# EDGAR Filing Document

**Accession Number:** 0000729528
**File Stem:** 0001145549-23-011715
**Filing Date:** 2023-2
**Character Count:** 110735
**Document Hash:** cc84895696de2d0315c585fef96c8509
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011715.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011715

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INSURANCE SERIES
- **CENTRAL INDEX KEY:** 0000729528
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03857
- **FILM NUMBER:** 23675574

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $120104363.13

**Total Liabilities:** $31114360.63

**Net Assets:** $88990002.50

**Cash Not Reported:** $296146.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -27.155569900000 | **1-Year:** -385.701682600000 | **5-Year:** -488.051636400000 | **10-Year:** -159.753720000000 | **30-Year:** -56.847431200000

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

- **3-Month:** -22.291067600000 | **1-Year:** -178.338914000000 | **5-Year:** -271.979844300000 | **10-Year:** -49.750762600000 | **30-Year:** -1.798108800000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000099203 | -1.28%               | 3.88%                | -0.59%               |
| Class ID C000099204 | -1.18%               | 3.69%                | -0.49%               |
| Class ID C000121518 | -1.20%               | 3.74%                | -0.58%               |
| Class ID C000176250 | -1.29%               | 3.81%                | -0.58%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2365723.26             | $1510222.80                                |
| Month 2  | $443.70                  | $2464816.53                                |
| Month 3  | $502403.60               | $-1102675.42                               |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                                  | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOCA COMMERCIAL MORTGAGE TRUST 22-BOCA                | BOCA 22-BOCA A 144A FRN (TSFR1M+176.96) 05-15-39/05-17-27 | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $98192.60     | 0.11%             | 2039-05-15      | Variable      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                | BX 22-CSMO A 144A FRN (TSFR1M+211.48) 06-15-27            | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99464.70     | 0.11%             | 2027-06-15      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_20-HB4            | CFMT 20-HB4 A 144A FRN 12-26-30/04-25-23                  | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73502 | PA      | $71466.11     | 0.08%             | 2030-12-26      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL3             | CSMC 21-RPL3 A1 144A FRN 01-25-60                         | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159363 | PA      | $136904.51    | 0.15%             | 2060-01-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-HB6            | CFMT 21-HB6 A 144A FRN 06-25-36                           | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    306255 | PA      | $291123.13    | 0.33%             | 2036-06-25      | Variable      | 0.90%                 | Yes           |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-HB7            | CFMT 21-HB7 A 144A FRN 10-27-31/06-25-24                  | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94760 | PA      | $89316.24     | 0.10%             | 2031-10-27      | Variable      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                    | COLT 21-5 A1 144A FRN 11-26-66                            | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     87465 | PA      | $74067.09     | 0.08%             | 2066-11-26      | Variable      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CIM TRUST CIM_22-R2                                   | CIM 22-R2 A1 144A FRN 12-25-61                            | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180533 | PA      | $170598.75    | 0.19%             | 2061-12-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 760014 08-01-45                                 | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    334975 | PA      | $323877.74    | 0.36%             | 2045-08-01      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHLMC POOL #760015 ARH5 FRN 01-01-47                      | CUSIP: 31342WAQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     63354 | PA      | $59942.13     | 0.07%             | 2047-01-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 760012 04-01-45                                 | CUSIP: 31342WAM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     39366 | PA      | $38284.28     | 0.04%             | 2045-04-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 760013 04-01-45                                 | CUSIP: 31342WAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22542 | PA      | $21965.93     | 0.02%             | 2045-04-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3               | SCRT 18-3 MA 3.5% 08-25-57                                | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    146960 | PA      | $139518.27    | 0.16%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 932606 02-01-40                                 | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2164 | PA      | $2175.93      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BH3122 06-01-47                             | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1289 | PA      | $1240.37      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS AE1283 12-01-41                                 | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2390 | PA      | $2399.72      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BK9761 08-01-48                             | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4983 | PA      | $4919.46      | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1274 10-01-41                             | CUSIP: 31419BMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6832 | PA      | $6924.29      | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q52069 11-01-47                                 | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28435 | PA      | $26422.49     | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1277 11-01-41                             | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4518 | PA      | $4579.45      | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BJ5015 12-01-47                             | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38620 | PA      | $37042.56     | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BK9743 08-01-48                             | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7844 | PA      | $7523.18      | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1290 02-01-42                             | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4431 | PA      | $4476.34      | 0.01%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 931768 08-01-39                             | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1371 | PA      | $1390.12      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS AT0300 03-01-43                                 | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1213 | PA      | $1135.08      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AD3566 10-01-35                             | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1537 | PA      | $1551.78      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 695412 06-01-33                             | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       136 | PA      | $138.40       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BK5232 05-01-48                             | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19643 | PA      | $18841.09     | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q56175 05-01-48                                 | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18524 | PA      | $17787.11     | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BK6840 06-01-48                             | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26511 | PA      | $25428.37     | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AC0794 10-01-39                             | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4986 | PA      | $5053.47      | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 QA2748 09-01-49                             | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     18883 | PA      | $17571.28     | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q55971 05-01-48                                 | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19570 | PA      | $18792.13     | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1248 06-01-41                             | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8182 | PA      | $8293.07      | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q15874 02-01-43                                 | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       827 | PA      | $795.73       | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q58378 09-01-48                                 | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20113 | PA      | $19719.54     | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AY1829 12-01-44                             | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1910 | PA      | $1787.52      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q47615 04-01-47                                 | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18360 | PA      | $17055.17     | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AT3954 04-01-43                             | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1996 | PA      | $1870.27      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q56599 06-01-48                                 | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28399 | PA      | $27269.88     | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q58411 09-01-48                                 | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51117 | PA      | $50523.64     | 0.06%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q55970 05-01-48                                 | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9719 | PA      | $9359.69      | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 AJ1873 10-01-41                             | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6513 | PA      | $6260.59      | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q58436 09-01-48                                 | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27579 | PA      | $27199.39     | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                          | SCRT 17-3 HT 3.25% 07-25-56                               | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    101253 | PA      | $91281.15     | 0.10%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                              | SCRT 18-1 HT 3.0% 05-25-57                                | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    111759 | PA      | $98228.78     | 0.11%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CA5496 04-01-50                             | CUSIP: 3140QDDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1214561 | PA      | $1088727.73   | 1.22%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS SD7512 02-01-50                                 | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    159912 | PA      | $142694.57    | 0.16%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 RA1339 09-01-49                             | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1531209 | PA      | $1360370.53   | 1.53%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI6 3.0 BF0497 07-01-60                                | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53073 | PA      | $46498.06     | 0.05%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 3.5 BF0481 06-01-60                                | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    173383 | PA      | $159293.68    | 0.18%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 3.5 BF0379 04-01-59                                | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    145763 | PA      | $133904.46    | 0.15%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CB0041 04-01-51                             | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    211382 | PA      | $188467.19    | 0.21%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 MA4208 12-01-50                             | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12665 | PA      | $10370.95     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4387 07-01-41                             | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19047 | PA      | $16078.53     | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9492 11-01-51                             | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    464155 | PA      | $397447.28    | 0.45%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9804 12-01-51                             | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    247256 | PA      | $211988.07    | 0.24%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9694 11-01-51                             | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    229675 | PA      | $197164.42    | 0.22%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CB2544 01-01-52                             | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    280380 | PA      | $247920.20    | 0.28%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5145 02-01-42                             | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     94106 | PA      | $79436.95     | 0.09%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5148 03-01-42                             | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    596519 | PA      | $503532.07    | 0.57%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4540 02-01-42                             | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    530119 | PA      | $447482.49    | 0.50%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4570 03-01-42                             | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    120349 | PA      | $101588.20    | 0.11%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD7548 11-01-51                             | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1100064 | PA      | $947169.06    | 1.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD7550 02-01-52                             | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    404447 | PA      | $361370.49    | 0.41%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM9976 12-01-51                             | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99955 | PA      | $89311.78     | 0.10%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 SD0873 02-01-52                             | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1202591 | PA      | $1113012.58   | 1.25%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM7687 06-01-51                             | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    278189 | PA      | $247061.12    | 0.28%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD7553 03-01-52                             | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    324529 | PA      | $288544.34    | 0.32%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4501 12-01-41                             | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    370161 | PA      | $312465.42    | 0.35%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5138 12-01-41                             | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    101587 | PA      | $85752.78     | 0.10%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 MA4305 04-01-51                             | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       857 | PA      | $700.85       | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8128 02-01-51                             | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2066 | PA      | $1691.58      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8134 03-01-51                             | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3300 | PA      | $2699.49      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8106 11-01-50                             | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    596540 | PA      | $488391.98    | 0.55%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 RA6406 11-01-51                             | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     79718 | PA      | $65353.59     | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 RA7938 09-01-52                             | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    715178 | PA      | $705957.59    | 0.79%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM9416 07-01-45                             | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    373905 | PA      | $346218.87    | 0.39%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM3280 05-01-49                             | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     98456 | PA      | $91217.43     | 0.10%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA5968 06-01-50                             | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53767 | PA      | $46204.68     | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD7552 01-01-52                             | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    395708 | PA      | $338359.71    | 0.38%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD8238 08-01-52                             | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10001 | PA      | $9636.49      | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 MA4700 08-01-52                             | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1967371 | PA      | $1847313.80   | 2.08%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8237 08-01-52                             | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1523212 | PA      | $1430259.23   | 1.61%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 5.0 A18781 03-01-34                                 | CUSIP: 31296TXJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    622913 | PA      | $636960.02    | 0.72%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8244 09-01-52                             | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    651351 | PA      | $611601.94    | 0.69%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 MA4578 04-01-52                             | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    204309 | PA      | $173304.66    | 0.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD1450 03-01-52                             | CUSIP: 3132DNTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3355160 | PA      | $2878733.82   | 3.23%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 RA5288 05-01-51                             | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    326860 | PA      | $267541.77    | 0.30%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 CB0290 04-01-51                             | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    115948 | PA      | $94850.24     | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 QD7089 02-01-52                             | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9398 | PA      | $8561.61      | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BQ3005 10-01-50                             | CUSIP: 3140KNKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     81808 | PA      | $69596.44     | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD1385 11-01-51                             | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     67611 | PA      | $58011.19     | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB1527 09-01-51                             | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    449984 | PA      | $382257.05    | 0.43%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM7900 07-01-51                             | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27819 | PA      | $23894.32     | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA7257 10-01-50                             | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    126322 | PA      | $108727.41    | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FS0523 02-01-52                             | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    380413 | PA      | $325279.34    | 0.37%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 4.5 BF0585 12-01-61                                | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55621 | PA      | $54261.05     | 0.06%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB2286 12-01-51                             | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    764167 | PA      | $653350.03    | 0.73%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA6593 08-01-50                             | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    560163 | PA      | $482310.32    | 0.54%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 FS0965 11-01-51                             | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2808 | PA      | $2302.38      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA8955 02-01-51                             | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     65952 | PA      | $56587.40     | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 MA4784 10-01-52                             | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3937 | PA      | $3793.11      | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD8257 10-01-52                             | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13740 | PA      | $13238.48     | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV3870 02-01-52                             | CUSIP: 3140MHJQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    405217 | PA      | $344147.11    | 0.39%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BU3058 12-01-51                             | CUSIP: 3140M4MG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    295359 | PA      | $250796.48    | 0.28%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD8275 12-01-52                             | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1793087 | PA      | $1727628.36   | 1.94%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BX1516 11-01-52                             | CUSIP: 3140N5VJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    468934 | PA      | $451813.87    | 0.51%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW9823 09-01-52                             | CUSIP: 3140N24H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45439 | PA      | $43780.64     | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB4274 07-01-52                             | CUSIP: 3140QPXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    179444 | PA      | $152226.49    | 0.17%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QE6097 07-01-52                             | CUSIP: 3133BFX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    197352 | PA      | $167642.15    | 0.19%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV8569 04-01-52                             | CUSIP: 3140MNQX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1273788 | PA      | $1081222.92   | 1.21%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW7795 10-01-52                             | CUSIP: 3140N0UV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    476934 | PA      | $459524.01    | 0.52%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 SD8276 12-01-52                             | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     54995 | PA      | $54286.10     | 0.06%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 MA4841 12-01-52                             | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999901 | PA      | $987010.18    | 1.11%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 SD8288 01-01-53                             | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    131881 | PA      | $130180.79    | 0.15%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 MA4868 01-01-53                             | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    495000 | PA      | $488618.46    | 0.55%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 SD8273 11-01-52                             | CUSIP: 3132DWFN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    123517 | PA      | $112366.13    | 0.13%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 MA4804 11-01-52                             | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    574868 | PA      | $539787.10    | 0.61%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 MA4803 11-01-52                             | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37819 | PA      | $34405.13     | 0.04%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 MA4866 01-01-53                             | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     68000 | PA      | $63850.37     | 0.07%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K152   | FHMS K152 A2 (MF) 3.78% 11-25-32/11-26-32                 | CUSIP: 3137H9M89<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1767134 | PA      | $1671493.17   | 1.88%             | 2032-11-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW1310 11-01-52                             | CUSIP: 3140MSN43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21840 | PA      | $20507.37     | 0.02%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW9348 09-01-52                             | CUSIP: 3140N2L66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20838 | PA      | $19570.46     | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 CB4159 07-01-52                             | CUSIP: 3140QPTR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21820 | PA      | $20488.20     | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW8103 09-01-52                             | CUSIP: 3140N1AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19515 | PA      | $18326.18     | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QE9057 08-01-52                             | CUSIP: 3133BKB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     17642 | PA      | $16565.29     | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BX0509 10-01-52                             | CUSIP: 3140N4R74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20859 | PA      | $19585.84     | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QF1464 10-01-52                             | CUSIP: 3133BNTV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     21906 | PA      | $20574.22     | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW7326 09-01-52                             | CUSIP: 3140N0D85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23694 | PA      | $22248.01     | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BV8024 08-01-52                             | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27501 | PA      | $25823.08     | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QE9625 09-01-52                             | CUSIP: 3133BKVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22815 | PA      | $21422.44     | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW1210 10-01-52                             | CUSIP: 3140MSKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     57612 | PA      | $54096.39     | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 QF3364 11-01-52                             | CUSIP: 3133BQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34918 | PA      | $32787.29     | 0.04%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW7356 10-01-52                             | CUSIP: 3140N0E68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47781 | PA      | $44865.36     | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BW8980 10-01-52                             | CUSIP: 3140N16S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     76667 | PA      | $71988.37     | 0.08%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD1895 11-01-52                             | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    407406 | PA      | $400220.37    | 0.45%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 6.5 SD8280 11-01-52                             | CUSIP: 3132DWFV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    919998 | PA      | $943746.07    | 1.06%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 6.5 SD8282 01-01-53                             | CUSIP: 3132DWFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $205163.00    | 0.23%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 SD8264 11-01-52                             | CUSIP: 3132DWFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1232429 | PA      | $1121166.85   | 1.26%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BW0004 07-01-52                             | CUSIP: 3140MRAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    299999 | PA      | $273079.61    | 0.31%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8286 01-01-53                             | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    209612 | PA      | $196820.22    | 0.22%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 RA6598 01-01-52                             | CUSIP: 3133KNKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    196278 | PA      | $178781.92    | 0.20%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 5.0 ZS8950 10-01-29                             | CUSIP: 3132A95K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2500 | PA      | $2490.30      | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 BW7121 10-01-52                             | CUSIP: 3140MY4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    577500 | PA      | $570054.72    | 0.64%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 CB5208 09-01-52                             | CUSIP: 3140QQYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    598991 | PA      | $591268.44    | 0.66%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 5.0 ZA1922 02-01-26                             | CUSIP: 31329KD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1008 | PA      | $995.48       | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 CB5380 10-01-52                             | CUSIP: 3140QQ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    203086 | PA      | $200467.82    | 0.23%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K151   | FHMS K152 A2 (MF) 3.8% 10-25-32                           | CUSIP: 3137H9JG5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    207496 | PA      | $196129.16    | 0.22%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNIONP 5.0 256583 12-01-36                                | CUSIP: 31371M6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32117 | PA      | $31707.70     | 0.04%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 5.2 725897 01-20-66                                  | CUSIP: 3620ACNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1239 | PA      | $1177.50      | 0.00%             | 2066-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 4.62 AN1825 06-20-65                                 | CUSIP: 36185KA22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    195488 | PA      | $192489.03    | 0.22%             | 2065-06-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 4.498 AO0385 01-20-66                                | CUSIP: 3617A0NA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    519251 | PA      | $509523.62    | 0.57%             | 2066-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 4.617 AO0409 12-20-65                                | CUSIP: 3617A0N28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    127947 | PA      | $126017.42    | 0.14%             | 2065-12-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 4.628 AO0461 08-20-65                                | CUSIP: 3617A0QN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64909 | PA      | $63936.07     | 0.07%             | 2065-08-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 6.5 005165 08-20-41                                    | CUSIP: 36202FW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83295 | PA      | $83626.99     | 0.09%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 5.0 005104 06-20-41                                    | CUSIP: 36202FU53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    169331 | PA      | $170469.05    | 0.19%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 4.0 004410 04-20-39                                    | CUSIP: 36202E3T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54186 | PA      | $51882.97     | 0.06%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 4.0 004823 10-20-40                                    | CUSIP: 36202FLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82835 | PA      | $79320.42     | 0.09%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 3.5 MA0366 06-20-42                                    | CUSIP: 36179MMP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    197555 | PA      | $181790.97    | 0.20%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 6.0 783690 09-20-39                                  | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     80807 | PA      | $85513.58     | 0.10%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF AA5326 05-20-42                                      | CUSIP: 36178C4K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131384 | PA      | $119153.15    | 0.13%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.75 AD0028 110K MAX 07-20-38                       | CUSIP: 36180BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    510042 | PA      | $487533.75    | 0.55%             | 2038-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 5142 08-20-41                                    | CUSIP: 36202FWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11794 | PA      | $11529.10     | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.5 AD4360 175K MAX 07-20-43                         | CUSIP: 36180FZZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     90340 | PA      | $84357.24     | 0.09%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_21-NQM6                               | GCAT 21-NQM6 A1 144A FRN 08-25-66                         | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28485 | PA      | $23927.35     | 0.03%             | 2066-08-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGEBACKED SECURITIES TRUST GSMBS_22-PJ5       | GSMBS 22-PJ5 A4 144A FRN 10-25-52/01-26-43                | CUSIP: 362925AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212362 | PA      | $170734.49    | 0.19%             | 2052-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.5 TBA 01-01-53                                     | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1197766 | PA      | $1204837.61   | 1.35%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 2.0 TBA 01-01-53                                     | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    174329 | PA      | $146140.70    | 0.16%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.5 TBA 01-01-53                                     | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    177517 | PA      | $163125.34    | 0.18%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 2.5 TBA 01-01-53                                     | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    207224 | PA      | $179627.36    | 0.20%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.0 TBA 01-01-53                                     | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    388000 | PA      | $345572.59    | 0.39%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 TBA 01-01-53                                     | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7330000 | PA      | $7264337.86   | 8.16%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA8347 10-20-52                                  | CUSIP: 36179XHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    799999 | PA      | $776934.52    | 0.87%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA8427 11-20-52                                  | CUSIP: 36179XLG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1851837 | PA      | $1798446.35   | 2.02%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA8489 12-20-52                                  | CUSIP: 36179XNE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $97111.70     | 0.11%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 MA8426 11-20-52                                  | CUSIP: 36179XLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    139987 | PA      | $132606.96    | 0.15%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.75 AH5894 85K MAX 05-20-34                        | CUSIP: 36182NRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    692558 | PA      | $677768.65    | 0.76%             | 2034-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.25 AH5884 07-20-44                                 | CUSIP: 36182NRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1034356 | PA      | $997251.34    | 1.12%             | 2044-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.75 AH5897 110K MAX 07-20-39                       | CUSIP: 36182NRS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    525906 | PA      | $502370.56    | 0.56%             | 2039-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LUXE COMMERCIAL MORTGAGE TRUST LUXE_21-TRIP           | LUXE 21-TRIP A 144A FRN (L+105) 10-15-38/24               | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    164397 | PA      | $157489.75    | 0.18%             | 2038-10-15      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST MWST_21-3        | MWST 21-3 A 144A FRN (L+85) 11-25-55                      | CUSIP: 58552FAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175000 | PA      | $169314.78    | 0.19%             | 2055-11-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST MCMLT_15-1              | MCMLT 15-1 M2 144A FRN 06-25-56/10-25-30                  | CUSIP: 599809CE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37611 | PA      | $37248.41     | 0.04%             | 2056-06-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST OBX_22-J1                                   | OBX 22-J1 A2 144A FRN 02-25-52                            | CUSIP: 67116WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    137501 | PA      | $111034.88    | 0.12%             | 2052-02-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST BHG_21-A                     | BHG 21-A A 144A 1.42% 11-17-33                            | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54120 | PA      | $50309.19     | 0.06%             | 2033-11-17      | Fixed         | 1.42%                 | Yes           |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST BHG_21-B                     | BHG 21-B A 144A 0.9% 10-17-34                             | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54402 | PA      | $51240.06     | 0.06%             | 2034-10-17      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| BALLYROCK LTD BALLY_19-2A                             | BALLY 19-2A A1AR CLO 144A FRN (L+100) 11-20-30            | CUSIP: 05875MAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $246873.50    | 0.28%             | 2030-11-20      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST CPS_22-B                   | CPS 22-B A 144A 2.88% 06-15-26/02-15-24                   | CUSIP: 12663BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67421 | PA      | $66203.62     | 0.07%             | 2026-06-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET_22-A3   | COMET 22-A3 A 4.95% 10-15-27/25                           | CUSIP: 14041NGB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $544594.86    | 0.61%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC HERTZ_21-1                | HERTZ 21-1A A 144A 1.21% 12-26-25/24                      | CUSIP: 42806MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86000 | PA      | $79532.20     | 0.09%             | 2025-12-26      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-A                   | NSLT 21-A APT1 144A 1.36% 04-20-62                        | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193321 | PA      | $171239.70    | 0.19%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST NAVSL_21-C       | NAVSL 21-C A 144A 1.06% 10-15-69/09-15-28                 | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    214821 | PA      | $182828.91    | 0.21%             | 2069-10-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                   | NSLT 21-CA AFL 144A FRN (L+74) 04-20-62                   | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159584 | PA      | $154930.16    | 0.17%             | 2062-04-20      | Variable      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_21-A                 | NAVSL 21-A A 144A 0.84% 05-15-69/03-15-29                 | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116396 | PA      | $100738.30    | 0.11%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-6     | SDART 22-6 A2 4.37% 05-15-25/11-15-23                     | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35000 | PA      | $34844.25     | 0.04%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                     | SORT 20-1 A1 144A 1.69% 07-15-60/25                       | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286115 | PA      | $255698.49    | 0.29%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_15-4                   | TPMT 15-4 M1 144A FRN 04-25-55/05-25-22                   | CUSIP: 89171UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10114 | PA      | $10094.10     | 0.01%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_15-4                   | TPMT 15-4 M2 144A FRN 04-25-55/01-25-27                   | CUSIP: 89171UAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $97218.80     | 0.11%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_16-5                   | TPMT 16-5 A1 144A 2.5% 10-25-56                           | CUSIP: 89173CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     41455 | PA      | $40824.99     | 0.05%             | 2056-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1     | USRE 21-1 A1 144A 1.91% 10-20-61/26                       | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $448802.94    | 0.50%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| STATE STREET CORP                                     | STATE STREET CORP CD 12/11/2023                           | CUSIP: N/A<br>LEI: 549300ZFEEJ2IP5VME73       | Long             | STIV             | CORP              | US        |   2500000 | PA      | $2500000.00   | 2.81%             | 2023-12-11      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 1/11/2023                                 | CUSIP: 313384AL3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1500000 | PA      | $1498528.50   | 1.68%             | 2023-01-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                | FED FARM CR DISC NT 1/12/2023                             | CUSIP: 313312AM2<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   4500000 | PA      | $4495071.15   | 5.05%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 3/3/2023                                  | CUSIP: 313384CP2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $992771.90    | 1.12%             | 2023-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 3/24/2023                                 | CUSIP: 313384DL0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    900000 | PA      | $890730.00    | 1.00%             | 2023-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/28/2023                                 | CUSIP: 313384CL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1500000 | PA      | $1489696.35   | 1.67%             | 2023-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 3/22/2023                                 | CUSIP: 313384DJ5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $988940.00    | 1.11%             | 2023-03-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 04-15-23                       | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    355468 | PA      | $352028.10    | 0.40%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 1.0% 02-15-49                         | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    384872 | PA      | $322170.23    | 0.36%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.5% 04-15-24                         | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2024315 | PA      | $1969900.94   | 2.21%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 10-15-24                           | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    107320 | PA      | $103425.26    | 0.12%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 01-15-24                       | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3620791 | PA      | $3546117.56   | 3.98%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-31                           | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1201966 | PA      | $1066369.50   | 1.20%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.875% 02-15-41                          | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    690000 | PA      | $488755.22    | 0.55%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 10-15-26                           | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65431 | PA      | $61364.76     | 0.07%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.875% 02-15-32                          | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $8481.33      | 0.01%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 3.25% 05-15-42                           | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $52684.10     | 0.06%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.125% 07-15-24                       | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    657866 | PA      | $637201.27    | 0.72%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.75% 02-15-42                            | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    426362 | PA      | $357217.08    | 0.40%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-23                           | CUSIP: 912828UH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    714445 | PA      | $713069.73    | 0.80%             | 2023-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.375% 07-15-23                           | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    521800 | PA      | $515765.41    | 0.58%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.25% 08-15-31                           | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    443300 | PA      | $359931.81    | 0.40%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.875% 11-15-51                          | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $41393.20     | 0.05%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 0.875% 01-31-24                          | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9596.48      | 0.01%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.375% 02-15-42                          | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $114662.49    | 0.13%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_21-ARIA                                   | BX 21-ARIA A 144A FRN (L+89.91) 10-15-36/26               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    606000 | PA      | $577492.55    | 0.65%             | 2036-10-15      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST RBIT_21-HB1                 | RBIT 21-HB1 A 144A FRN 11-25-31                           | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94584 | PA      | $89178.16     | 0.10%             | 2031-11-25      | Variable      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1               | SCRT 17-1 HA FRN 01-25-56                                 | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    134214 | PA      | $125595.88    | 0.14%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2               | SCRT 17-2 HA FRN 08-25-56                                 | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    155271 | PA      | $145177.37    | 0.16%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2               | SCRT 17-2 MA 3.0% 08-25-56                                | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    209084 | PA      | $194246.97    | 0.22%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1        | SLST 18-1 A1 3.5% 06-25-28                                | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    306400 | PA      | $292602.45    | 0.33%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                          | SLST 18-2 A1 3.5% 11-25-28                                | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     14046 | PA      | $13410.28     | 0.02%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3               | SCRT 19-3 MT 3.5% 10-25-58                                | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     18378 | PA      | $16629.54     | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2               | SCRT 19-2 MT 3.5% 08-25-58                                | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     30870 | PA      | $27910.64     | 0.03%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1 | SLST 22-1 A1 3.5% 05-25-32                                | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    469234 | PA      | $452712.17    | 0.51%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_17-5                   | TPMT 17-5 A1 144A 2.55969% 02-25-57                       | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10114 | PA      | $10014.32     | 0.01%             | 2057-02-25      | Variable      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.0 UMBS TBA 01-01-53                                | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1958338 | PA      | $1987848.20   | 2.23%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.5 UMBS TBA 01-01-53                                | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3690000 | PA      | $3779619.03   | 4.25%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.5 UMBS TBA 01-01-53                                | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4837234 | PA      | $4850676.67   | 5.45%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.5 UMBS TBA 01-01-53                                | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1881999 | PA      | $1811553.90   | 2.04%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | UMBS  30YR TBA(REG A) 2.0 UMBS TBA 01-01-53               | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1191062 | PA      | $969439.90    | 1.09%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCI 4.0 UMBS TBA 01-01-38                                | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $121869.75    | 0.14%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.0 UMBS TBA 02-01-53                                | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1131662 | PA      | $1147741.79   | 1.29%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.0 UMBS TBA 02-01-53                                | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    130000 | PA      | $121966.91    | 0.14%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                   | CHARIOT FUNDING LLC 4(2) CP 1/27/2023                     | CUSIP: 15963UNT9<br>LEI: 549300EEWRNP448AMT79 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1993258.00   | 2.24%             | 2023-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                          | CITIGROUP GLOBAL MARKETS INC. 4(2) CP 2/21/2023           | CUSIP: 17327BPM1<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1986450.00   | 2.23%             | 2023-02-21      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                           | HONEYWELL INTERNATIONAL 4(2) CP 2/1/2023                  | CUSIP: 43851UP15<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1992086.00   | 2.24%             | 2023-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| HENKEL OF AMERICA INC                                 | HENKEL OF AMERICA INC 4(2) CP 2/1/2023                    | CUSIP: 42550MP19<br>LEI: 549300H53PJZUVSNX797 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1992020.00   | 2.24%             | 2023-02-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                     | JOHNSON & JOHNSON 4(2) CP 1/30/2023                       | CUSIP: 47816GNW5<br>LEI: 549300G0CFPGEF6X2043 | Long             | STIV             | CORP              | US        |   1000000 | PA      | $996315.00    | 1.12%             | 2023-01-30      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO                                   | PROCTER & GAMBLE COMPANY (THE) 4(2) CP 2/9/2023           | CUSIP: 74271UP95<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | STIV             | CORP              | US        |    500000 | PA      | $497532.00    | 0.56%             | 2023-02-09      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO                                   | PROCTER & GAMBLE COMPANY (THE) 4(2) CP 2/10/2023          | CUSIP: 74271UPA2<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | STIV             | CORP              | US        |   1500000 | PA      | $1492407.00   | 1.68%             | 2023-02-10      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| STARBIRD FUNDING CORP                                 | STARBIRD FUNDING CORP 4(2) CP 1/3/2023                    | CUSIP: 85520MN33<br>LEI: 549300A8DDPP6QJBB522 | Long             | STIV             | CORP              | US        |    500000 | PA      | $499760.00    | 0.56%             | 2023-01-03      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS PAYFIX USD 0.81% 07-28-15/07-28-45 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $797657.40    | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | SOFR 90DAY FUT SFRH3 06-20-23                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        12 | NC      | $49213.16     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 10YR FUT ULTRA UXYH3 03-22-23                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        47 | NC      | $-60311.38    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 20YR FUT USH3 03-22-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        18 | NC      | $-28410.15    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 10YR FUT TYH3 03-22-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         5 | NC      | $-2869.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 30YR FUT ULTRA WNH3 03-22-23                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        12 | NC      | $-12525.15    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 5YR FUT FVH3 03-31-23                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       144 | NC      | $-18839.07    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 2YR FUT TUH3 03-31-23                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         5 | NC      | $-1243.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Analyst