# EDGAR Filing Document

**Accession Number:** 0000717819
**File Stem:** 0000940400-25-005192
**Filing Date:** 2025-10
**Character Count:** 144369
**Document Hash:** 94f29a18efbc272db6a48affbedce80f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-005192.hdr.sgml**: 20251023

**ACCESSION NUMBER**: 0000940400-25-005192

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250829

**FILED AS OF DATE**: 20251023

**DATE AS OF CHANGE**: 20251023

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PRUDENTIAL INVESTMENT PORTFOLIOS, INC. 14
- **CENTRAL INDEX KEY:** 0000717819

**ORGANIZATION NAME:**
- **EIN:** 133165671
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03712
- **FILM NUMBER:** 251412595

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 802-5032

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 6TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRUDENTIAL GOVERNMENT INCOME FUND, INC.
- **DATE OF NAME CHANGE:** 20100219

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DRYDEN GOVERNMENT INCOME FUND INC
- **DATE OF NAME CHANGE:** 20040420

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRUDENTIAL GOVERNMENT INCOME FUND INC
- **DATE OF NAME CHANGE:** 19951017

## Series and Classes Contracts Data

### PGIM GOVERNMENT INCOME FUND (Series ID: S000004573)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000012502 | Class A      | PGVAX           |
| C000012504 | Class C      | PRICX           |
| C000012505 | Class Z      | PGVZX           |
| C000012506 | Class R      | JDRVX           |
| C000172929 | Class R6     | PGIQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Prudential Investment Portfolios, Inc. 14

- **b. Investment Company Act file number:** 811-03712

- **c. CIK number of Registrant:** 0000717819

- **d. LEI of Registrant:** 549300KUB7SBKYFHJS11

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

  - **Street Address 1:** 655 Broad Street

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 1-800-225-1852

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

- **a. Name of Series:** PGIM Government Income Fund

- **b. EDGAR series identifier (if any):** S000004573

- **c. LEI of Series:** JYMFBE8ZNMXHZ0R2JZ96

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

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

- **b. Date as of which information is reported:** 2025-08-29

**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:** $244980798.84

**Total Liabilities:** $20663473.01

**Net Assets:** $224317325.83

**Stand-by Commitments:** $1531507.81

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.59681000 | **1-Year:** 5963.24452000 | **5-Year:** 71966.12157000 | **10-Year:** 14472.38722000 | **30-Year:** 259.05076000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000012502 | 1.56%                | -0.47%               | 1.30%                |
| Class ID C000012504 | 1.46%                | -0.57%               | 1.19%                |
| Class ID C000012505 | 1.60%                | -0.56%               | 1.47%                |
| Class ID C000012506 | 1.53%                | -0.62%               | 1.27%                |
| Class ID C000172929 | 1.60%                | -0.44%               | 1.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-913977.31              | $4203233.57                                |
| Month 2  | $-382435.84              | $-1370119.49                               |
| Month 3  | $-24901.86               | $2219417.17                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate: Excluding Cred Total Return Index Unhedged

- **Index Identifier:** I04273US Index

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 2 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       141 | NC      | $44827.94     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                      | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-202.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31335BU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85536 | PA      | $86167.73     | 0.04%             | 2048-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation CLO 2025-18 Ltd                                    | CUSIP: 28623JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2502808.00   | 1.12%             | 2038-03-28      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMZ39<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1245000 | PA      | $1103238.57   | 0.49%             | 2031-02-04      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J9G21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18663 | PA      | $18466.66     | 0.01%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795238 | PA      | $665973.62    | 0.30%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136BFRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2189748.25   | 0.98%             | 2030-11-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31287XXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17288 | PA      | $17929.32     | 0.01%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407JZB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125642 | PA      | $129697.06    | 0.06%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406GMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136659 | PA      | $141375.84    | 0.06%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215119 | PA      | $210968.60    | 0.09%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                        | IRS USD                                                      | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $340.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31287YG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17528 | PA      | $18177.92     | 0.01%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AL3V4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    345000 | PA      | $259919.93    | 0.12%             | 2036-02-08      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407NAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106442 | PA      | $109916.38    | 0.05%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1531149 | PA      | $1544204.88   | 0.69%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae                                                   | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1000000 | PA      | $-962977.36   | -0.43%            | 2055-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital CLO 25 Ltd                                 | CUSIP: 03329WAA5<br>LEI: 5493004RXURZCE1LR038 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2254101.30   | 1.00%             | 2035-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140FVVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955329 | PA      | $900627.66    | 0.40%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4075000 | PA      | $2014408.61   | 0.90%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Freddie Mac Coupon Strips                                    | CUSIP: 3134A4CP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $401378.41    | 0.18%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1628312 | PA      | $1612352.32   | 0.72%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    986577 | PA      | $912538.12    | 0.41%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405GZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2745 | PA      | $2857.61      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M7T97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314783 | PA      | $307365.94    | 0.14%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405NSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4611 | PA      | $4711.50      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356718 | PA      | $351070.00    | 0.16%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206172 | PA      | $196282.30    | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F4X72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4963718.50   | 2.21%             | 2028-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Federal Home Loan Mortgage Corp                              | CUSIP: 3134GWHK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |     62000 | PA      | $54473.48     | 0.02%             | 2030-08-12      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Federal Home Loan Mortgage Corp                              | CUSIP: 3128X75U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1680000 | PA      | $895359.55    | 0.40%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MC4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6625 | PA      | $6613.98      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                       | Fannie Mae Principal Strip                                   | CUSIP: 31358DDR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    400000 | PA      | $333909.03    | 0.15%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834VE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    795000 | PA      | $228069.00    | 0.10%             | 2049-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655786 | PA      | $613960.01    | 0.27%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138X0NJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814607 | PA      | $743487.14    | 0.33%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48682 | PA      | $47920.50     | 0.02%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132WGYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252257 | PA      | $225527.88    | 0.10%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31368HMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2894 | PA      | $3002.73      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ALK37<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    100000 | PA      | $93289.30     | 0.04%             | 2031-03-17      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENFJ4<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   3430000 | PA      | $3032680.92   | 1.35%             | 2031-12-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116069 | PA      | $113213.63    | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171843 | PA      | $161966.89    | 0.07%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1709626 | PA      | $1468848.45   | 0.65%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391EN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29494 | PA      | $30557.06     | 0.01%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31408C7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47481 | PA      | $48907.41     | 0.02%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410BEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33986 | PA      | $35127.33     | 0.02%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143510 | PA      | $128799.45    | 0.06%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206861 | PA      | $192499.11    | 0.09%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                            | CUSIP: 36292KP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64626 | PA      | $66898.46     | 0.03%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMA44<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    300000 | PA      | $238976.68    | 0.11%             | 2036-05-19      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31296RZ35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10688 | PA      | $10945.26     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31288AD69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17990 | PA      | $18928.24     | 0.01%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179QGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273579 | PA      | $261276.76    | 0.12%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1880000 | PA      | $887636.81    | 0.40%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -1500000 | PA      | $-1478136.53  | -0.66%            | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152186 | PA      | $148855.61    | 0.07%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417FVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218547 | PA      | $205037.55    | 0.09%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31307EZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23620 | PA      | $23227.20     | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                       | Federal National Mortgage Association                        | CUSIP: 3136F7NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   2695000 | PA      | $2199992.01   | 0.98%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390NZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116292 | PA      | $120482.60    | 0.05%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403FST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47570 | PA      | $50002.55     | 0.02%             | 2033-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                   | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    170000 | PA      | $188331.99    | 0.08%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165260 | PA      | $147662.44    | 0.07%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WJEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120448 | PA      | $114203.58    | 0.05%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                      | Texas Debt Capital CLO 2025-I Ltd                            | CUSIP: 881936AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999600.00   | 0.89%             | 2038-04-24      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407YGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33555 | PA      | $34269.02     | 0.02%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132WH5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223302 | PA      | $199525.14    | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402TL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       314 | PA      | $320.33       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183873 | PA      | $181282.62    | 0.08%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404EDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101945 | PA      | $103489.35    | 0.05%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71358 | PA      | $66259.29     | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417GF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270493 | PA      | $246963.21    | 0.11%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80009 | PA      | $78751.48     | 0.04%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                          | Tennessee Valley Authority Generic Strip                     | CUSIP: 88059EPB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     20000 | PA      | $13158.03     | 0.01%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390PAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55386 | PA      | $57382.33     | 0.03%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ATHY6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    370000 | PA      | $374068.87    | 0.17%             | 2032-09-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CNU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $80106.25     | 0.04%             | 2028-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781148 | PA      | $697396.73    | 0.31%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34196 | PA      | $35529.05     | 0.02%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140JACV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044549 | PA      | $962692.41    | 0.43%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MFCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110938 | PA      | $105677.55    | 0.05%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407KL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35879 | PA      | $36620.39     | 0.02%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410B7L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196420 | PA      | $205981.36    | 0.09%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132JBMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297059 | PA      | $279228.78    | 0.12%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                   | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    640000 | PA      | $553302.38    | 0.25%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179S5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261731 | PA      | $234929.47    | 0.10%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138W9KG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153897 | PA      | $151424.32    | 0.07%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406KM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41316 | PA      | $42661.74     | 0.02%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | Barclays Commercial Mortgage Trust 2019-C4                   | CUSIP: 07335CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2603468 | PA      | $2482150.98   | 1.11%             | 2052-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165591 | PA      | $148402.28    | 0.07%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9896972 | PA      | $7937691.30   | 3.54%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417CJL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261294 | PA      | $245708.23    | 0.11%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1707678 | PA      | $1524682.53   | 0.68%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Federal Home Loan Mortgage Corp                              | CUSIP: 3134GXBA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    280000 | PA      | $244389.50    | 0.11%             | 2030-08-19      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834VM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $116254.25    | 0.05%             | 2050-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344093 | PA      | $319646.63    | 0.14%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16298 | PA      | $16634.99     | 0.01%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -7000000 | PA      | $-6062906.15  | -2.70%            | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5395000 | PA      | $1883381.01   | 0.84%             | 2046-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1924307 | PA      | $1949136.70   | 0.87%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405QK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189315 | PA      | $195565.35    | 0.09%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867611 | PA      | $837301.47    | 0.37%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WHXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660875 | PA      | $590015.92    | 0.26%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416XJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387867 | PA      | $378023.53    | 0.17%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417GZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121047 | PA      | $110498.37    | 0.05%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148290 | PA      | $140814.99    | 0.06%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283718 | PA      | $232500.72    | 0.10%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834AU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2435000 | PA      | $1284160.05   | 0.57%             | 2039-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63754 | PA      | $57135.06     | 0.03%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 30Y UMBS TBA 4.0                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-1529.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31294MGN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3518 | PA      | $3505.67      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3526141 | PA      | $3049140.99   | 1.36%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XVIII Ltd                       | Marble Point CLO XVIII Ltd                                   | CUSIP: 566076BA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499926.50   | 0.67%             | 2038-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMSR4<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    365000 | PA      | $288517.51    | 0.13%             | 2036-03-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637294 | PA      | $1589429.35   | 0.71%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405WWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14770 | PA      | $15091.57     | 0.01%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295001 | PA      | $290387.37    | 0.13%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137HLZC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    852350 | PA      | $863190.76    | 0.38%             | 2055-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ELLH5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    925000 | PA      | $765205.05    | 0.34%             | 2035-02-05      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188956 | PA      | $183548.03    | 0.08%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    551024 | PA      | $521137.63    | 0.23%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132GS4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316802 | PA      | $308320.89    | 0.14%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137152 | PA      | $130023.93    | 0.06%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WJMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668217 | PA      | $616788.34    | 0.27%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    764955 | PA      | $645173.90    | 0.29%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                            | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444298 | PA      | $396593.70    | 0.18%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CRA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636331 | PA      | $628607.61    | 0.28%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FARMER MAC                                       | Federal Agricultural Mortgage Corp                           | CUSIP: 31422XV66<br>LEI: 549300MS654K78GYF580 | Long             | DBT              | USGSE             | US        |     15000 | PA      | $14980.79     | 0.01%             | 2026-02-02      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DWAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732180 | PA      | $553534.75    | 0.25%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    115000 | PA      | $49532.60     | 0.02%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138LTKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754835 | PA      | $710594.09    | 0.32%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213110 | PA      | $197480.94    | 0.09%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31296JTZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226550 | PA      | $227966.84    | 0.10%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    805000 | PA      | $811729.30    | 0.36%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                   | Bain Capital Credit CLO 2022-1 Ltd                           | CUSIP: 05684UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502938.35   | 0.67%             | 2035-04-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3372000 | PA      | $2814446.66   | 1.25%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83624 | PA      | $83450.50     | 0.04%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161441 | PA      | $153600.13    | 0.07%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670505 | PA      | $594394.86    | 0.26%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    934639 | PA      | $865064.42    | 0.39%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31292R7M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409737 | PA      | $385945.87    | 0.17%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140X6PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689674 | PA      | $636071.24    | 0.28%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                            | CUSIP: 36201Y3F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11326 | PA      | $11725.67     | 0.01%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8735000 | PA      | $3945357.10   | 1.76%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140GSPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214435 | PA      | $1158792.34   | 0.52%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136B6XJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5684307 | PA      | $5376231.17   | 2.40%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367328 | PA      | $370843.03    | 0.17%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4220000 | PA      | $1762671.06   | 0.79%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430537 | PA      | $399019.13    | 0.18%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179MAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104669 | PA      | $98090.25     | 0.04%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1855107 | PA      | $1401275.40   | 0.62%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140K43M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36679 | PA      | $32329.34     | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340940 | PA      | $312911.32    | 0.14%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404JF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $56.20        | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WCN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21694 | PA      | $21108.33     | 0.01%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3348000 | PA      | $3375464.06   | 1.50%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                              | Resolution Funding Corp Principal Strip                      | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   2225000 | PA      | $1856139.81   | 0.83%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407DMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66784 | PA      | $68006.48     | 0.03%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                            | CUSIP: 36200MRS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145030 | PA      | $146545.58    | 0.07%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406LGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $33.06        | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A32F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248063 | PA      | $240972.15    | 0.11%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31297ECF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60801 | PA      | $62188.51     | 0.03%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140KEK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3363746 | PA      | $2821952.09   | 1.26%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                         | Resolution Funding Corp Interest Strip                       | CUSIP: 76116EGR5<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    520000 | PA      | $437689.87    | 0.20%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417EY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283561 | PA      | $258938.98    | 0.12%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114451 | PA      | $101246.68    | 0.05%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407XSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52712 | PA      | $54154.65     | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2528942 | PA      | $2506243.30   | 1.12%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XGXR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776669 | PA      | $684299.72    | 0.31%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512389 | PA      | $445717.39    | 0.20%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HBCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5136352.00   | 2.29%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                              | Resolution Funding Corp Principal Strip                      | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   6895000 | PA      | $5820374.12   | 2.59%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402TFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45677 | PA      | $48013.56     | 0.02%             | 2033-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132KEZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172328 | PA      | $167512.78    | 0.07%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A8XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182659 | PA      | $175557.77    | 0.08%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31296WBJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8366 | PA      | $8462.49      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2172693 | PA      | $1820189.82   | 0.81%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288456 | PA      | $273221.73    | 0.12%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1865394.42  | -0.83%            | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722858 | PA      | $645983.82    | 0.29%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006333 | PA      | $958063.29    | 0.43%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102592 | PA      | $104033.51    | 0.05%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34311 | PA      | $33904.84     | 0.02%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123709 | PA      | $121103.62    | 0.05%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352770 | PA      | $336310.48    | 0.15%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                            | CUSIP: 36202TBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107942 | PA      | $108536.10    | 0.05%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243250 | PA      | $224464.23    | 0.10%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132WKB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115735 | PA      | $110049.27    | 0.05%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA INT STRIPS                                  | Fannie Mae Interest Strip                                    | CUSIP: 31359YQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    635000 | PA      | $460469.97    | 0.21%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    225000 | PA      | $68889.27     | 0.03%             | 2048-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603237 | PA      | $574142.77    | 0.26%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417AEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583161 | PA      | $549463.91    | 0.24%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138W2WH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248853 | PA      | $226779.66    | 0.10%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391EFH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121169 | PA      | $125535.41    | 0.06%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390LP26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13530 | PA      | $14017.82     | 0.01%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AFW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239129 | PA      | $238914.51    | 0.11%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                    | CUSIP: 01F060691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1532345.49   | 0.68%             | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31413NU29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99904 | PA      | $105183.66    | 0.05%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132L5A29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581942 | PA      | $531560.61    | 0.24%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMUA8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    222000 | PA      | $178756.81    | 0.08%             | 2036-03-24      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                         | Resolution Funding Corp Interest Strip                       | CUSIP: 76116EGP9<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    667000 | PA      | $584479.47    | 0.26%             | 2029-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201445 | PA      | $191334.30    | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2420000 | PA      | $1159735.41   | 0.52%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL                                       | Israel Government AID Bond                                   | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    370000 | PA      | $399681.18    | 0.18%             | 2033-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145884 | PA      | $142310.50    | 0.06%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                  | OHA Credit Partners XVI                                      | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1756169.98   | 0.78%             | 2037-10-18      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98488 | PA      | $93368.98     | 0.04%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130012 | PA      | $123129.73    | 0.05%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13080000 | PA      | $3899926.77   | 1.74%             | 2049-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210710 | PA      | $188328.96    | 0.08%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77818 | PA      | $76585.91     | 0.03%             | 2046-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417GSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53664 | PA      | $52548.93     | 0.02%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Federal Home Loan Mortgage Corp                              | CUSIP: 3134GWQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    280000 | PA      | $206982.79    | 0.09%             | 2035-08-17      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140XG6U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2719929 | PA      | $2401092.30   | 1.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692789 | PA      | $659376.84    | 0.29%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508409 | PA      | $445892.57    | 0.20%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Freddie Mac Strips                                           | CUSIP: 3134A4KY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    565000 | PA      | $424771.15    | 0.19%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746224 | PA      | $690223.55    | 0.31%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138E5YE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38800 | PA      | $38355.00     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMVU3<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    455000 | PA      | $364946.63    | 0.16%             | 2036-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 10 YEAR U.S. TREASURY NOTE                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        17 | NC      | $5781.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    894028 | PA      | $912228.72    | 0.41%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AKWJ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    485000 | PA      | $420328.59    | 0.19%             | 2031-02-10      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140GV2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590665 | PA      | $575923.78    | 0.26%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406N6U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2650 | PA      | $2748.08      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405KBU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $38.07        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132L8WD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69227 | PA      | $65970.76     | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179UQ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381316 | PA      | $342466.99    | 0.15%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468885 | PA      | $458165.66    | 0.20%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2650000 | PA      | $1233455.82   | 0.55%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409BG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121756 | PA      | $126760.41    | 0.06%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1788020 | PA      | $1811247.50   | 0.81%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838808 | PA      | $748982.96    | 0.33%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137452 | PA      | $119930.48    | 0.05%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| (PIPA070) PGIM Core Government Money Market Fund | (PIPA070) PGIM Core Government Money Market Fund             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1035317 | NS      | $1035317.41   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A5AY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    879196 | PA      | $824031.22    | 0.37%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31296YBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22036 | PA      | $22388.98     | 0.01%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AKKR6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1065000 | PA      | $804673.52    | 0.36%             | 2035-12-21      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140KB4A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845087 | PA      | $710035.72    | 0.32%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92892 | PA      | $83327.01     | 0.04%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195293 | PA      | $1004151.27   | 0.45%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407XRB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81616 | PA      | $84431.92     | 0.04%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AMKL5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    140000 | PA      | $130562.42    | 0.06%             | 2031-05-27      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7070000 | PA      | $3089868.46   | 1.38%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336491 | PA      | $318379.96    | 0.14%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260077 | PA      | $249456.55    | 0.11%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BKGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $879092.55    | 0.39%             | 2030-04-25      | Fixed         | 3.51%                 | Yes           |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                         | Resolution Funding Corp Interest Strip                       | CUSIP: 76116EHP8<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   1025000 | PA      | $853927.18    | 0.38%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $238.74       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227661 | PA      | $224270.13    | 0.10%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2188180 | PA      | $1826466.81   | 0.81%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AMJ94<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    100000 | PA      | $93488.14     | 0.04%             | 2031-05-27      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1403301 | PA      | $1259465.18   | 0.56%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ANUL2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    980000 | PA      | $858898.01    | 0.38%             | 2031-06-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    749853 | PA      | $693357.99    | 0.31%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52049 | PA      | $51941.09     | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4521914.00   | 2.02%             | 2032-06-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WJQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544012 | PA      | $465512.26    | 0.21%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2494010 | PA      | $1885520.88   | 0.84%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141258 | PA      | $134740.19    | 0.06%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836719 | PA      | $716586.80    | 0.32%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397854 | PA      | $398024.51    | 0.18%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M6SV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27995 | PA      | $29075.48     | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246206 | PA      | $245695.35    | 0.11%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74653 | PA      | $67075.45     | 0.03%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AM6D9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    160000 | PA      | $142949.84    | 0.06%             | 2031-05-12      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138E4ES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199972 | PA      | $188375.84    | 0.08%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84148 | PA      | $80260.21     | 0.04%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    984591 | PA      | $789263.15    | 0.35%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338673 | PA      | $321512.60    | 0.14%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EPAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85867 | PA      | $84942.61     | 0.04%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834NF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    560000 | PA      | $217286.93    | 0.10%             | 2044-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136233 | PA      | $130671.99    | 0.06%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292089 | PA      | $273368.15    | 0.12%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182355 | PA      | $153399.76    | 0.07%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418AVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97112 | PA      | $95052.82     | 0.04%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 10YR ULTRA                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        47 | NC      | $23763.07     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15651 | PA      | $15386.79     | 0.01%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834MD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1180000 | PA      | $485215.91    | 0.22%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57015 | PA      | $56280.40     | 0.03%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3941384 | PA      | $3131226.05   | 1.40%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7307478.05   | 3.26%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                             | Birch Grove Clo 11 Ltd                                       | CUSIP: 09077YAA2<br>LEI: 2549009HQHT8KMO8YJ79 | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $2057374.88   | 0.92%             | 2038-01-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412RKU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318784 | PA      | $310858.16    | 0.14%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PGIM AAA CLO ETF                                 | PGIM AAA CLO ETF                                             | CUSIP: 69344A834<br>LEI: 5493000IJ4TGDWNHKI54 | Long             | EC               | RF                | US        |     25000 | NS      | $1288125.00   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69142 | PA      | $63724.98     | 0.03%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621717 | PA      | $568142.27    | 0.25%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | U.S. TREASURY BOND                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -254 | NC      | $-80023.28    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123736 | PA      | $123479.08    | 0.06%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EMAG7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    160000 | PA      | $120919.64    | 0.05%             | 2035-09-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    926943 | PA      | $832584.94    | 0.37%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1031918 | PA      | $948998.30    | 0.42%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4571338 | PA      | $4520171.88   | 2.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417ECN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644988 | PA      | $588873.73    | 0.26%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130ALDV3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    325000 | PA      | $250947.47    | 0.11%             | 2036-02-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31417GZE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241947 | PA      | $220900.02    | 0.10%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404V2D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $40.16        | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70411 | PA      | $68952.96     | 0.03%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 5 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        55 | NC      | $21872.17     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128MJZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94206 | PA      | $89800.21     | 0.04%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138A94P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267393 | PA      | $267153.14    | 0.12%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A9NB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175149 | PA      | $171593.14    | 0.08%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140QDZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440602 | PA      | $369679.01    | 0.16%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENBX7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    196000 | PA      | $176452.71    | 0.08%             | 2030-10-21      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                            | Tennessee Valley Authority                                   | CUSIP: 880591FE7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    140000 | PA      | $140675.42    | 0.06%             | 2030-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140K05T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220150 | PA      | $193975.40    | 0.09%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212576 | PA      | $186376.76    | 0.08%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133EM6C1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    600000 | PA      | $520403.57    | 0.23%             | 2031-09-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834XG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $78704.88     | 0.04%             | 2051-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 30Y UMBS TBA 3.5                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -30 | NC      | $-155.70      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE                                       | Federal National Mortgage Association                        | CUSIP: 3135GA4L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    100000 | PA      | $75711.44     | 0.03%             | 2035-11-16      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                       | Federal National Mortgage Association                        | CUSIP: 3136F1EQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    530000 | PA      | $420608.55    | 0.19%             | 2031-03-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138WEV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1312039 | PA      | $1222623.03   | 0.55%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404XUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39280 | PA      | $39059.77     | 0.02%             | 2031-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                   | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BPVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $357144.26    | 0.16%             | 2031-01-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J6AE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98080 | PA      | $88287.18     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128P8E98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147247 | PA      | $142370.47    | 0.06%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58144 | PA      | $52108.28     | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405RKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7386 | PA      | $7775.46      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385123 | PA      | $358502.52    | 0.16%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | ULTRA U.S. TREASURY BOND                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        62 | NC      | $-36437.99    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020871 | PA      | $918108.32    | 0.41%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $18132.17     | 0.01%             | 2048-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ELTR5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1330000 | PA      | $888777.78    | 0.40%             | 2040-03-19      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                      | CUSIP: 3130AKZS8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     30000 | PA      | $25987.79     | 0.01%             | 2031-02-18      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31388LGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50116 | PA      | $52679.30     | 0.02%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493206 | PA      | $442684.54    | 0.20%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31307PYV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164452 | PA      | $161208.37    | 0.07%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tikehau US CLO Ltd                               | Tikehau US CLO VII Ltd                                       | CUSIP: 88677FAA1<br>LEI: 254900CXO5NATO3A5N33 | Long             | ABS-CBDO         | CORP              | BM        |   2400000 | PA      | $2400480.00   | 1.07%             | 2038-02-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EKKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602557 | PA      | $565492.57    | 0.25%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae I Pool                                            | CUSIP: 36290SHW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199328 | PA      | $200682.19    | 0.09%             | 2033-09-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | FED FUND 30DAY                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $53.27        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENGR5<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1545000 | PA      | $1366555.92   | 0.61%             | 2031-12-09      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31292K4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188068 | PA      | $183480.51    | 0.08%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31296X5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138888 | PA      | $141175.03    | 0.06%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Ginnie Mae II Pool                                           | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63810 | PA      | $62813.06     | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3132KETW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84794 | PA      | $83393.73     | 0.04%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                             | CUSIP: 3132A5HC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190397 | PA      | $181264.17    | 0.08%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418DZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039069 | PA      | $925092.23    | 0.41%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136BWRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1391883 | PA      | $1410191.63   | 0.63%             | 2055-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                           | United States Treasury Strip Coupon                          | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16480000 | PA      | $8018592.35   | 3.57%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407CAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44394 | PA      | $45283.28     | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-23

**Name of Applicant:** Prudential Investment Portfolios, Inc. 14

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Chief Financial Officer