381VLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6604712 | PA      | $722003.36    | 0.01%             | 2049-05-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class GS                                                                  | CUSIP: 38381Y4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1555851 | PA      | $200688.18    | 0.00%             | 2049-09-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-111                                                                            | CUSIP: 38381YLH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4663083 | PA      | $708866.51    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class SG                                                                  | CUSIP: 38381YS88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2143310 | PA      | $214784.08    | 0.00%             | 2049-09-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-47, Class AI                                                                   | CUSIP: 38382EAK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4232336 | PA      | $806165.62    | 0.01%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-85, Class IA                                                                   | CUSIP: 38382FVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16828469 | PA      | $2595971.43   | 0.04%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class AI                                                                   | CUSIP: 38382GWQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8792862 | PA      | $1584663.58   | 0.03%             | 2050-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class IA                                                                   | CUSIP: 38382GWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11138553 | PA      | $1983842.06   | 0.03%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-95, Class HI                                                                   | CUSIP: 38382GY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8124551 | PA      | $1419255.09   | 0.02%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-112, Class GI                                                                  | CUSIP: 38382HLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9640816 | PA      | $2047035.51   | 0.03%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-122, Class HI                                                                  | CUSIP: 38382HNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18247237 | PA      | $2805286.42   | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-134, Class IH                                                                  | CUSIP: 38382JBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19397515 | PA      | $3294782.30   | 0.05%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class EI                                                                  | CUSIP: 38382JE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13722928 | PA      | $2219042.72   | 0.04%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class KB                                                                  | CUSIP: 38382JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7789075 | PA      | $6398272.31   | 0.10%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class IH                                                                  | CUSIP: 38382JN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2870773 | PA      | $311302.28    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class SH                                                                  | CUSIP: 38382KCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16882136 | PA      | $448316.95    | 0.01%             | 2050-10-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class TS                                                                  | CUSIP: 38382KCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15169830 | PA      | $358146.02    | 0.01%             | 2050-10-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-187, Class WA                                                                  | CUSIP: 38382LC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3653633 | PA      | $3531794.71   | 0.06%             | 2041-07-16      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-189, Class JI                                                                  | CUSIP: 38382MBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10558261 | PA      | $2029870.02   | 0.03%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-15, Class EI                                                                   | CUSIP: 38382MY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16992445 | PA      | $2413943.31   | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-16, Class JI                                                                   | CUSIP: 38382NAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19147420 | PA      | $2988605.91   | 0.05%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-27, Class TI                                                                   | CUSIP: 38382NKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12303729 | PA      | $1855318.74   | 0.03%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-69, Class CI                                                                   | CUSIP: 38382RUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8604919 | PA      | $1588781.28   | 0.03%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-103, Class WA                                                                  | CUSIP: 38382T2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2878350 | PA      | $2836312.76   | 0.04%             | 2045-06-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-H06, Class EI                                                                  | CUSIP: 38382Y2G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41155470 | PA      | $1121248.05   | 0.02%             | 2071-03-20      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H14, Class IY                                                                  | CUSIP: 38382YFL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75440447 | PA      | $1796066.86   | 0.03%             | 2071-09-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-226, Class ZH                                                                  | CUSIP: 38383FBM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1289050 | PA      | $794738.65    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-190, Class LS                                                                  | CUSIP: 38383LBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8126989 | PA      | $7826667.06   | 0.12%             | 2052-11-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-64, Class ZY                                                                   | CUSIP: 38383PT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4509180 | PA      | $3235545.49   | 0.05%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-55, Class MT                                                                   | CUSIP: 38383X3Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3692221 | PA      | $3644671.06   | 0.06%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-43, Class B                                                                    | CUSIP: 38383XCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14836153 | PA      | $14171291.67  | 0.22%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-53, Class SL                                                                   | CUSIP: 38383XJ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7478437 | PA      | $7260420.65   | 0.12%             | 2053-04-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-179, Class WE                                                                  | CUSIP: 38383Y5K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4075268 | PA      | $4077152.33   | 0.06%             | 2052-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-69, Class S                                                                    | CUSIP: 38384AB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5395706 | PA      | $5390536.55   | 0.09%             | 2053-05-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-65, Class KS                                                                   | CUSIP: 38384APV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6862702 | PA      | $6597823.81   | 0.10%             | 2053-05-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-89, Class BS                                                                   | CUSIP: 38384BMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6627927 | PA      | $6369293.34   | 0.10%             | 2053-06-20      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-101, Class S                                                                   | CUSIP: 38384CAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1697658 | PA      | $1568709.03   | 0.02%             | 2053-07-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-115, Class TS                                                                  | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3961720 | PA      | $4120559.46   | 0.07%             | 2053-06-20      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-146, Class GO                                                                  | CUSIP: 38384DAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13443777 | PA      | $10759203.93  | 0.17%             | 2053-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-64, Class EO                                                                   | CUSIP: 38384MLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13182650 | PA      | $11638917.88  | 0.18%             | 2064-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-164, Class LO                                                                  | CUSIP: 38384XSP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6742456 | PA      | $5496295.30   | 0.09%             | 2054-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-197, Class BN                                                                  | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16779986 | PA      | $15749945.34  | 0.25%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A1                                                     | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    849856 | PA      | $803841.27    | 0.01%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A2                                                     | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    849856 | PA      | $823362.82    | 0.01%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  3 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class B                                                                | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3748365 | PA      | $3816535.47   | 0.06%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class C                                                                | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7168068 | PA      | $7288519.98   | 0.12%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2015-1A, Class A                                                      | CUSIP: 42770LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9446 | PA      | $9085.80      | 0.00%             | 2040-09-21      | Fixed         | 3.84%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-2A, Class A                                                      | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1705848 | PA      | $1637422.77   | 0.03%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-3A, Class A1                                                     | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    256386 | PA      | $240182.13    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A1                                                           | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |   2714233 | PA      | $2500416.95   | 0.04%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                           | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    446401 | PA      | $421219.03    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding III                                                     | HERO Funding III, Series 2017-1A, Class A                                                        | CUSIP: 42771BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    337116 | PA      | $304227.73    | 0.00%             | 2043-09-21      | Fixed         | 3.50%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-2A, Class A1                                                     | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    609446 | PA      | $562932.29    | 0.01%             | 2048-09-20      | Fixed         | 3.28%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-1A, Class A2                                                     | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    421603 | PA      | $404477.84    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2020-1A, Class A                                                      | CUSIP: 42772BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3998679 | PA      | $3489401.83   | 0.06%             | 2057-09-20      | Fixed         | 2.59%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2018-2A, Class A3                                                           | CUSIP: 42790AAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   7689907 | PA      | $6690219.03   | 0.11%             | 2049-09-20      | Fixed         | 3.39%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-1D, Class C                                            | CUSIP: 43283BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586438 | PA      | $585204.89    | 0.01%             | 2034-06-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class C                                            | CUSIP: 43283GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1697808 | PA      | $1714461.52   | 0.03%             | 2037-01-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-3A, Class C                                            | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6772184 | PA      | $6874714.65   | 0.11%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-1B, Class B                                            | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581235 | PA      | $591223.25    | 0.01%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-1B, Class C                                            | CUSIP: 43283YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1099061 | PA      | $1124582.31   | 0.02%             | 2039-09-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class B                                            | CUSIP: 43285HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720853 | PA      | $718586.11    | 0.01%             | 2039-02-25      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-2A, Class C                                            | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4259598 | PA      | $4302750.28   | 0.07%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2025-A, Class C                                                                | CUSIP: 433403AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4233874 | PA      | $4287157.81   | 0.07%             | 2044-03-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class A                                           | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3248601 | PA      | $3169957.19   | 0.05%             | 2039-09-17      | Fixed         | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class E                                           | CUSIP: 43731QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3315487 | PA      | $3221427.46   | 0.05%             | 2039-09-17      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class D                                           | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11513948 | PA      | $11205399.16  | 0.18%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class E1                                          | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10554452 | PA      | $10271437.54  | 0.16%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                    | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                                   | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2865000 | PA      | $2874018.73   | 0.05%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                          | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                           | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4180000 | PA      | $4001761.04   | 0.06%             | 2039-07-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2005-2, Class 2M1                                                        | CUSIP: 45254NNL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9786 | PA      | $9571.88      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                 | Impac Secured Assets CMN Owner Trust, Series 2001-8, Class A6                                    | CUSIP: 45254TJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100138 | PA      | $103179.95    | 0.00%             | 2032-01-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2005-A16, Class AX                                | CUSIP: 45660L2X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458146 | PA      | $94178.85     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                     | IndyMac INDX Mortgage Loan Trust, Series 2006-AR3, Class 2A1A                                    | CUSIP: 45660L5S4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57596 | PA      | $38834.91     | 0.00%             | 2036-03-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1                               | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156635 | PA      | $156521.81    | 0.00%             | 2034-12-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2003-A5, Class A1                                 | CUSIP: 45660NPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73050 | PA      | $72291.68     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                               | Invitation Homes Trust, Series 2024-SFR1, Class B                                                | CUSIP: 46188DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6434000 | PA      | $6279167.08   | 0.10%             | 2041-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                               | Invitation Homes Trust, Series 2024-SFR1, Class D                                                | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8810000 | PA      | $8555220.97   | 0.14%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                               | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1685 | PA      | $1650.74      | 0.00%             | 2034-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                               | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3997 | PA      | $3861.90      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73511 | PA      | $75494.23     | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A2                                               | CUSIP: 466247K85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31958 | PA      | $31961.89     | 0.00%             | 2033-11-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57814 | PA      | $57820.09     | 0.00%             | 2033-11-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                               | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35760 | PA      | $34465.45     | 0.00%             | 2035-02-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                               | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18461 | PA      | $18379.67     | 0.00%             | 2034-08-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                               | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24148 | PA      | $24042.17     | 0.00%             | 2035-07-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                     | JPMorgan Prime Money Market Fund, Class IM                                                       | CUSIP: 46637K844<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 243911561 | NS      | $244009125.22 | 3.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Jonah Energy Abs I LLC                                               | Jonah Energy ABS LLC, Series 2022-1, Class B                                                     | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   9547193 | PA      | $9656985.23   | 0.15%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC, Series 2024-1A, Class A1                                                   | CUSIP: 479913AA3<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   7180142 | PA      | $7217478.70   | 0.11%             | 2039-08-10      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                 | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1401967 | PA      | $15257.61     | 0.00%             | 2039-05-25      | Variable      | 0.56%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                 | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1186448 | PA      | $17192.82     | 0.00%             | 2037-09-25      | Variable      | 0.83%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                 | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1919 | PA      | $0.00         | 0.00%             | 2026-09-25      | Variable      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                 | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373353 | PA      | $36579.63     | 0.00%             | 2041-07-25      | Variable      | 3.16%                 | Yes           |                  3 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                             | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                              | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686000 | PA      | $2564213.00   | 0.04%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                 | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $6237243.40   | 0.10%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                 | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5786075.94   | 0.09%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                 | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   7590000 | PA      | $7638449.25   | 0.12%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3019152 | PA      | $3019748.98   | 0.05%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                  | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165392 | PA      | $102419.83    | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                  | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6676 | PA      | $5908.33      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                  | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310764 | PA      | $72354.65     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                       | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                          | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161234 | PA      | $162223.03    | 0.00%             | 2034-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20762 | PA      | $17925.79     | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                        | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3952 | PA      | $3085.71      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-3                                                  | CUSIP: 55265K8G7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       599 | PA      | $0.01         | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2024-RPL1, Class A1                                                            | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9955191 | PA      | $9618339.09   | 0.15%             | 2066-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1920000 | PA      | $1919999.22   | 0.03%             | 2038-04-15      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                              | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4387050.00   | 0.07%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                              | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $4783870.00   | 0.08%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-2A, Class C                                                                 | CUSIP: 55389QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3505335 | PA      | $3463560.82   | 0.05%             | 2042-03-20      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-2A, Class B                                                                 | CUSIP: 55389RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6737745 | PA      | $6762865.33   | 0.11%             | 2044-10-20      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-2A, Class C                                                                 | CUSIP: 55389RAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6083000 | PA      | $6109044.97   | 0.10%             | 2044-10-20      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class B                                                                | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757670 | PA      | $728638.89    | 0.01%             | 2041-01-22      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class C                                                                | CUSIP: 55389TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1242504 | PA      | $1193950.86   | 0.02%             | 2041-01-22      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class B                                                                 | CUSIP: 55400EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394464 | PA      | $388774.78    | 0.01%             | 2037-10-20      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class C                                                                 | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    262976 | PA      | $260954.82    | 0.00%             | 2037-10-20      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2022-2A, Class C                                                                 | CUSIP: 55400VAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1645905 | PA      | $1693485.50   | 0.03%             | 2041-10-21      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-2A, Class C                                                                 | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2050553 | PA      | $2109966.17   | 0.03%             | 2040-11-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Madison Avenue Manufactured Housing Contract Trust                   | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A                                | CUSIP: 55660AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15924766 | PA      | $86336.12     | 0.00%             | 2032-03-25      | Fixed         | 0.30%                 | No            |                  3 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                  | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17376 | PA      | $15691.57     | 0.00%             | 2034-04-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                  | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12353 | PA      | $11890.56     | 0.00%             | 2034-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22184 | PA      | $21834.04     | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111729 | PA      | $107887.73    | 0.00%             | 2034-11-21      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                 | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22249 | PA      | $21839.47     | 0.00%             | 2034-12-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-4, Class 2A1                                           | CUSIP: 576434EK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56331 | PA      | $58120.43     | 0.00%             | 2033-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                           | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21781 | PA      | $20769.54     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-1, Class 30                                            | CUSIP: 576434LX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27779 | PA      | $19373.94     | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                           | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51734 | PA      | $53133.77     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2005-3, Class AX2                                           | CUSIP: 576434P24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470816 | PA      | $71724.67     | 0.00%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30                                            | CUSIP: 576434PD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51728 | PA      | $38930.93     | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30X1                                          | CUSIP: 576434PF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23457 | PA      | $3458.28      | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30                                            | CUSIP: 576434RP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59680 | PA      | $44701.90     | 0.00%             | 2034-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30X1                                          | CUSIP: 576434RS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18177 | PA      | $2938.76      | 0.00%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257068 | PA      | $253569.28    | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 30X1                                          | CUSIP: 576434SS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25447 | PA      | $3893.87      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                            | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13133 | PA      | $9311.98      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class AX1                                           | CUSIP: 576434TR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51410 | PA      | $6830.86      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                         | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32804 | PA      | $24859.14     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                       | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26666 | PA      | $22696.30     | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                        | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                         | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005677 | PA      | $476856.19    | 0.01%             | 2035-05-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                  | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62810 | PA      | $61762.34     | 0.00%             | 2028-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36189 | PA      | $35294.04     | 0.00%             | 2033-08-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 2A2                                 | CUSIP: 589929G36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9924 | PA      | $8720.39      | 0.00%             | 2028-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2003-A4, Class 2A                            | CUSIP: 589929W61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11482 | PA      | $11093.59     | 0.00%             | 2033-07-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                  | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74971 | PA      | $71670.44     | 0.00%             | 2028-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A2                                  | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39679 | PA      | $39014.35     | 0.00%             | 2029-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-E, Class A2A                                 | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15803 | PA      | $15127.73     | 0.00%             | 2029-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                 | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63344 | PA      | $60308.57     | 0.00%             | 2034-08-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                 | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50721 | PA      | $47564.32     | 0.00%             | 2034-12-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2005-A1, Class 3A                            | CUSIP: 59020UQE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7896 | PA      | $7773.05      | 0.00%             | 2034-12-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                           | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538065 | PA      | $541297.48    | 0.01%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                      | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101616 | PA      | $100746.20    | 0.00%             | 2034-04-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                     | MortgageIT Trust, Series 2005-5, Class A1                                                        | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15155 | PA      | $15169.70     | 0.00%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                     | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                       | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   7812642 | PA      | $8122982.54   | 0.13%             | 2053-11-25      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                     | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                       | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |   1163287 | PA      | $1177641.64   | 0.02%             | 2054-07-25      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-1A, Class C                                                                 | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8271375 | PA      | $8366704.05   | 0.13%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-1A, Class C                                                                 | CUSIP: 62847RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1053859 | PA      | $1076125.59   | 0.02%             | 2043-02-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-1A, Class C                                                                 | CUSIP: 62848PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2915198 | PA      | $2995657.85   | 0.05%             | 2040-10-20      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                                   | NMABS Issuer LLC, Series 2025-1A, Class A                                                        | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10975000 | PA      | $11021574.01  | 0.17%             | 2055-11-20      | Fixed         | 5.14%                 | Yes           |                  3 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                   | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                     | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123386 | PA      | $110915.07    | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3392499 | PA      | $3343595.64   | 0.05%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                     | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109449 | PA      | $108855.89    | 0.00%             | 2033-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                                  | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6152000 | PA      | $5993456.81   | 0.10%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  11910000 | PA      | $11976432.79  | 0.19%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   7700000 | PA      | $7757712.27   | 0.12%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3579174 | PA      | $3511551.01   | 0.06%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                   | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3297 | PA      | $3309.79      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                   | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7085 | PA      | $7226.09      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                   | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22091 | PA      | $22285.56     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR1, Class E2                                                           | CUSIP: 66981XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2908711.50   | 0.05%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2022-SFR3, Class E1                                                           | CUSIP: 66981YAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8181000 | PA      | $8004872.89   | 0.13%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR4, Class E2                                                           | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12965000 | PA      | $12592877.27  | 0.20%             | 2038-12-17      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2023-HB1, Class M1                                           | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1532878.08   | 0.02%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2024-HB1, Class A                                            | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1447588 | PA      | $1428150.35   | 0.02%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2024-HB1, Class M2                                           | CUSIP: 675952AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390000 | PA      | $1346479.80   | 0.02%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Onity Loan Investment Trust                                          | Onity Loan Investment Trust, Series 2025-HB1, Class M1                                           | CUSIP: 68278EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4115000 | PA      | $3907940.20   | 0.06%             | 2038-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF1, Class A1                                                             | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3373289 | PA      | $3333988.32   | 0.05%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                             | PRET LLC, Series 2021-RN4, Class A1                                                              | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5759563 | PA      | $5764928.23   | 0.09%             | 2051-10-25      | Variable      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2023-RCF2, Class A1                                                             | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2212436 | PA      | $2190554.07   | 0.03%             | 2053-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RPL1, Class A1                                                             | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8184846 | PA      | $8093167.83   | 0.13%             | 2064-12-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                                           | PRET Trust, Series 2024-RPL2, Class A1                                                           | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7718617 | PA      | $7463409.53   | 0.12%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                    | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4875574.00   | 0.08%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48435 | PA      | $48596.31     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2005-4, Class 2                                                     | CUSIP: 74160MKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43124 | PA      | $33700.00     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| PRM7 Trust                                                           | PRM7 Trust, Series 2025-PRM7, Class C                                                            | CUSIP: 74290HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945000 | PA      | $2920806.83   | 0.05%             | 2042-11-10      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                                           | PRM7 Trust, Series 2025-PRM7, Class D                                                            | CUSIP: 74290HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6770000 | PA      | $6778519.37   | 0.11%             | 2042-11-10      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class D                                            | CUSIP: 74290XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2576000 | PA      | $2443190.97   | 0.04%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class E1                                           | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7625000 | PA      | $7164501.85   | 0.11%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class D                                            | CUSIP: 74331UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4555000 | PA      | $4494520.99   | 0.07%             | 2039-04-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class E2                                           | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11870000 | PA      | $11857588.73  | 0.19%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR3, Class E1                                           | CUSIP: 74331VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4796490.00   | 0.08%             | 2041-06-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR2, Class E1                                           | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11149882.89  | 0.18%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR5, Class E1                                           | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6775000 | PA      | $6666020.06   | 0.11%             | 2038-07-17      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR7, Class C                                            | CUSIP: 74333PAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6246000 | PA      | $5823228.25   | 0.09%             | 2040-08-17      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class E2                                           | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5883559.80   | 0.09%             | 2038-10-17      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR10, Class E1                                          | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6459469 | PA      | $6224804.84   | 0.10%             | 2040-12-17      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9661831.00   | 0.15%             | 2041-02-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR6, Class D                                            | CUSIP: 74334EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7730000 | PA      | $7302470.71   | 0.12%             | 2042-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR2, Class D                                            | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7678526 | PA      | $7197254.16   | 0.11%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR1, Class E1                                           | CUSIP: 74334NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6109063.35   | 0.10%             | 2042-02-17      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR5, Class D                                            | CUSIP: 74334RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2440000 | PA      | $2323734.49   | 0.04%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF3, Class A1                                                             | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3338355 | PA      | $3302326.91   | 0.05%             | 2054-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2007-QS1, Class 1A1                                                           | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82449 | PA      | $66518.91     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class B                                                            | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5185231.00   | 0.08%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class C                                                            | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15580000 | PA      | $16232692.94  | 0.26%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| RFM Reremic Trust                                                    | RFM Re-REMIC Trust, Series 2024-FRR2, Class A100                                                 | CUSIP: 74983PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $9085645.80   | 0.14%             | 2052-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Rain City Mortgage Trust                                             | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                             | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4631000 | PA      | $4684954.85   | 0.07%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                   | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                     | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478553 | PA      | $114649.80    | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2023-1A, Class A                                                                   | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |  13068210 | PA      | $13061299.92  | 0.21%             | 2058-11-20      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class A                                                                   | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    219245 | PA      | $206078.10    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class B                                                                   | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     11019 | PA      | $10973.64     | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  3 | On Loan: No      |
| Renew                                                                | Renew, Series 2024-1A, Class A                                                                   | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9998711 | PA      | $10151270.18  | 0.16%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA6, Class A32                                                           | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444941 | PA      | $229735.71    | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA6, Class NB2                                                           | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22473 | PA      | $21360.97     | 0.00%             | 2034-12-26      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA4, Class NB3                                                           | CUSIP: 76110HZL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62206 | PA      | $61339.92     | 0.00%             | 2034-09-25      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA10, Class A31                                                          | CUSIP: 761118GD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46734 | PA      | $30798.26     | 0.00%             | 2035-09-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13                               | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163812 | PA      | $79007.54     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                            | RFT TRUST, Series 2024-2, Class A1                                                               | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14647341 | PA      | $14661197.52  | 0.23%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                            | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                             | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2982011.34   | 0.05%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class A                                            | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12010000 | PA      | $12043811.75  | 0.19%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class AS                                           | CUSIP: 78348LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5395000 | PA      | $5421229.41   | 0.09%             | 2040-06-25      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class B                                            | CUSIP: 78348LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1658237.30   | 0.03%             | 2040-06-25      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class A                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $5855079.10   | 0.09%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class E                                                       | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6041880.60   | 0.10%             | 2041-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                 | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       439 | PA      | $437.23       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     19801 | PA      | $19473.55     | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                       | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                       | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48237 | PA      | $41882.68     | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2003-1, Class 1A                                                  | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67024 | PA      | $63454.93     | 0.00%             | 2033-04-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                  | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181917 | PA      | $161220.91    | 0.00%             | 2034-09-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                  | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119466 | PA      | $111547.11    | 0.00%             | 2034-09-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-9, Class A1                                                  | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316437 | PA      | $294077.75    | 0.00%             | 2034-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131980 | PA      | $126412.13    | 0.00%             | 2034-11-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C                                | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2421898 | PA      | $2514436.61   | 0.04%             | 2040-04-20      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class C                                | CUSIP: 82650DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2171775 | PA      | $2209452.44   | 0.04%             | 2041-06-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class C                                | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3048996 | PA      | $3055347.08   | 0.05%             | 2044-08-22      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230446 | PA      | $1242531.63   | 0.02%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    991192 | PA      | $988940.85    | 0.02%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                                | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629563 | PA      | $628148.61    | 0.01%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class C                                | CUSIP: 82653BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3717892 | PA      | $3744770.34   | 0.06%             | 2041-08-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class C                                | CUSIP: 82653HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3128284 | PA      | $3143529.45   | 0.05%             | 2044-04-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class C                                | CUSIP: 826934AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1508050 | PA      | $1550182.56   | 0.02%             | 2039-07-20      | Fixed         | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-1A, Class C                                | CUSIP: 826935AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950747 | PA      | $1984776.13   | 0.03%             | 2043-01-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2           | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4204 | PA      | $3558.75      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3           | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75619 | PA      | $14109.02     | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3 | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27468 | PA      | $27279.39     | 0.00%             | 2033-11-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A  | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199842 | PA      | $196450.52    | 0.00%             | 2033-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134939 | PA      | $130986.80    | 0.00%             | 2034-10-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211294 | PA      | $209831.08    | 0.00%             | 2035-07-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                     | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11411 | PA      | $11423.52     | 0.00%             | 2043-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2004-1, Class II2A                                   | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7732 | PA      | $7567.36      | 0.00%             | 2044-03-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                            | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1063668 | PA      | $1051507.90   | 0.02%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2019-3, Class M2                                               | CUSIP: 89177LAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7550000 | PA      | $6672844.02   | 0.11%             | 2059-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                              | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15312287 | PA      | $14034148.60  | 0.22%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                             | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $8674072.75   | 0.14%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Triad Holdings III LLC                                               | Triad Holdings III LLC                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  10874494 | PA      | $10874493.94  | 0.17%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2022-SFR1, Class E1                                             | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5669000 | PA      | $5633987.12   | 0.09%             | 2039-04-17      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                   | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5142 | PA      | $5160.75      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                   | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16823 | PA      | $17044.91     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                   | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24176 | PA      | $24443.30     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97339000 | PA      | $85787597.87  | 1.36%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63000000 | PA      | $40760507.97  | 0.65%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $15665039.00  | 0.25%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $14182382.77  | 0.22%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2752968.75   | 0.04%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8956000 | PA      | $8730350.80   | 0.14%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4750781.25   | 0.08%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $124874.65    | 0.00%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| vMobo, Inc.                                                          | vMobo, Inc.                                                                                      | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9995881 | PA      | $9510881.04   | 0.15%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| VOLT C LLC                                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                                           | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4516533 | PA      | $4515597.06   | 0.07%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| VOLT CV LLC                                                          | VOLT CV LLC, Series 2021-CF2, Class A1                                                           | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925509 | PA      | $926087.27    | 0.01%             | 2051-11-27      | Variable      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                                   | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22314 | PA      | $22279.25     | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 2010-1, Class DZ                                                   | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1051685 | PA      | $1029960.82   | 0.02%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379693 | PA      | $379672.92    | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                         | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67095 | PA      | $65661.45     | 0.00%             | 2033-08-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                          | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58526 | PA      | $59530.22     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S3, Class 1A4                         | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27912 | PA      | $27739.83     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                          | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56922 | PA      | $56036.99     | 0.00%             | 2033-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                        | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225395 | PA      | $223582.68    | 0.00%             | 2033-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                         | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23926 | PA      | $23392.81     | 0.00%             | 2033-09-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                          | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184457 | PA      | $184099.31    | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                           | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3068 | PA      | $2443.17      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                        | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155016 | PA      | $146612.40    | 0.00%             | 2033-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                         | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12627 | PA      | $12107.22     | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85574 | PA      | $82050.85     | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                         | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186116 | PA      | $188501.13    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4       | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116641 | PA      | $104927.47    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $657800.33    | 0.01%             | 2045-03-15      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                              | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                               | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14117 | PA      | $0.14         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                        | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25737 | PA      | $23665.40     | 0.00%             | 2036-09-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1       | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20683 | PA      | $20619.80     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4       | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1327927 | PA      | $76237.62     | 0.00%             | 2035-04-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7       | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154953 | PA      | $144405.15    | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust       | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2004-RA2, Class 2A        | CUSIP: 939336R54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83896 | PA      | $87287.94     | 0.00%             | 2033-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-11, Class A4       | CUSIP: 93934FHY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2138812 | PA      | $122870.88    | 0.00%             | 2036-01-25      | Floating      | 0.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-U, Class A1                            | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112895 | PA      | $111526.44    | 0.00%             | 2034-10-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                            | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56842 | PA      | $52139.65     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167936 | PA      | $1168973.66   | 0.02%             | 2040-02-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2022-1A, Class B                                                    | CUSIP: 96034JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035355 | PA      | $1026206.11   | 0.02%             | 2036-08-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                                    | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4302692 | PA      | $4371998.41   | 0.07%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class C                                                    | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3537911 | PA      | $3596588.35   | 0.06%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| ENVY MAC                                                             | ENVY MAC                                                                                         | CUSIP: N/A<br>LEI: 549300BSSOQO1ZWDUJ97       | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3300000.00   | 0.05%             | 2027-09-23      | Floating      | 6.85%                 | No            |                  3 | On Loan: No      |
| Mpire                                                                | Mpire                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4512730.50   | 0.07%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| Soco At Tower Point                                                  | Soco At Tower Point                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   5014000 | PA      | $5060496.29   | 0.08%             | 3032-11-17      | Fixed         | 4.47%                 | No            |                  3 | On Loan: No      |
| BX Trust                                                             | BX Trust                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2565000 | PA      | $2565000.00   | 0.04%             | 2030-12-15      | Fixed         | 5.76%                 | No            |                  3 | On Loan: No      |
| BX Trust                                                             | BX Trust                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3560000 | PA      | $3560000.00   | 0.06%             | 2030-12-15      | Fixed         | 6.16%                 | No            |                  3 | On Loan: No      |
| Acrc                                                                 | Acrc                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5883599.99   | 0.09%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                   | Grene Energy Senio                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    221976 | PA      | $183485.11    | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene 2023-Senior                                                    | Grene 2023-Senior                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4434093 | PA      | $4540067.72   | 0.07%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| P4 SFR                                                               | P4 SFR                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2465255 | PA      | $2436657.60   | 0.04%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Baring Frn                                                           | Baring Frn, Series 2021-EBO1, Class PA                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    788737 | PA      | $788736.99    | 0.01%             | 2027-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Repo Buyer RRI Trust                                                 | Repo Buyer RRI Trust                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1817446 | PA      | $1585721.36   | 0.03%             | 2055-04-14      | Fixed         | 3.06%                 | No            |                  3 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1215 | NC      | $150753.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       583 | NC      | $144836.79    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        46 | NC      | $32984.76     | 0.00%             |  |  |  | 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        |       258 | NC      | $195097.54    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** J.P. Morgan Exchange-Traded Fund Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer