# EDGAR Filing Document

**Accession Number:** 0000729528
**File Stem:** 0001145549-25-053102
**Filing Date:** 2025-8
**Character Count:** 296060
**Document Hash:** 809b4957091f7733891fa8fd8db64ef2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-053102.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001145549-25-053102

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

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

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03857
- **FILM NUMBER:** 251249273

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

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

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

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

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

## Series and Classes Contracts Data

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

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000023908 | Class 1      |  |
| C000023909 | Class 2      |  |
| C000023910 | Class 3      |  |
| C000121504 | Class 4      |  |
| C000176236 | Class 1A     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** U.S. Government Securities Fund

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

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

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2119880428.44

**Total Liabilities:** $307953901.26

**Net Assets:** $1811926527.18

**Cash Not Reported:** $566992.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -22.740521100000 | **1-Year:** -2552.517451000000 | **5-Year:** -4484.597021000000 | **10-Year:** -3961.395390000000 | **30-Year:** -267.595817600000

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

- **3-Month:** -345.732473700000 | **1-Year:** -5380.306739000000 | **5-Year:** -6160.948463000000 | **10-Year:** -1574.517410000000 | **30-Year:** -76.977457200000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023908 | 1.21%                | -1.20%               | 1.55%                |
| Class ID C000023909 | 1.13%                | -1.21%               | 1.53%                |
| Class ID C000023910 | 1.21%                | -1.29%               | 1.52%                |
| Class ID C000121504 | 1.13%                | -1.22%               | 1.50%                |
| Class ID C000176236 | 1.12%                | -1.20%               | 1.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $866852.47               | $1542454.78                                |
| Month 2  | $-908465.83              | $-16124779.94                              |
| Month 3  | $683592.99               | $13515143.17                               |

**Designated Index Information**

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

- **Index Identifier:** I01262US

### Schedule of Portfolio Investments

| Name                                                      | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.353% 04-19-23/04-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-7171.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0895% 04-20-23/04-20-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $114386.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.344% 04-20-23/04-20-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-8264.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.128% 04-28-23/04-28-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-33256.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.9405% 04-28-23/04-28-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $134594.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 06-30-31                         | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9625000 | PA      | $9800970.99   | 0.54%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-29                          | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15070000 | PA      | $15211659.51  | 0.84%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.259% 05-01-23/05-01-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-18181.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0535% 05-01-23/05-01-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $238564.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 07-31-26                        | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25795000 | PA      | $25901806.78  | 1.43%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751 | FHMS K751 A2 (MF) 4.412% 03-25-30                                  | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3875000 | PA      | $3915524.75   | 0.22%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR2095 07-01-51                                      | CUSIP: 3140L0KH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1324643 | PA      | $1107939.40   | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5011 05-01-53                                      | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1797925 | PA      | $1834285.76   | 0.10%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8325 05-01-53                                      | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3733236 | PA      | $3803242.01   | 0.21%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 FM7365 05-01-41                                      | CUSIP: 3140XBFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24153274 | PA      | $20848743.87  | 1.15%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5040 06-01-53                                      | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1406402 | PA      | $1432775.14   | 0.08%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8332 06-01-53                                      | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14538297 | PA      | $14809246.81  | 0.82%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5039 06-01-53                                      | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2866631 | PA      | $2872426.93   | 0.16%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6486 06-01-53                                      | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1770791 | PA      | $1809613.49   | 0.10%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6465 06-01-53                                      | CUSIP: 3140QSFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1338307 | PA      | $1370086.84   | 0.08%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6485 06-01-53                                      | CUSIP: 3140QSF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2854807 | PA      | $2905065.77   | 0.16%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9287 06-01-53                                      | CUSIP: 3133KRJ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1143379 | PA      | $1195597.06   | 0.07%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9279 06-01-53                                      | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    402949 | PA      | $412580.19    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9288 06-01-53                                      | CUSIP: 3133KRJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1667904 | PA      | $1742604.78   | 0.10%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9289 06-01-53                                      | CUSIP: 3133KRKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1623369 | PA      | $1695323.27   | 0.09%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9290 06-01-53                                      | CUSIP: 3133KRKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    873788 | PA      | $911940.38    | 0.05%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9281 06-01-53                                      | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    247145 | PA      | $253013.45    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9291 06-01-53                                      | CUSIP: 3133KRKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    550356 | PA      | $570410.89    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9292 06-01-53                                      | CUSIP: 3133KRKD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1727113 | PA      | $1797175.45   | 0.10%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9283 06-01-53                                      | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    348004 | PA      | $355640.46    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8342 07-01-53                                      | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16933270 | PA      | $16977194.40  | 0.94%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8331 06-01-53                                      | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1454918 | PA      | $1457859.48   | 0.08%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5072 07-01-53                                      | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9763610 | PA      | $9782102.00   | 0.54%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8316 04-01-53                                      | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    860723 | PA      | $862574.42    | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4979 04-01-53                                      | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2105224 | PA      | $2109752.79   | 0.12%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD2948 11-01-52                                      | CUSIP: 3132DQHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1907962 | PA      | $1914816.81   | 0.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA3384 08-01-50                                      | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25538 | PA      | $22352.10     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA7052 09-01-50                                      | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25137 | PA      | $22011.21     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BW1243 10-01-52                                      | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    541956 | PA      | $544447.56    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BW1289 10-01-52                                      | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    596166 | PA      | $598216.37    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8453 08-01-54                                      | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1001206 | PA      | $1001942.38   | 0.06%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5949 07-01-54                                      | CUSIP: 3132DTTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8347701 | PA      | $8504896.86   | 0.47%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1986 07-01-54                                      | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6989364 | PA      | $7235977.15   | 0.40%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0854 01-01-54                                      | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    380727 | PA      | $394571.64    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1725 06-01-54                                      | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    650911 | PA      | $680083.22    | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8591 07-01-54                                      | CUSIP: 3140XQRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3833262 | PA      | $3934046.59   | 0.22%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2210 08-01-54                                      | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3260759 | PA      | $3323326.33   | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2216 08-01-54                                      | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1501480 | PA      | $1529795.38   | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2222 08-01-54                                      | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3944449 | PA      | $4107989.92   | 0.23%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7792 08-01-54                                      | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    108102 | PA      | $110004.46    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2306 09-01-54                                      | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    238172 | PA      | $244392.33    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2308 09-01-54                                      | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    256861 | PA      | $263609.68    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2312 09-01-54                                      | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    272489 | PA      | $278792.83    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8756 08-01-54                                      | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     96151 | PA      | $98375.67     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6029 08-01-54                                      | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    150165 | PA      | $153639.46    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4916 08-01-54                                      | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    114548 | PA      | $116711.84    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5813 07-01-54                                      | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    246094 | PA      | $252271.54    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.285% 05-01-23/05-01-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-14596.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.085% 05-09-23/05-09-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $129405.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8757 08-01-54                                      | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    233428 | PA      | $238989.41    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD6286 08-01-54                                      | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4177063 | PA      | $4207250.14   | 0.23%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6288 09-01-54                                      | CUSIP: 3132DT6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5031969 | PA      | $5239788.96   | 0.29%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8401 02-01-54                                      | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    944046 | PA      | $944739.77    | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8464 09-01-54                                      | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1839798 | PA      | $1901530.32   | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8471 10-01-54                                      | CUSIP: 3132DWMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46254 | PA      | $47806.05     | 0.00%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8439 06-01-54                                      | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       837 | PA      | $851.61       | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS9009 09-01-54                                      | CUSIP: 3140XRAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1989269 | PA      | $2003645.26   | 0.11%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.186% 05-09-23/05-09-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-26791.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.215% 05-10-23/05-10-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-22534.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS3056 10-01-52                                      | CUSIP: 3140XJME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3297481 | PA      | $2615878.12   | 0.14%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5528 11-01-54                                      | CUSIP: 31418FEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    946515 | PA      | $880747.71    | 0.05%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS5037 02-01-52                                      | CUSIP: 3140XLS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    381432 | PA      | $316766.36    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD4318 11-01-53                                      | CUSIP: 3132E0YP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10395579 | PA      | $10814105.20  | 0.60%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU5165 11-01-54                                      | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    208859 | PA      | $209205.79    | 0.01%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8507 05-01-54                                      | CUSIP: 3140QUNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1909517 | PA      | $1989848.30   | 0.11%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1792 06-01-54                                      | CUSIP: 3142GR7E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2802214 | PA      | $2926430.45   | 0.16%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1535 05-01-54                                      | CUSIP: 3142GRV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1229987 | PA      | $1281731.14   | 0.07%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 13 3.15% 08-01-27                                         | CUSIP: 911759MJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  10250000 | PA      | $10060262.25  | 0.56%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 12 3.10% 08-01-26                                         | CUSIP: 911759MH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2226000 | PA      | $2198022.52   | 0.12%             | 2026-08-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 18 3.60% 08-01-32                                         | CUSIP: 911759MP0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2327000 | PA      | $2186942.52   | 0.12%             | 2032-08-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 15 3.35% 08-01-29                                         | CUSIP: 911759ML9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2020000 | PA      | $1971056.21   | 0.11%             | 2029-08-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 20 3.70% 08-01-34                                         | CUSIP: 911759MR6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    330000 | PA      | $304085.76    | 0.02%             | 2034-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 14 3.25% 08-01-28                                         | CUSIP: 911759MK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3064000 | PA      | $3005842.22   | 0.17%             | 2028-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND SER A 4.625% 09-15-60                                     | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    250000 | PA      | $217932.58    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 2.875% 02-01-27                                           | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4930035.50   | 0.27%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 5.0% 05-15-45                          | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7855000 | PA      | $8067960.83   | 0.45%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 06-30-27                         | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33220000 | PA      | $33242058.08  | 1.83%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.375% 07-15-25 | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2398561 | PA      | $2397518.44   | 0.13%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT        | AID-MOROCCO SF 7.55% 07-15-26                                      | CUSIP: 34459RAB1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    896590 | PA      | $910626.65    | 0.05%             | 2026-07-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 08-15-52                          | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    895000 | PA      | $646019.32    | 0.04%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 08-15-39                          | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13655000 | PA      | $13601151.51  | 0.75%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-40                        | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     90000 | PA      | $90508.25     | 0.00%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 02-15-45                          | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4850000 | PA      | $3415469.43   | 0.19%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.125% 02-15-41 | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    139164 | PA      | $136260.69    | 0.01%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.75% 02-15-42  | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1483576 | PA      | $1152321.50   | 0.06%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.625% 02-15-43 | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1730172 | PA      | $1285981.68   | 0.07%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS1630 09-01-51                                      | CUSIP: 3140XGY45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    375126 | PA      | $311446.78    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 257431 10-01-28                                      | CUSIP: 31371N4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       799 | PA      | $825.22       | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8225 07-01-52                                      | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3220695 | PA      | $2793379.70   | 0.15%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV7703 04-01-52                                      | CUSIP: 3140MMRZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3271357 | PA      | $2598664.62   | 0.14%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6548 03-01-51                                      | CUSIP: 3140XAH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    910907 | PA      | $735516.76    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 6.5 ZS8907 10-01-26                                      | CUSIP: 3132A93Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       251 | PA      | $251.85       | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS3759 02-01-53                                      | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    709669 | PA      | $732326.36    | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD0813 01-01-52                                      | CUSIP: 3132DM3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    128015 | PA      | $112600.06    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV3076 02-01-52                                      | CUSIP: 3140MGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    398780 | PA      | $316357.26    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.5 UMBS TBA 07-01-55                                         | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8642000 | PA      | $7166663.69   | 0.40%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.5 UMBS TBA 07-01-55                                         | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25486000 | PA      | $22948613.84  | 1.27%             | 2055-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.5 UMBS TBA 07-01-55                                         | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    431662 | PA      | $412952.04    | 0.02%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.0 UMBS TBA 07-01-55                                         | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8415881 | PA      | $8552883.13   | 0.47%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX3198 12-01-52                                      | CUSIP: 3140N7RU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     52215 | PA      | $48680.70     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8305 03-01-53                                      | CUSIP: 3132DWGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    764370 | PA      | $711446.70    | 0.04%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 5.0 UMBS TBA 07-01-55                                         | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    437423 | PA      | $428733.59    | 0.02%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | UMBS  30YR TBA(REG A) 7.0 UMBS TBA 07-01-55                        | CUSIP: 01F070674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12685000 | PA      | $13356493.16  | 0.74%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4919 02-01-53                                      | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9030 | PA      | $9057.82      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB4917 10-01-52                                      | CUSIP: 3140QQPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82782 | PA      | $83303.41     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.0 UMBS TBA 07-01-55                                         | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1271568 | PA      | $1182508.65   | 0.07%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 5.0 UMBS TBA 07-01-40                                         | CUSIP: 01F050478<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    780000 | PA      | $785725.20    | 0.04%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF8523 02-01-53                                      | CUSIP: 3133BWPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    760222 | PA      | $708370.71    | 0.04%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4707 07-01-54                                      | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    176659 | PA      | $179768.78    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2314 09-01-54                                      | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    503777 | PA      | $513264.57    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2309 09-01-54                                      | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    151913 | PA      | $154778.69    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.0 UMBS TBA 07-01-40                                         | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1115380 | PA      | $1019485.20   | 0.06%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 4.0 UMBS TBA 07-01-40                                         | CUSIP: 01F040479<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    920000 | PA      | $899994.60    | 0.05%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.5 UMBS TBA 08-01-55                                         | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50461435 | PA      | $52031239.78  | 2.87%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.0 UMBS TBA 08-01-55                                         | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10488000 | PA      | $9074416.87   | 0.50%             | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.0 UMBS TBA 08-01-55                                         | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2690410 | PA      | $2501451.74   | 0.14%             | 2055-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO                                              | COCA-COLA COMPANY (THE) 4(a)(2) CP 7/17/2025                       | CUSIP: 19121AUH2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4989850.00   | 0.28%             | 2025-07-17      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CAFCO LLC                                                 | CAFCO LLC 4(a)(2) CP 8/19/2025                                     | CUSIP: 1247P2VK7<br>LEI: 8O46YQAGJ63WE5QHIG35 | Long             | DBT              | CORP              | US        |  15300000 | PA      | $15206884.20  | 0.84%             | 2025-08-19      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                         | CISCO SYSTEMS INC 4(a)(2) CP 8/1/2025                              | CUSIP: 17277AV12<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9961560.00   | 0.55%             | 2025-08-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                         | CISCO SYSTEMS INC 4(a)(2) CP 8/5/2025                              | CUSIP: 17277AV53<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9956750.00   | 0.55%             | 2025-08-05      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                       | CHARIOT FUNDING LLC 4(a)(2) CP 9/4/2025                            | CUSIP: 15963TW47<br>LEI: 549300EEWRNP448AMT79 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6943391.00   | 0.38%             | 2025-09-04      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                       | CHARIOT FUNDING LLC 4(a)(2) CP 9/15/2025                           | CUSIP: 15963TWF2<br>LEI: 549300EEWRNP448AMT79 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495290.50    | 0.03%             | 2025-09-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CHARIOT FUNDING LLC                                       | CHARIOT FUNDING LLC 4(a)(2) CP 8/25/2025                           | CUSIP: 15963TVR7<br>LEI: 549300EEWRNP448AMT79 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9931450.00   | 0.55%             | 2025-08-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ELI LILLY AND CO                                          | ELI LILLY AND COMPANY 4(a)(2) CP 7/25/2025                         | CUSIP: 53245PUR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   8700000 | PA      | $8673891.30   | 0.48%             | 2025-07-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                         | JOHNSON & JOHNSON 4(a)(2) CP 7/3/2025                              | CUSIP: 47816FU33<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |  22000000 | PA      | $21992146.00  | 1.21%             | 2025-07-03      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| KOMATSU FINANCE AMERICA INC                               | KOMATSU FINANCE AMERICA INC. 4(a)(2) CP 9/11/2025                  | CUSIP: 50045VWB5<br>LEI: 549300SRAAFEEQ8Z4D68 | Long             | DBT              | CORP              | US        |  17400000 | PA      | $17247193.20  | 0.95%             | 2025-09-11      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| LVMH MOET HENNESSY LOUIS VUITTON INC                      | LVMH MOET HENNESSY LOUIS VUITTON I 4(a)(2) CP 10/1/2025            | CUSIP: 55078TX10<br>LEI: 529900YISWVEKZT7CN18 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4944020.00   | 0.27%             | 2025-10-01      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| LINDE INC                                                 | LINDE INC CP 8/27/2025                                             | CUSIP: 53522LVT5<br>LEI: ZU69GUVJQGZ6Z1UOOO79 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4965550.00   | 0.27%             | 2025-08-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVARTIS FINANCE CORP                                     | NOVARTIS FINANCE CORP 4(a)(2) CP 7/7/2025                          | CUSIP: 6698M4U75<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3596986.80   | 0.20%             | 2025-07-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                     | ONTARIO (PROVINCE OF) CP 7/18/2025                                 | CUSIP: 68323JUJ2<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $4989225.00   | 0.28%             | 2025-07-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                                     | PACCAR FINANCIAL CORP. CP 7/10/2025                                | CUSIP: 69372AUA8<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   8400000 | PA      | $8389785.60   | 0.46%             | 2025-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5647 03-01-55                                      | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    144913 | PA      | $147346.14    | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 MA5235 12-01-43                                      | CUSIP: 31418EY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1069556 | PA      | $1107003.54   | 0.06%             | 2043-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING LLC                                    | PRUDENTIAL FUNDING LLC CP 7/2/2025                                 | CUSIP: 74433GU20<br>LEI: 1DG4ZOS0QLU53YYD8O46 | Long             | DBT              | CORP              | US        |  16000000 | PA      | $15996176.00  | 0.88%             | 2025-07-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                                     | PACCAR FINANCIAL CORP. CP 7/24/2025                                | CUSIP: 69372AUQ3<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   8150000 | PA      | $8126096.05   | 0.45%             | 2025-07-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                               | WALMART INC 4(a)(2) CP 7/7/2025                                    | CUSIP: 93114EU70<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |  16800000 | PA      | $16786005.60  | 0.93%             | 2025-07-07      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WALMART INC                                               | WAL-MART STORES INC. 4(a)(2) CP 7/14/2025                          | CUSIP: 93114EUE5<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9983260.00   | 0.55%             | 2025-07-14      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.535% 01-23-25/01-23-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-15688.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.53% 01-23-25/01-23-27 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-9362.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5674 04-01-55                                      | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    213444 | PA      | $217057.23    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM8114 06-01-51                                      | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1373878 | PA      | $1089075.77   | 0.06%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.5485% 01-29-25/01-29-30 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-30525.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.529% 01-29-25/01-29-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-24226.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD7967 02-01-52                                      | CUSIP: 3133B5Z88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    297916 | PA      | $236149.85    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2666 01-01-52                                      | CUSIP: 3140QM6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999900 | PA      | $866313.39    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.528% 01-29-25/01-29-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-20019.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.7645% 02-20-25/02-20-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $66183.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                   | SCRT 2017-2 HA FRN 08-25-56                                        | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3202647 | PA      | $3003669.53   | 0.17%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                   | SCRT 17-2 MA 3.0% 08-25-56                                         | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3586734 | PA      | $3350906.38   | 0.18%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                   | SCRT 2017-4 HT FRN 06-25-57                                        | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1101651 | PA      | $993918.04    | 0.05%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                   | SCRT 18-2 MT 3.5% 11-25-57                                         | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3475738 | PA      | $3117539.28   | 0.17%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.761% 02-20-25/02-20-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $32437.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.6475% 02-27-26/02-27-28 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $173511.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                              | SLST 18-2 A1 3.5% 11-25-28                                         | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13783260 | PA      | $13403655.19  | 0.74%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 19-2 MA 3.5% 08-25-58                                         | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1558365 | PA      | $1490143.34   | 0.08%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.62% 09-02-25/06-30-27 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-31182.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 0.5385% 03-26-20/03-26-30 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $6034041.30   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                   | SCRT 19-1 MA 3.5% 07-25-58                                         | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    415646 | PA      | $399975.66    | 0.02%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-4                   | SCRT 19-4 MA 3.0% 02-25-59                                         | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1346078 | PA      | $1248334.96   | 0.07%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 0.666% 11-19-20/11-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2072725.10   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-3                              | SLST 19-3 A1C 2.75% 11-25-29                                       | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3487956 | PA      | $3312934.29   | 0.18%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                   | SCRT 19-3 MT 3.5% 10-25-58                                         | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    328080 | PA      | $293989.59    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 19-2 MT 3.5% 08-25-58                                         | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    611582 | PA      | $546025.52    | 0.03%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1     | SLST 20-1 A1D 2.0% 07-25-30                                        | CUSIP: 35564CEV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    997422 | PA      | $918238.34    | 0.05%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1     | SLST 20-1 A2D 2.0% 07-25-30                                        | CUSIP: 35564CEZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    435000 | PA      | $382579.89    | 0.02%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1     | SLST 22-1 A1 3.5% 05-25-32                                         | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3392893 | PA      | $3263501.38   | 0.18%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.15% 11-10-23/05-15-33 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-34663.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6025% 01-08-24/01-08-34 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3431.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.184% 01-10-24/01-10-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1887.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2035% 01-10-24/01-10-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-749.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2045% 01-10-24/01-10-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-62.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6765% 02-20-24/02-20-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $86633.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 11-15-52                          | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1849300 | PA      | $1618133.80   | 0.09%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.5% 02-15-53   | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    802054 | PA      | $635565.32    | 0.04%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE8742 05-01-47                                      | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12412 | PA      | $11475.44     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1443 09-01-49                                      | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    248314 | PA      | $228974.64    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1062 06-01-49                                      | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    337222 | PA      | $311679.63    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 931768 08-01-39                                      | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4020 | PA      | $4072.15      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AT0300 03-01-43                                          | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4076 | PA      | $3843.98      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2847 05-01-47                                      | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1610 | PA      | $1484.70      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AD3566 10-01-35                                      | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2542 | PA      | $2579.49      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2846 05-01-47                                      | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6369 | PA      | $5886.59      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 695412 06-01-33                                      | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       329 | PA      | $336.44       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54700 03-01-48                                          | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34227 | PA      | $31318.20     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q19133 06-01-43                                          | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22181 | PA      | $20783.48     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK5232 05-01-48                                      | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61620 | PA      | $58358.64     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q56175 05-01-48                                          | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47106 | PA      | $44676.20     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT7161 06-01-43                                      | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29115 | PA      | $27307.61     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1463 10-01-49                                      | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    309654 | PA      | $286199.76    | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7544 07-01-51                                      | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    134257 | PA      | $118527.08    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 8D0226 05-01-52                                          | CUSIP: 3142BNHB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    424292 | PA      | $389124.71    | 0.02%             | 2052-05-01      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS0647 02-01-52                                      | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3076203 | PA      | $2709732.17   | 0.15%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6406 11-01-51                                      | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    412715 | PA      | $329197.10    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RA7938 09-01-52                                      | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9438949 | PA      | $9298053.82   | 0.51%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.5 RB5154 04-01-42                                      | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9080047 | PA      | $8052475.89   | 0.44%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7552 01-01-52                                      | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    272390 | PA      | $229417.50    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8213 05-01-52                                      | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7787226 | PA      | $6754826.96   | 0.37%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM8745 09-01-51                                      | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1258582 | PA      | $1045003.48   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA5288 05-01-51                                      | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2040999 | PA      | $1641232.74   | 0.09%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB0290 04-01-51                                      | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    580004 | PA      | $460478.68    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QD7089 02-01-52                                      | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    148594 | PA      | $134888.58    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BQ3005 10-01-50                                      | CUSIP: 3140KNKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    467631 | PA      | $391450.06    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD1385 11-01-51                                      | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    439740 | PA      | $370490.67    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1527 09-01-51                                      | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    578807 | PA      | $484861.59    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7900 07-01-51                                      | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    156185 | PA      | $131701.93    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA7257 10-01-50                                      | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    158618 | PA      | $133905.32    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0523 02-01-52                                      | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    167721 | PA      | $141229.40    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.5 BF0585 12-01-61                                         | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    348838 | PA      | $334194.79    | 0.02%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2286 12-01-51                                      | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1040787 | PA      | $874632.83    | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA6593 08-01-50                                      | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    744191 | PA      | $628110.55    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS0965 11-01-51                                      | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41408 | PA      | $32985.50     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR1035 05-01-51                                      | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5513 | PA      | $4376.78      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8257 10-01-52                                      | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3088526 | PA      | $2961547.05   | 0.16%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA4840 12-01-52                                      | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2569060 | PA      | $2463628.80   | 0.14%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW7327 08-01-52                                      | CUSIP: 3140N0D93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2765158 | PA      | $2651668.01   | 0.15%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BX0097 10-01-52                                      | CUSIP: 3140N4DB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    839357 | PA      | $805939.37    | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW1192 09-01-52                                      | CUSIP: 3140MSKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    649242 | PA      | $621843.60    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QF2560 11-01-52                                      | CUSIP: 3133BPZZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    957469 | PA      | $920239.58    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW9458 10-01-52                                      | CUSIP: 3140N2QL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    921606 | PA      | $885777.95    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3774 06-01-52                                      | CUSIP: 3140QPFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2586986 | PA      | $2411883.11   | 0.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8256 10-01-52                                      | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1375840 | PA      | $1282570.09   | 0.07%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8287 01-01-53                                      | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13688 | PA      | $13127.63     | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1895 11-01-52                                      | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    998597 | PA      | $975850.57    | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA4820 10-01-52                                      | CUSIP: 31418ELA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    209141 | PA      | $217817.78    | 0.01%             | 2052-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8281 12-01-52                                      | CUSIP: 3132DWFW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4227056 | PA      | $4395626.75   | 0.24%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1608 09-01-52                                      | CUSIP: 3132DNYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    122476 | PA      | $117444.62    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AL9870 02-01-28                                      | CUSIP: 3138ER6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7654 | PA      | $7907.93      | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 745316 02-01-26                                      | CUSIP: 31403DAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3923 | PA      | $4051.97      | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 940890 06-01-37                                      | CUSIP: 31413BXT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       389 | PA      | $406.04       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 6.5 ZA2024 09-01-27                                      | CUSIP: 31329KG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       659 | PA      | $681.10       | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD1496 08-01-52                                      | CUSIP: 3132DNUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38875 | PA      | $38307.75     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS2489 08-01-52                                      | CUSIP: 3140XHXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47580 | PA      | $47022.88     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 QE8282 08-01-52                                      | CUSIP: 3133BJFX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    787100 | PA      | $775534.26    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BV2558 06-01-52                                      | CUSIP: 3140MFZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47412 | PA      | $46713.24     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS2159 06-01-52                                      | CUSIP: 3140XHMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53231 | PA      | $52514.30     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 QE7647 08-01-52                                      | CUSIP: 3133BHP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46265 | PA      | $45583.02     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5073 07-01-53                                      | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1681472 | PA      | $1712616.16   | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS4933 06-01-53                                      | CUSIP: 3140XLPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1904318 | PA      | $1939744.41   | 0.11%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3175 06-01-53                                      | CUSIP: 3132DQQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3774777 | PA      | $3843146.03   | 0.21%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX6121 01-01-53                                      | CUSIP: 3140NAYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1866766 | PA      | $1913530.34   | 0.11%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8362 09-01-53                                      | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    725178 | PA      | $726364.47    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8370 11-01-53                                      | CUSIP: 3132DWJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    711210 | PA      | $681132.04    | 0.04%             | 2053-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 SD8386 12-01-53                                      | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    576389 | PA      | $608097.14    | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8872 07-01-54                                      | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6816749 | PA      | $7099371.25   | 0.39%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8725 06-01-54                                      | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4369610 | PA      | $4541374.94   | 0.25%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8876 07-01-54                                      | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2006910 | PA      | $2086538.12   | 0.12%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8317 07-01-54                                      | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1132664 | PA      | $1179535.85   | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8454 08-01-54                                      | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     90855 | PA      | $92400.76     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5445 08-01-54                                      | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    214971 | PA      | $218691.26    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6878 06-01-54                                      | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    816518 | PA      | $830913.82    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6901 07-01-54                                      | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1011496 | PA      | $1029335.81   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760014 08-01-45                                          | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    209519 | PA      | $208868.10    | 0.01%             | 2045-08-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 256828 07-01-37                                         | CUSIP: 31371NHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2457 | PA      | $2518.01      | 0.00%             | 2037-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 256860 08-01-37                                         | CUSIP: 31371NJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9554 | PA      | $9964.77      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 888698 10-01-37                                         | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11519 | PA      | $12042.50     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.0 970343 02-01-38                                         | CUSIP: 31414MP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12256 | PA      | $12358.10     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 1H1354 11-01-36                                          | CUSIP: 3128NGE35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     30048 | PA      | $30984.72     | 0.00%             | 2036-11-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                   | SCRT 18-3 MA 3.5% 08-25-57                                         | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    346533 | PA      | $334212.72    | 0.02%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 G67711 03-01-48                                          | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1083448 | PA      | $1027735.13   | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1580 10-01-49                                      | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    159357 | PA      | $147286.89    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA0284 06-01-49                                      | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    128272 | PA      | $118281.92    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 932606 02-01-40                                          | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6344 | PA      | $6427.65      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BH3122 06-01-47                                      | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4819 | PA      | $4563.76      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AE1283 12-01-41                                          | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7444 | PA      | $7547.70      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BK9761 08-01-48                                      | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13236 | PA      | $13033.57     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54701 03-01-48                                          | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40922 | PA      | $37356.55     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q52069 11-01-47                                          | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59463 | PA      | $54309.36     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ8411 08-01-49                                      | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     88635 | PA      | $81732.09     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1277 11-01-41                                      | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11950 | PA      | $12100.77     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BJ5015 12-01-47                                      | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    105378 | PA      | $99838.83     | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ4901 03-01-48                                      | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32607 | PA      | $30066.50     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA4805 11-01-52                                      | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7864 | PA      | $7540.83      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM8422 08-01-51                                      | CUSIP: 3140XCLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    501891 | PA      | $416491.39    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB3354 04-01-52                                      | CUSIP: 3140QNWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7163675 | PA      | $5947440.44   | 0.33%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1135% 05-10-23/05-10-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $111163.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1605% 05-19-23/05-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $130994.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1448 05-01-54                                      | CUSIP: 3142GRTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    481227 | PA      | $481878.26    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5341 04-01-54                                      | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2758217 | PA      | $2567221.82   | 0.14%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5207 11-01-53                                      | CUSIP: 31418EYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    977684 | PA      | $910289.45    | 0.05%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3528 05-01-52                                      | CUSIP: 3140QN4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    573080 | PA      | $534321.63    | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QD9477 04-01-52                                      | CUSIP: 3133B7Q68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    348221 | PA      | $324113.08    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3140 03-01-52                                      | CUSIP: 3140QNP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    414390 | PA      | $386385.32    | 0.02%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB6626 07-01-53                                      | CUSIP: 3140QSLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    799832 | PA      | $744533.29    | 0.04%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5283 02-01-54                                      | CUSIP: 31418E2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    907329 | PA      | $844501.42    | 0.05%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5236 12-01-53                                      | CUSIP: 31418EZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23620 | PA      | $21986.92     | 0.00%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BY2249 04-01-53                                      | CUSIP: 3140NJQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    225274 | PA      | $209869.75    | 0.01%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB7216 09-01-53                                      | CUSIP: 3140QTAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26683 | PA      | $24835.42     | 0.00%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QI0100 02-01-54                                      | CUSIP: 3133W6DD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    158826 | PA      | $147844.02    | 0.01%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW9778 06-01-53                                      | CUSIP: 3140N22L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1304453 | PA      | $1215077.36   | 0.07%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8425 04-01-54                                      | CUSIP: 3132DWLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    515461 | PA      | $479766.84    | 0.03%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5404 05-01-54                                      | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2442676 | PA      | $2543948.87   | 0.14%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1726 06-01-54                                      | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1068026 | PA      | $1112305.98   | 0.06%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS6986 07-01-52                                      | CUSIP: 3140XNXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    211067 | PA      | $167338.59    | 0.01%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7329 06-01-52                                      | CUSIP: 3140XPEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    101360 | PA      | $80434.46     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0765 09-01-63                                         | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    441274 | PA      | $390977.07    | 0.02%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1779 06-01-54                                      | CUSIP: 3142GR6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11851467 | PA      | $12146283.72  | 0.67%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 ZT0522 09-01-48                                      | CUSIP: 3132ACSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16528 | PA      | $16079.49     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4237 01-01-51                                      | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     68145 | PA      | $54378.78     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI6 3.0 BF0497 07-01-60                                         | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1148769 | PA      | $990529.46    | 0.05%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4208 12-01-50                                      | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    194353 | PA      | $155151.32    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 5.0 C03518 09-01-40                                          | CUSIP: 31292K4B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    233567 | PA      | $236889.83    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD0726 10-01-51                                      | CUSIP: 3132DMYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8361920 | PA      | $7023971.39   | 0.39%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2544 01-01-52                                      | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1951058 | PA      | $1709126.69   | 0.09%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5145 02-01-42                                      | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    630004 | PA      | $541577.05    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9976 12-01-51                                      | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    665894 | PA      | $588863.02    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD0873 02-01-52                                      | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10994661 | PA      | $10080762.38  | 0.56%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM7687 06-01-51                                      | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4462066 | PA      | $3941873.97   | 0.22%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4305 04-01-51                                      | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9135 | PA      | $7275.08      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA5155 05-01-51                                      | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    921520 | PA      | $730493.57    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA3987 11-01-50                                      | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1791056 | PA      | $1499646.10   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI3510 06-01-41                                      | CUSIP: 3138AG3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    135022 | PA      | $136775.47    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI1862 05-01-41                                      | CUSIP: 3138AFB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    257409 | PA      | $260752.23    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ0704 09-01-41                                      | CUSIP: 3138ARYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    121225 | PA      | $122996.13    | 0.01%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ5391 11-01-41                                      | CUSIP: 3138AW7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     68262 | PA      | $69148.97     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 5.0 G06459 05-01-41                                          | CUSIP: 3128M8QL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    482065 | PA      | $488922.49    | 0.03%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8128 02-01-51                                      | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31702 | PA      | $25267.73     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8134 03-01-51                                      | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     52779 | PA      | $42034.21     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8106 11-01-50                                      | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1176728 | PA      | $939377.65    | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.93542% 12-06-22/12-06-52 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $92670.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.342% 04-19-23/04-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-8433.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0875% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $114657.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1035% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $112489.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 05-15-50                         | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14825000 | PA      | $7121689.84   | 0.39%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.625% 11-15-50                        | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26165200 | PA      | $13785399.89  | 0.76%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 11-15-40                        | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1945000 | PA      | $1238721.88   | 0.07%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-51                        | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5892200 | PA      | $3309829.63   | 0.18%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 02-15-51 | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    141822 | PA      | $77287.23     | 0.00%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.875% 06-30-26                        | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2065000 | PA      | $2002404.69   | 0.11%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 07-15-31 | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1077210 | PA      | $991286.10    | 0.05%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 10-15-26 | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9478282 | PA      | $9370909.45   | 0.52%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 01-15-32 | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3349226 | PA      | $3035630.17   | 0.17%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 04-15-27 | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2916347 | PA      | $2855626.60   | 0.16%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 05-31-27                        | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2290000 | PA      | $2242907.52   | 0.12%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 07-31-29                        | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9309300 | PA      | $8917404.54   | 0.49%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.125% 08-15-25                        | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $389360.17    | 0.02%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 08-15-32                         | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8095000 | PA      | $7466561.67   | 0.41%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-28-30                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11270000 | PA      | $11380393.03  | 0.63%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 05-15-43                        | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    820000 | PA      | $732324.37    | 0.04%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 05-31-28                        | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14850000 | PA      | $14818657.59  | 0.82%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 06-30-28                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6906500 | PA      | $6965609.28   | 0.38%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 06-30-30                         | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17030000 | PA      | $16985851.43  | 0.94%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 07-15-26                          | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10366100 | PA      | $10421979.50  | 0.58%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 02-15-46                          | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $2702536.20   | 0.15%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 05-15-46                          | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1585000 | PA      | $1095255.61   | 0.06%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 11-15-46                        | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $1987638.48   | 0.11%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 08-15-48                          | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $554462.18    | 0.03%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 10-31-25                          | CUSIP: 9128285J5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1395400 | PA      | $1389567.79   | 0.08%             | 2025-10-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 08-15-50                        | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4330000 | PA      | $2134974.91   | 0.12%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 05-15-51                        | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6280000 | PA      | $3984856.56   | 0.22%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 06-30-28                         | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3325000 | PA      | $3095641.83   | 0.17%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.0% 07-31-28                          | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    970000 | PA      | $894261.53    | 0.05%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 08-15-51                          | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5225700 | PA      | $3012331.25   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 11-15-51                        | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3163600 | PA      | $1760200.47   | 0.10%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 03-15-26                        | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11050000 | PA      | $11090142.44  | 0.61%             | 2026-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 08-15-43                        | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $38118.75     | 0.00%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.29% 05-19-23/05-19-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-17799.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.0135% 08-21-23/08-21-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $35387.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 09-15-26                        | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10209000 | PA      | $10293327.36  | 0.57%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 10-31-30                        | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    625000 | PA      | $656050.37    | 0.04%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 MA2746 09-01-36                                      | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1021512 | PA      | $1010584.14   | 0.06%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2588 04-01-36                                      | CUSIP: 31418B2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    459297 | PA      | $454602.45    | 0.03%             | 2036-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK9743 08-01-48                                      | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24316 | PA      | $22963.65     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1290 02-01-42                                      | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16251 | PA      | $16372.22     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2848 05-01-47                                      | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5713 | PA      | $5236.22      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM9416 07-01-45                                      | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3525888 | PA      | $3275620.86   | 0.18%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM3280 05-01-49                                      | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    909449 | PA      | $845572.78    | 0.05%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA4732 09-01-52                                      | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1238609 | PA      | $1154771.63   | 0.06%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8343 07-01-53                                      | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18215758 | PA      | $18553150.04  | 1.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA7739 11-01-50                                      | CUSIP: 3140QFS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1591969 | PA      | $1339428.80   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3369 05-01-53                                      | CUSIP: 3132DQW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    502258 | PA      | $503403.45    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RA8647 05-01-53                                      | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     83352 | PA      | $79933.96     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD2465 10-01-52                                      | CUSIP: 3132DPW20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     81767 | PA      | $78402.84     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE9497 09-01-52                                      | CUSIP: 3133BKRS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    210072 | PA      | $201361.37    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE8579 08-01-52                                      | CUSIP: 3133BJQ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    181816 | PA      | $174266.45    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QF0212 09-01-52                                      | CUSIP: 3133BMGV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    833959 | PA      | $799643.33    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8350 08-01-53                                      | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19986934 | PA      | $20354833.42  | 1.12%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA5070 07-01-53                                      | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1114279 | PA      | $1068198.79   | 0.06%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.1615% 11-10-23/05-15-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-13259.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5165 10-01-53                                      | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21627283 | PA      | $21662664.75  | 1.20%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6853 08-01-53                                      | CUSIP: 3140QSTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    441188 | PA      | $422636.30    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6719 07-01-53                                      | CUSIP: 3140QSPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    358468 | PA      | $343394.52    | 0.02%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD3782 10-01-52                                      | CUSIP: 3132E0FX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3197386 | PA      | $3065931.96   | 0.17%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8366 10-01-53                                      | CUSIP: 3132DWJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3281456 | PA      | $3228496.48   | 0.18%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD3825 09-01-53                                      | CUSIP: 3132E0HA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     86783 | PA      | $89695.18     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG1653 04-01-53                                      | CUSIP: 3133C1ZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    803838 | PA      | $819097.64    | 0.05%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG0259 04-01-53                                      | CUSIP: 3133C0JC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    433818 | PA      | $442950.27    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG5227 06-01-53                                      | CUSIP: 3133C5YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    803233 | PA      | $818177.20    | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5919 03-01-53                                      | CUSIP: 3140QRSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    796685 | PA      | $811696.95    | 0.04%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG3763 05-01-53                                      | CUSIP: 3133C4FC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1731288 | PA      | $1765415.61   | 0.10%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD0470 11-01-47                                      | CUSIP: 3132DMQX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5792550 | PA      | $5471642.50   | 0.30%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 ZT2265 08-01-48                                      | CUSIP: 3132AEQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5428665 | PA      | $5140685.53   | 0.28%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5177 10-01-53                                      | CUSIP: 31418EXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2630488 | PA      | $2449707.54   | 0.14%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5127 08-01-53                                      | CUSIP: 31418EVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61666 | PA      | $57434.51     | 0.00%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5027 05-01-53                                      | CUSIP: 31418ESR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    939397 | PA      | $875324.14    | 0.05%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW9646 07-01-53                                      | CUSIP: 3140N2WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45866 | PA      | $42704.59     | 0.00%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3083 06-01-53                                      | CUSIP: 3132DQM86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1903629 | PA      | $1938048.16   | 0.11%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3857 09-01-53                                      | CUSIP: 3132E0JA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  39176248 | PA      | $39944024.51  | 2.20%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9857 09-01-53                                      | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2110484 | PA      | $2149529.68   | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5912 03-01-53                                      | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    587908 | PA      | $601868.39    | 0.03%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5107 08-01-53                                      | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    201098 | PA      | $201473.55    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5167 10-01-53                                      | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    222731 | PA      | $230294.02    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BX1004 10-01-52                                      | CUSIP: 3140N5DJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4768885 | PA      | $4693397.88   | 0.26%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD2979 05-01-53                                      | CUSIP: 3132DQJY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    256938 | PA      | $268239.52    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5166 10-01-53                                      | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    511872 | PA      | $521235.60    | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS5994 10-01-52                                      | CUSIP: 3140XMUU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8255740 | PA      | $8136559.73   | 0.45%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS4611 09-01-52                                      | CUSIP: 3140XLDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8361819 | PA      | $8239811.97   | 0.45%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4053 10-01-53                                      | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4713231 | PA      | $4799986.98   | 0.26%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8372 11-01-53                                      | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3169028 | PA      | $3177185.48   | 0.18%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8395 01-01-54                                      | CUSIP: 3132DWKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1962109 | PA      | $1964308.42   | 0.11%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FS6362 08-01-52                                      | CUSIP: 3140XNB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2265249 | PA      | $2045089.31   | 0.11%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4894 02-01-54                                      | CUSIP: 3132DSNK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4107847 | PA      | $4204586.34   | 0.23%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7624 12-01-53                                      | CUSIP: 3140QTPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12089125 | PA      | $12532722.92  | 0.69%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB5118 11-01-52                                      | CUSIP: 3140QQVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     51371 | PA      | $47894.43     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6873 01-01-54                                      | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3438512 | PA      | $3555889.39   | 0.20%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5296 03-01-54                                      | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    955019 | PA      | $955720.97    | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8408 03-01-54                                      | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    502289 | PA      | $502657.83    | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1216 04-01-54                                      | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    575796 | PA      | $579957.42    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1215 04-01-54                                      | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    100258 | PA      | $100542.92    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                               | FARM 2024-1 A 144A FRN 10-01-53                                    | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    990037 | PA      | $963367.51    | 0.05%             | 2053-10-01      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6668 12-01-53                                      | CUSIP: 3140XNMS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    517784 | PA      | $518697.75    | 0.03%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS5343 07-01-53                                      | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    278838 | PA      | $284133.00    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6809 02-01-54                                      | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    478528 | PA      | $478941.07    | 0.03%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5215 12-01-53                                      | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    145479 | PA      | $145679.85    | 0.01%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB1235 04-01-54                                      | CUSIP: 3140AALR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    633605 | PA      | $649670.39    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI2895 04-01-54                                      | CUSIP: 3133W9GC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    493654 | PA      | $505946.21    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5353 05-01-54                                      | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5593590 | PA      | $5597701.75   | 0.31%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8328 04-01-54                                      | CUSIP: 3140QUHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1252728 | PA      | $1261781.37   | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8387 04-01-54                                      | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1272328 | PA      | $1327954.58   | 0.07%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3386 07-01-53                                      | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    617171 | PA      | $618085.61    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4975 02-01-54                                      | CUSIP: 3132DSQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    209088 | PA      | $212639.69    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BV8976 08-01-52                                      | CUSIP: 3140MN6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    310524 | PA      | $307872.69    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8755 06-01-54                                      | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3074476 | PA      | $3145336.55   | 0.17%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4700 07-01-54                                      | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7511228 | PA      | $7652845.20   | 0.42%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI8874 07-01-54                                      | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3102810 | PA      | $3161238.68   | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.0 UMBS TBA 08-01-55                                         | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6583000 | PA      | $5214848.53   | 0.29%             | 2055-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                 | APPLE INC 4(a)(2) CP 8/4/2025                                      | CUSIP: 03785DV45<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |  11900000 | PA      | $11850198.50  | 0.65%             | 2025-08-04      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ALPHABET INC                                              | ALPHABET INC 4(a)(2) CP 9/23/2025                                  | CUSIP: 02079NWP2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19796160.00  | 1.09%             | 2025-09-23      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| APPLE INC                                                 | APPLE INC 4(a)(2) CP 8/13/2025                                     | CUSIP: 03785DVD5<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |  22500000 | PA      | $22381605.00  | 1.24%             | 2025-08-13      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 08-15-54                         | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3825100 | PA      | $3492794.44   | 0.19%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 08-15-44                        | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11760000 | PA      | $10772717.42  | 0.59%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 09-30-26                          | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11100000 | PA      | $11044490.01  | 0.61%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.625% 10-15-29 | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36773726 | PA      | $37226223.85  | 2.05%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 10-31-29                        | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4800000 | PA      | $4869040.32   | 0.27%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 11-15-34                         | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1790000 | PA      | $1795849.72   | 0.10%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-30-31                        | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3240000 | PA      | $3272164.13   | 0.18%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-30-29                        | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10200000 | PA      | $10350084.84  | 0.57%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 12-31-29                        | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23475000 | PA      | $24056893.61  | 1.33%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-35                        | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5158746.00   | 0.28%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-55                        | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7370000 | PA      | $7173658.78   | 0.40%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-28                         | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48655000 | PA      | $49313384.86  | 2.72%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 19 3.65% 08-01-33                                         | CUSIP: 911759MQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1639000 | PA      | $1528411.75   | 0.08%             | 2033-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 17 3.55% 08-01-31                                         | CUSIP: 911759MN5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2194000 | PA      | $2096573.24   | 0.12%             | 2031-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 11 2.95% 08-01-25                                         | CUSIP: 911759MG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2220000 | PA      | $2217459.21   | 0.12%             | 2025-08-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 16 3.50% 08-01-30                                         | CUSIP: 911759MM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1793000 | PA      | $1732638.66   | 0.10%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ETHIOPIAN LEASING 2012 LLC                                | ETHIOPIAN LEASING 2012 LLC SR SEC 1ST LIEN SF 2.646% 05-12-26      | CUSIP: 29766DAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | ET        |     91104 | PA      | $90358.95     | 0.00%             | 2026-05-12      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORPORATION                        | PRIVATE EXPORT FUNDING SR SEC 1ST LIEN 1.4% 07-15-28               | CUSIP: 742651DY5<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2793924.60   | 0.15%             | 2028-07-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SOUTHAVEN COMBINED CYCLE GENERATION LLC                   | TVA SOUTHAVEN  STRUCTURED SR SEC 1ST LIEN SF 3.846% 08-15-33       | CUSIP: 841215AA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    694862 | PA      | $666402.07    | 0.04%             | 2033-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TENNESSEE VALLEY AUTHORITY SR UNSEC 4.875% 05-15-35                | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2445000 | PA      | $2501740.63   | 0.14%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 7.125% 01-15-30                                               | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2000000 | PA      | $2272562.60   | 0.13%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FHLB 3.25% 11-16-28                                                | CUSIP: 3130AFFX0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   6500000 | PA      | $6415655.35   | 0.35%             | 2028-11-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 7/25/2025                                          | CUSIP: 313385JP2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   7500000 | PA      | $7479828.75   | 0.41%             | 2025-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 7/11/2025                                          | CUSIP: 313385HZ2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   6000000 | PA      | $5993296.20   | 0.33%             | 2025-07-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 7/9/2025                                           | CUSIP: 313385HX7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   8900000 | PA      | $8892056.75   | 0.49%             | 2025-07-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 8/27/2025                                          | CUSIP: 313385KY1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  10600000 | PA      | $10529337.22  | 0.58%             | 2025-08-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.375% 02-15-55 | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9363883 | PA      | $9055165.11   | 0.50%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 02-29-32                        | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9305000 | PA      | $9389521.04   | 0.52%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                    | FED FARM CR DISC NT 8/7/2025                                       | CUSIP: 313313KC1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   7100000 | PA      | $7069452.25   | 0.39%             | 2025-08-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 9/17/2025                                          | CUSIP: 313385LV6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4954540.00   | 0.27%             | 2025-09-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                    | FED FARM CR DISC NT 8/27/2025                                      | CUSIP: 313313KY3<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4966668.50   | 0.27%             | 2025-08-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FHLB 5.5% 07-15-36                                                 | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    300000 | PA      | $326825.16    | 0.02%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 4.65% 06-15-35                                            | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1780000 | PA      | $1809229.20   | 0.10%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 5.88% 04-01-36                                            | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    875000 | PA      | $969126.46    | 0.05%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 02-15-29                        | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3270000 | PA      | $3149118.89   | 0.17%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.0% 02-15-49   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    318710 | PA      | $231330.75    | 0.01%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY STRIP COUPON 0.0% 11-15-40                  | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1110000 | PA      | $525929.10    | 0.03%             | 2040-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 11-15-49                        | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1435000 | PA      | $923446.90    | 0.05%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.25% 02-15-50  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    362602 | PA      | $210663.20    | 0.01%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 04-30-27                          | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250000 | PA      | $1178755.25   | 0.07%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 03-31-30                          | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15139527.00  | 0.84%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 03-31-27                        | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23000000 | PA      | $23038584.80  | 1.27%             | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 03-31-32                        | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3026445.60   | 0.17%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786647 03-20-52                                           | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1548862 | PA      | $1311807.44   | 0.07%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786502 02-20-52                                           | CUSIP: 3622ACDF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3014201 | PA      | $2548742.30   | 0.14%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786706 12-20-51                                           | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3517214 | PA      | $2957161.09   | 0.16%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786701 03-20-52                                           | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    942592 | PA      | $797078.68    | 0.04%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785575 08-20-51                                           | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4505503 | PA      | $3772718.81   | 0.21%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785659 10-20-51                                           | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    621756 | PA      | $519667.61    | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8199 08-20-52                                           | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    654763 | PA      | $598332.11    | 0.03%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8567 01-20-53                                           | CUSIP: 36179XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    418704 | PA      | $391687.18    | 0.02%             | 2053-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 MA8947 06-20-53                                           | CUSIP: 36179X5G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52953 | PA      | $52294.02     | 0.00%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8266 09-20-52                                           | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3990945 | PA      | $3641413.74   | 0.20%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9169 09-20-53                                           | CUSIP: 36179YFJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1153256 | PA      | $1107638.13   | 0.06%             | 2053-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9104 08-20-53                                           | CUSIP: 36179YDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2759041 | PA      | $2651325.45   | 0.15%             | 2053-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9015 07-20-53                                           | CUSIP: 36179YAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4289026 | PA      | $4125528.54   | 0.23%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8723 03-20-53                                           | CUSIP: 36179XVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    207841 | PA      | $194217.55    | 0.01%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA9776 07-20-54                                           | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4417722 | PA      | $4114352.40   | 0.23%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MB0024 11-20-54                                           | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1402070 | PA      | $1343088.87   | 0.07%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0023 11-20-54                                           | CUSIP: 3618N5AZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5867668 | PA      | $5459812.36   | 0.30%             | 2054-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0089 12-20-54                                           | CUSIP: 3618N5C31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4240271 | PA      | $3945538.20   | 0.22%             | 2054-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0144 01-20-55                                           | CUSIP: 3618N5ES4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    435513 | PA      | $405241.28    | 0.02%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 TBA 07-01-55                                              | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5000 | PA      | $4912.30      | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 96.5 12-12-25                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |       106 | NC      | $42400.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5P P @ 95.6875 12-12-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      3128 | NC      | $78200.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | FED FUND 30DAY FUT FFQ5 08-29-25                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       156 | NC      | $-4582.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 07-31-28                        | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17685000 | PA      | $17898447.34  | 0.99%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 08-15-33                        | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3180300 | PA      | $3132835.29   | 0.17%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 09-30-30                        | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1290000 | PA      | $1338418.86   | 0.07%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 11-15-53                         | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    205000 | PA      | $203021.11    | 0.01%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 12-31-25                         | CUSIP: 91282CJS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17685000 | PA      | $17687072.68  | 0.98%             | 2025-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 01-31-26                         | CUSIP: 91282CJV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5535000 | PA      | $5535756.63   | 0.31%             | 2026-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-54                         | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11130000 | PA      | $10156920.80  | 0.56%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 02-15-44                          | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3780000 | PA      | $3653896.55   | 0.20%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-28-26                        | CUSIP: 91282CKB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9375000 | PA      | $9402465.00   | 0.52%             | 2026-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.125% 02-15-54 | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3736804 | PA      | $3420928.22   | 0.19%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 03-31-26                          | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1435000 | PA      | $1439092.05   | 0.08%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 04-15-27                          | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30374952.00  | 1.68%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 04-30-26                        | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35525000 | PA      | $35753969.28  | 1.97%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 05-15-34                        | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1687100 | PA      | $1714117.56   | 0.09%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 05-15-54                        | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5610000 | PA      | $5447836.22   | 0.30%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 05-31-29                          | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    825000 | PA      | $847606.57    | 0.05%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 DC5704 11-01-54                                      | CUSIP: 3140ATKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    132827 | PA      | $123615.14    | 0.01%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7242 10-01-53                                      | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    689498 | PA      | $715992.63    | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5552 12-01-54                                      | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    815349 | PA      | $799812.09    | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS9507 02-01-54                                      | CUSIP: 3140XRR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4117808 | PA      | $3945267.78   | 0.22%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                               | WAL-MART STORES INC. 4(a)(2) CP 7/21/2025                          | CUSIP: 93114EUM7<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9974850.00   | 0.55%             | 2025-07-21      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.175% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $918276.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.5405% 01-23-25/01-23-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-13594.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.875% 07-15-34 | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7268908 | PA      | $7277141.88   | 0.40%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 08-15-34                        | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1970000 | PA      | $1923571.83   | 0.11%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 08-15-27                         | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5043000 | PA      | $5045523.01   | 0.28%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9294 06-01-53                                      | CUSIP: 3133KRKF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1992426 | PA      | $2073249.20   | 0.11%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9284 06-01-53                                      | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    193752 | PA      | $199850.89    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9295 06-01-53                                      | CUSIP: 3133KRKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    482094 | PA      | $509903.45    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54781 03-01-48                                          | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27632 | PA      | $25483.17     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54699 03-01-48                                          | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18506 | PA      | $16957.04     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54831 03-01-48                                          | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11685 | PA      | $10800.33     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK6840 06-01-48                                      | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     87134 | PA      | $82513.23     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AC0794 10-01-39                                      | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17892 | PA      | $18124.60     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA2748 09-01-49                                      | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38453 | PA      | $35352.36     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q28558 09-01-44                                          | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    165288 | PA      | $154531.75    | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q55971 05-01-48                                          | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58732 | PA      | $55220.37     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54709 03-01-48                                          | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43246 | PA      | $39773.36     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                              | SCRT 17-3 MT 3.0% 07-25-56                                         | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    721306 | PA      | $617879.50    | 0.03%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                  | SCRT 18-1 HT 3.0% 05-25-57                                         | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    786389 | PA      | $671738.58    | 0.04%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2179 01-01-50                                      | CUSIP: 3140X5M59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2904007 | PA      | $2577268.52   | 0.14%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.56% 03-01-24/03-01-26 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $81460.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.6275% 03-20-24/03-20-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $193861.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.9005% 04-17-24/04-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $97431.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.5895% 05-06-24/05-06-27 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $428998.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.815% 05-06-24/05-06-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $219586.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.723% 05-07-24/05-07-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $190400.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.659% 05-17-24/05-17-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $277239.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.528% 06-18-24/06-18-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-16215.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.63358% 07-25-24/10-31-25 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1160.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.47875% 08-05-24/08-05-54 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $321930.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.616% 08-05-24/08-05-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-260597.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.561% 08-09-24/08-09-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-259294.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.415% 08-09-24/08-09-54 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $324569.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.9815% 11-06-24/11-06-44 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-26099.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.225% 12-31-24/09-30-25 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-11973.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.186% 02-18-25/02-18-27 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-507813.29   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRU5C C @ 98 09-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      1551 | NC      | $29081.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRU5C C @ 97 09-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |       607 | NC      | $22762.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 97 12-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |       106 | NC      | $19212.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 97.5 12-12-25                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |       105 | NC      | $10500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRH6 06-16-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         3 | NC      | $-2881.17     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRM5 09-16-25                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2584 | NC      | $-301741.45   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRZ5 03-17-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       147 | NC      | $82049.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 5YR FUT FVU5 09-30-25                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      4388 | NC      | $5297704.84   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT TYU5 09-19-25                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       863 | NC      | $1787106.70   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 2YR FUT TUU5 09-30-25                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3063 | NC      | $2222133.94   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 30YR FUT ULTRA WNU5 09-19-25                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        30 | NC      | $61959.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT ULTRA UXYU5 09-19-25                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       115 | NC      | $-128300.90   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 20YR FUT USU5 09-19-25                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       146 | NC      | $591090.14    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6106 04-01-53                                      | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    353553 | PA      | $369224.13    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8324 05-01-53                                      | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    767751 | PA      | $769402.34    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5010 05-01-53                                      | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    312949 | PA      | $313622.41    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56590 06-01-48                                          | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23200 | PA      | $21404.50     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1248 06-01-41                                      | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27969 | PA      | $28263.16     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56589 06-01-48                                          | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12699 | PA      | $11724.08     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 CA4151 09-01-49                                      | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    458330 | PA      | $423614.35    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q15874 02-01-43                                          | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3032 | PA      | $2905.48      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE5017 02-01-45                                      | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     52275 | PA      | $48591.46     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58378 09-01-48                                          | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55629 | PA      | $54088.33     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AY1829 12-01-44                                      | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6786 | PA      | $6365.75      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q47615 04-01-47                                          | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41594 | PA      | $37847.53     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT3954 04-01-43                                      | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5822 | PA      | $5467.53      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q56599 06-01-48                                          | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     91165 | PA      | $86235.19     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE8740 05-01-47                                      | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44688 | PA      | $41196.01     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54782 03-01-48                                          | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19539 | PA      | $17953.53     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58411 09-01-48                                          | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    165172 | PA      | $160873.67    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q17696 04-01-43                                          | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21670 | PA      | $20372.31     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 AJ1873 10-01-41                                      | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19290 | PA      | $18645.55     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54698 03-01-48                                          | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10845 | PA      | $9936.81      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58436 09-01-48                                          | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     77741 | PA      | $75678.16     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BM3788 03-01-48                                      | CUSIP: 3140J8F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2530824 | PA      | $2333637.60   | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                              | SCRT 17-3 HT 3.25% 07-25-56                                        | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    291133 | PA      | $257287.83    | 0.01%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU5166 10-01-54                                      | CUSIP: 3140M6W41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1464415 | PA      | $1492085.41   | 0.08%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9432 11-01-54                                      | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    397639 | PA      | $405718.71    | 0.02%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8493 12-01-54                                      | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2843 | PA      | $2845.15      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8432 05-01-54                                      | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77148 | PA      | $78505.54     | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BY1411 02-01-53                                      | CUSIP: 3140NHR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1382852 | PA      | $1287407.23   | 0.07%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB6590 06-01-53                                      | CUSIP: 3140QSKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     72384 | PA      | $67417.27     | 0.00%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM6856 04-01-51                                      | CUSIP: 3140XATN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    350815 | PA      | $293948.36    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD4554 08-01-52                                      | CUSIP: 3132DSBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    138891 | PA      | $129401.63    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS7990 02-01-54                                      | CUSIP: 3140XP2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1954018 | PA      | $1818750.78   | 0.10%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.85282% 12-06-22/12-06-52 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $98475.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.01413% 01-12-23/01-12-53 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $217820.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.02% 01-12-23/01-12-53 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $216189.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.27% 02-16-23/02-16-26 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $8137.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.265% 02-16-23/02-16-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3893.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.3035% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3026.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2515% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2082.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2675% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2301.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.3005% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2057.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.288% 02-17-23/02-17-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1934.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.045% 03-24-23/07-27-50 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $523958.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.916% 03-30-23/07-11-25 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $8157.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.31% 03-31-23/06-09-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-133187.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.45% 03-31-23/02-01-28 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $8283.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.47% 04-03-23/02-02-28 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $13452.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.065% 04-07-23/04-07-40 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1138451.10  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.18% 04-17-23/04-17-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-26974.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.974% 04-17-23/04-17-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $130024.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.044% 04-18-23/04-18-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $120546.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.275% 04-18-23/04-18-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-16114.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5531 11-01-54                                      | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24459 | PA      | $24477.23     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8469 10-01-54                                      | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3709 | PA      | $3711.30      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DA7881 03-01-54                                      | CUSIP: 3140A8XK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    401142 | PA      | $401436.90    | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8475 11-01-54                                      | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3750391 | PA      | $3753147.62   | 0.21%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8795 08-01-54                                      | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    124001 | PA      | $126210.58    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3240 01-01-55                                      | CUSIP: 3142GTS64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3846110 | PA      | $3917444.28   | 0.22%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3301 01-01-55                                      | CUSIP: 3142GTU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1569004 | PA      | $1610257.97   | 0.09%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3305 01-01-55                                      | CUSIP: 3142GTU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1097752 | PA      | $1124079.09   | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9821 01-01-55                                      | CUSIP: 3140QV4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1073269 | PA      | $1094206.63   | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV0894 01-01-52                                      | CUSIP: 3140MD7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    480783 | PA      | $381407.57    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD5745 03-01-52                                      | CUSIP: 3132DTL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    338060 | PA      | $268205.82    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD7087 02-01-52                                      | CUSIP: 3133B42U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1285944 | PA      | $1019322.76   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV0162 03-01-52                                      | CUSIP: 3140MDFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5244505 | PA      | $4157172.39   | 0.23%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5587 01-01-55                                      | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1850156 | PA      | $1881532.72   | 0.10%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5631 02-01-55                                      | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4000003 | PA      | $4133595.47   | 0.23%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8507 02-01-55                                      | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    483729 | PA      | $491882.88    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8516 03-01-55                                      | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     81746 | PA      | $83128.11     | 0.00%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8525 04-01-55                                      | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    450418 | PA      | $457987.59    | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC7823 12-01-54                                      | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37095 | PA      | $37736.49     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 FS9819 07-01-54                                      | CUSIP: 3140XR4D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    270625 | PA      | $285512.07    | 0.02%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 CB3701 05-01-37                                      | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    775351 | PA      | $724275.86    | 0.04%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4665 07-01-37                                      | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    323947 | PA      | $302603.32    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 2.5 QO0557 07-01-37                                      | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1130455 | PA      | $1055976.36   | 0.06%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FA0608 02-01-55                                      | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28157 | PA      | $28177.62     | 0.00%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5701 05-01-55                                      | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    283643 | PA      | $288409.56    | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RQ0012 06-01-55                                      | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    666888 | PA      | $653971.41    | 0.04%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MB0299 02-01-55                                      | CUSIP: 3138MTKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    898597 | PA      | $836155.92    | 0.05%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5646 03-01-55                                      | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7938290 | PA      | $7942267.10   | 0.44%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8515 03-01-55                                      | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      5948 | PA      | $5950.86      | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DB0754 03-01-54                                      | CUSIP: 3140A9ZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     50555 | PA      | $50680.54     | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QJ4811 09-01-54                                      | CUSIP: 3133CVKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    678516 | PA      | $679014.36    | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8534 05-01-55                                      | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    118301 | PA      | $120282.77    | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA3576 09-01-50                                      | CUSIP: 3133KJ6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1373847 | PA      | $1089070.24   | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8517 03-01-55                                      | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12305168 | PA      | $12716136.02  | 0.70%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR0772 01-01-51                                      | CUSIP: 3140KX2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1361564 | PA      | $1080158.98   | 0.06%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD5035 01-01-52                                      | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1340221 | PA      | $1062358.35   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD0910 11-01-51                                      | CUSIP: 3133AXAK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    536163 | PA      | $425015.11    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB3523 05-01-52                                      | CUSIP: 3140QN4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    173020 | PA      | $150083.20    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q23190 125K MAX 11-01-43                                 | CUSIP: 3132M3F77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    112167 | PA      | $108296.96    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 6.0 782365 07-15-38                                           | CUSIP: 36241KTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58666 | PA      | $61667.48     | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.5 700778 10-15-38                                           | CUSIP: 36296TQ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10798 | PA      | $11010.09     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.5 698668 11-15-38                                           | CUSIP: 36296RFH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25533 | PA      | $26196.87     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 004269 10-20-38                                           | CUSIP: 36202EW62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    120947 | PA      | $128099.55    | 0.01%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.0 698406 07-15-39                                           | CUSIP: 36296Q3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132918 | PA      | $134748.15    | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA6994 11-20-50                                           | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    768034 | PA      | $626319.08    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 783689 02-20-40                                           | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1745334 | PA      | $1792391.95   | 0.10%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.0 783690 09-20-39                                           | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63108 | PA      | $66527.14     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 783688 06-20-41                                           | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    625334 | PA      | $628747.49    | 0.03%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 783687 12-20-41                                           | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    427344 | PA      | $415376.81    | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA0533 11-20-42                                           | CUSIP: 36179MSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14751 | PA      | $13458.91     | 0.00%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA7051 12-20-50                                           | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    672612 | PA      | $548352.05    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7534 08-20-51                                           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1955060 | PA      | $1663064.05   | 0.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7827 01-20-52                                           | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81690 | PA      | $69488.86     | 0.00%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8044 05-20-52                                           | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2113329 | PA      | $1928903.34   | 0.11%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA7937 03-20-52                                           | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    236462 | PA      | $209435.57    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7987 04-20-52                                           | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    870763 | PA      | $740702.41    | 0.04%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA7988 04-20-52                                           | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    184875 | PA      | $163701.00    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8346 10-20-52                                           | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    307308 | PA      | $287928.27    | 0.02%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2        | GNMA 21-2 AH 1.5% 06-16-63                                         | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    424320 | PA      | $310199.55    | 0.02%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785998 03-20-52                                           | CUSIP: 3622ABRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    739353 | PA      | $619325.30    | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 TBA 07-01-55                                              | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30000 | PA      | $27278.04     | 0.00%             | 2055-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 TBA 07-01-55                                              | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1904900 | PA      | $1907995.46   | 0.11%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                   | SCRT 2017-1 HA FRN 01-25-56                                        | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3500258 | PA      | $3288772.82   | 0.18%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6815% 02-20-24/02-20-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $63493.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.7205% 02-21-24/02-21-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $18379.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.568% 03-01-24/03-01-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $81683.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Lead Analyst