# EDGAR Filing Document

**Accession Number:** 0000202032
**File Stem:** 0001752724-23-049871
**Filing Date:** 2023-3
**Character Count:** 343996
**Document Hash:** b8d2d440597bcfabe79b26d9ab3fa713
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049871.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049871

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM GROWTH SERIES (INVESCO GROWTH SERIES)
- **CENTRAL INDEX KEY:** 0000202032
- **IRS NUMBER:** 942362417
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02699
- **FILM NUMBER:** 23691739

**BUSINESS ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046
- **BUSINESS PHONE:** 7136261919

**MAIL ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM GROWTH SERIES
- **DATE OF NAME CHANGE:** 19980601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL GROWTH SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL GROWTH FUNDS
- **DATE OF NAME CHANGE:** 19870617

## Series and Classes Contracts Data

### Invesco Quality Income Fund (Series ID: S000027862)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000084602 | CLASS A      | VKMGX           |
| C000084604 | CLASS C      | VUSCX           |
| C000084605 | CLASS Y      | VUSIX           |
| C000084606 | CLASS R5     | VUSJX           |
| C000188964 | Class R6     |  |
| C000217950 | Class R      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AIM Growth Series (Invesco Growth Series)

- **b. Investment Company Act file number:** 811-02699

- **c. CIK number of Registrant:** 0000202032

- **d. LEI of Registrant:** EHBZ0YMC2UFRMDIU6731

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

  - **Street Address 1:** 11 Greenway Plaza

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77046-1173

  - **Telephone number:** 800-959-4246

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

- **a. Name of Series:** Invesco Quality Income Fund

- **b. EDGAR series identifier (if any):** S000027862

- **c. LEI of Series:** Z5XM6FHQ2ZGIRVHR7B13

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $919550045.14

**Total Liabilities:** $263617935.53

**Net Assets:** $655932109.61

**Delayed Delivery Securities:** $244159607.91

**Cash Not Reported:** $1215397.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3587.29019483 | **1-Year:** -47854.43255898 | **5-Year:** -132260.12317103 | **10-Year:** -235201.30923144 | **30-Year:** -76082.54875006

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

- **3-Month:** -12.89785751 | **1-Year:** -191.44788906 | **5-Year:** -334.17200155 | **10-Year:** -206.55900890 | **30-Year:** -14.20039489

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000084606 | -1.79%               | 4.35%                | -0.73%               |
| Class ID C000217950 | -1.84%               | 4.31%                | -0.78%               |
| Class ID C000188964 | -1.68%               | 4.23%                | -0.63%               |
| Class ID C000084605 | -1.69%               | 4.22%                | -0.64%               |
| Class ID C000084602 | -1.82%               | 4.22%                | -0.66%               |
| Class ID C000084604 | -1.90%               | 4.29%                | -0.83%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-11046276.89            | $-2657419.09                               |
| Month 2  | $-841575.46              | $27000975.91                               |
| Month 3  | $7165504.03              | $-14136417.24                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. MBS Index

- **Index Identifier:** 100% BB-US MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36201DUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1431 | PA      | $1451.82      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36203EPA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $122.33       | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6682608 | PA      | $6457039.93   | 0.98%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                       | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                        | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107523 | PA      | $98956.86     | 0.02%             | 2035-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133A1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3270450 | PA      | $2895481.61   | 0.44%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     16820 | PA      | $16890.76     | 0.00%             | 2032-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: N/A<br>LEI: 549300M8ZYFG0OCMTT87       | Long             | DBT              | USGA              | US        |   9700000 | PA      | $8913598.88   | 1.36%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403GDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1866 | PA      | $1897.46      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31409TRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1240 | PA      | $1268.34      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128KL3H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81314 | PA      | $83094.75     | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403JTM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       729 | PA      | $732.92       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 10 Year Ultra Future                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -54 | NC      | $201656.25    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137AGSJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     66217 | PA      | $65216.43     | 0.01%             | 2026-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140K2VW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817746 | PA      | $760926.96    | 0.12%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36206NU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       830 | PA      | $852.45       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QKQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8755703 | PA      | $7467088.71   | 1.14%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138YEQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4427738 | PA      | $4123234.50   | 0.63%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31416KAX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       715 | PA      | $741.06       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392DPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    120066 | PA      | $12036.72     | 0.00%             | 2032-03-18      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137B26D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    223618 | PA      | $9766.03      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    641375 | PA      | $645426.71    | 0.10%             | 2037-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392JY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      4980 | PA      | $4905.81      | 0.00%             | 2033-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31370VSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       766 | PA      | $785.44       | 0.00%             | 2023-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306720 | PA      | $317714.88    | 0.05%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31394YF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     16718 | PA      | $447.04       | 0.00%             | 2026-07-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, IO                                               | CUSIP: 38380HQY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    666873 | PA      | $58431.42     | 0.01%             | 2047-10-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140H0AP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2802050 | PA      | $2607413.89   | 0.40%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405VZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       807 | PA      | $810.41       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    577176 | PA      | $92055.47     | 0.01%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, PO                                                             | CUSIP: 3136FART9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     39500 | PA      | $34057.91     | 0.01%             | 2032-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     78587 | PA      | $8232.93      | 0.00%             | 2032-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140XCYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10165227 | PA      | $8349483.18   | 1.27%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94422 | PA      | $98338.15     | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36207KTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4041 | PA      | $4037.93      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136A1DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    283510 | PA      | $7011.84      | 0.00%             | 2026-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140L0D95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9481935 | PA      | $7752768.66   | 1.18%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21600000 | PA      | $21059102.09  | 3.21%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M9H70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3115667 | PA      | $3095063.12   | 0.47%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury Long Bond Future                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        92 | NC      | $-77910.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31381CV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2078 | PA      | $2111.76      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31370BFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        92 | PA      | $92.01        | 0.00%             | 2023-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31406CGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20021 | PA      | $20334.74     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust, Series 2005-A3, Class 6A5                                        | CUSIP: 466247QM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221559 | PA      | $216486.36    | 0.03%             | 2035-06-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    160160 | PA      | $15764.52     | 0.00%             | 2032-12-18      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12783 | PA      | $13338.62     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $704.33       | 0.00%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     77374 | PA      | $13394.23     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140X8MF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9726814 | PA      | $8759363.18   | 1.34%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552400 | PA      | $573363.38    | 0.09%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                 | Banc of America Funding Trust, Series 2006-A, Class 1A1                                    | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203122 | PA      | $189638.63    | 0.03%             | 2036-02-20      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412SB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9956 | PA      | $10333.58     | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31376J5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8165 | PA      | $8375.21      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140H9EU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1771160 | PA      | $1692644.80   | 0.26%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     81074 | PA      | $81420.20     | 0.01%             | 2032-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133994L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     82047 | PA      | $82552.19     | 0.01%             | 2031-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                | Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21                                  | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169672 | PA      | $143481.90    | 0.02%             | 2035-10-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31307TDS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302596 | PA      | $288602.44    | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    110074 | PA      | $5771.13      | 0.00%             | 2035-02-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404J6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17795 | PA      | $17863.96     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31374TWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5825 | PA      | $5977.60      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140JKBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1832628 | PA      | $1750367.06   | 0.27%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133A47H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2910301 | PA      | $2597599.94   | 0.40%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12712 | PA      | $12750.09     | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31325UPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    229685 | PA      | $13249.30     | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2                   | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235508 | PA      | $203073.57    | 0.03%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385WX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6369 | PA      | $6537.98      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411APZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5348 | PA      | $5550.86      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31396J4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1310006 | PA      | $1283225.84   | 0.20%             | 2036-03-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QCNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8631045 | PA      | $8307844.70   | 1.27%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290W3B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25384 | PA      | $25757.46     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31359NUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    134961 | PA      | $136071.96    | 0.02%             | 2027-03-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31374GB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85688 | PA      | $87351.50     | 0.01%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132DM2Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8413895 | PA      | $6909304.02   | 1.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    101027 | PA      | $104056.31    | 0.02%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36207KAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       358 | PA      | $367.93       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     78532 | PA      | $7700.38      | 0.00%             | 2031-11-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                         | Vendee Mortgage Trust, Series 2002-3, Class IO                                             | CUSIP: 911760SQ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   6478111 | PA      | $36837.13     | 0.01%             | 2032-08-15      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140XAJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9278668 | PA      | $7892032.74   | 1.20%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                  | Chase Mortgage Finance Corp., Series 2016-SH2, Class M4                                    | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1551261 | PA      | $1336081.40   | 0.20%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                                    | BINOM Securitization Trust, Series 2021-INV1, Class A1                                     | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3241125 | PA      | $2855618.07   | 0.44%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209TLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12029 | PA      | $12023.85     | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136B1BQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     51110 | PA      | $3372.30      | 0.00%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202V7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3673 | PA      | $3731.59      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31335BUD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3795003 | PA      | $3969500.23   | 0.61%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36207MK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6241 | PA      | $6310.98      | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 2 Year Notes Future                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -285 | NC      | $-14773.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138ETJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21356 | PA      | $21295.59     | 0.00%             | 2025-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402QSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95509 | PA      | $97772.42     | 0.01%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36200NAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       258 | PA      | $263.89       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    199420 | PA      | $204304.09    | 0.03%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31384VTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86 | PA      | $88.79        | 0.00%             | 2030-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31293R2U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1725 | PA      | $1783.83      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series Q004, Class AFL              | CUSIP: 3137FARM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    365628 | PA      | $365596.17    | 0.06%             | 2044-05-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31391BB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5369 | PA      | $5507.25      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137AUGD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   5999327 | PA      | $5327181.25   | 0.81%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140HFN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5227440 | PA      | $4802100.93   | 0.73%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138W5S33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59923 | PA      | $59666.80     | 0.01%             | 2023-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136A1DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     69043 | PA      | $66481.10     | 0.01%             | 2026-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371Q2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11331 | PA      | $11623.50     | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208GL63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1419 | PA      | $1419.59      | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36224JNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26 | PA      | $26.38        | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405FSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1125.49      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31298EAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8810 | PA      | $9046.45      | 0.00%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                        | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                        | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29272 | PA      | $22581.93     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31382VVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39668 | PA      | $40691.11     | 0.01%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140EUBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4047099 | PA      | $3867527.48   | 0.59%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140M9XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6211048 | PA      | $5114466.61   | 0.78%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132DMKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6724491 | PA      | $6053690.41   | 0.92%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132WJQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8068063 | PA      | $7505680.72   | 1.14%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8837958 | PA      | $7769170.57   | 1.18%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290SU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11754 | PA      | $12190.62     | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     15240 | PA      | $2311.30      | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                        | Merrill Lynch Mortgage Investors Trust, Series 2005-A, Class A1                            | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276592 | PA      | $253753.60    | 0.04%             | 2030-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31416BBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       873 | PA      | $886.86       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     62557 | PA      | $3659.09      | 0.00%             | 2032-12-18      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KQBC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9707388 | PA      | $9763146.26   | 1.49%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31374GWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1113 | PA      | $1141.45      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                         | Invesco Government & Agency Portfolio, Institutional Class                                 | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |  16552417 | NS      | $16552417.02  | 2.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138EGCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66310 | PA      | $65723.11     | 0.01%             | 2032-08-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2802 | PA      | $72.31        | 0.00%             | 2038-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136ABFE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    423813 | PA      | $45837.86     | 0.01%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202SWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68543 | PA      | $71979.72     | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31397NL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    347396 | PA      | $363273.88    | 0.06%             | 2039-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138ETA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28427 | PA      | $28307.01     | 0.00%             | 2025-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36225A5Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       112 | PA      | $114.72       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410VD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2771 | PA      | $2789.08      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31383E2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1260 | PA      | $1292.66      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     48320 | PA      | $48521.39     | 0.01%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290SEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1439 | PA      | $1474.63      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    129317 | PA      | $150263.38    | 0.02%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403DDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56649 | PA      | $58126.70     | 0.01%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 31364HM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      8509 | PA      | $194.41       | 0.00%             | 2024-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    208133 | PA      | $34785.08     | 0.01%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31376CBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5648 | PA      | $5751.95      | 0.00%             | 2026-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 312940ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671722 | PA      | $681610.72    | 0.10%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31394EG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    183248 | PA      | $181551.23    | 0.03%             | 2035-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31393FGJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     71339 | PA      | $70603.40     | 0.01%             | 2029-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402U5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27651 | PA      | $28499.56     | 0.00%             | 2033-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31386DC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9523 | PA      | $9681.53      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, TBA                                              | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23848000 | PA      | $20672085.76  | 3.15%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405NDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7665 | PA      | $7927.45      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371NMF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14459 | PA      | $15006.46     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TJC43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     98700 | PA      | $97660.75     | 0.01%             | 2029-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31339LHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     18233 | PA      | $18141.42     | 0.00%             | 2029-01-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       466 | PA      | $487.98       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31283HTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59095 | PA      | $60715.55     | 0.01%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137AUC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   2096982 | PA      | $97337.70     | 0.01%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                           | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                              | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17229581 | PA      | $591572.51    | 0.09%             | 2050-10-12      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31286PAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451201 | PA      | $461005.75    | 0.07%             | 2038-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FCYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    122087 | PA      | $17337.23     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31380MBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1299 | PA      | $1332.47      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    157561 | PA      | $25806.12     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31394FD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    476028 | PA      | $470679.87    | 0.07%             | 2035-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31419AGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116386 | PA      | $116807.22    | 0.02%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     50236 | PA      | $4647.90      | 0.00%             | 2032-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392GDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     31426 | PA      | $31071.24     | 0.00%             | 2032-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 3617BTGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2099655 | PA      | $2002803.90   | 0.31%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209BA24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       515 | PA      | $515.45       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO           | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  13203973 | PA      | $630135.87    | 0.10%             | 2029-05-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, PO                                                                     | CUSIP: 3128CVVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    160286 | PA      | $138748.29    | 0.02%             | 2032-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    116085 | PA      | $117788.91    | 0.02%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31380D3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2987 | PA      | $3064.18      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31365DWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.89        | 0.00%             | 2023-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust, Series 2014-1, Class 1A17                                        | CUSIP: 46641CAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627288 | PA      | $567127.07    | 0.09%             | 2044-01-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36203MHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $18.53        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289804 | PA      | $295691.79    | 0.05%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385XEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       441 | PA      | $457.17       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Loan Trust                             | Credit Suisse Mortgage Loan Trust, Series 2015-1, Class A9                                 | CUSIP: 12592UAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316057 | PA      | $279944.41    | 0.04%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     15988 | PA      | $2795.63      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                    | Progress Residential Trust, Series 2020-SFR1, Class C                                      | CUSIP: 74331CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2268839.75   | 0.35%             | 2037-04-17      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133A0TY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3704389 | PA      | $3319302.39   | 0.51%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, TBA                                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29450000 | PA      | $26229657.52  | 4.00%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 313615R81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $171.82       | 0.00%             | 2023-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1620327 | PA      | $1439545.74   | 0.22%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209CVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6231 | PA      | $6228.94      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31397SYD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    258046 | PA      | $255229.29    | 0.04%             | 2024-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 10 Year Notes Future                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -165 | NC      | $108281.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232673 | PA      | $238619.40    | 0.04%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137ADPN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     88487 | PA      | $85859.46     | 0.01%             | 2026-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1180 | PA      | $1222.77      | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31393EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     94294 | PA      | $100152.26    | 0.02%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385XQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225729 | PA      | $232446.36    | 0.04%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140J9C25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2340347 | PA      | $2240556.79   | 0.34%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40919000 | PA      | $33305161.16  | 5.08%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2718 | PA      | $2800.76      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371KF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       137 | PA      | $143.25       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    267718 | PA      | $47594.73     | 0.01%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140JWPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2083479 | PA      | $1958391.37   | 0.30%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    123712 | PA      | $124687.31    | 0.02%             | 2032-03-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31417DVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683708 | PA      | $640553.04    | 0.10%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31396XCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    352222 | PA      | $345204.41    | 0.05%             | 2037-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410LSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1828052 | PA      | $1813916.08   | 0.28%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36206DFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2250 | PA      | $2248.47      | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29235 | PA      | $29749.77     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31394YVA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    146952 | PA      | $667.57       | 0.00%             | 2024-03-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                 | Banc of America Funding Trust, Series 2006-3, Class 5A5                                    | CUSIP: 058931BH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26604 | PA      | $22562.91     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6282 | PA      | $6486.49      | 0.00%             | 2030-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202WX95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       864 | PA      | $883.66       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404MUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42170 | PA      | $42280.23     | 0.01%             | 2034-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KC03, Class X1, IO           | CUSIP: 3137FKWE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  21067303 | PA      | $204925.87    | 0.03%             | 2024-11-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133T4TC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     35266 | PA      | $35387.02     | 0.01%             | 2024-03-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    100744 | PA      | $12427.19     | 0.00%             | 2033-02-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31325UP26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    156119 | PA      | $7326.03      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371K5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $107.75       | 0.00%             | 2023-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36200MPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27191 | PA      | $28500.92     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137B6RG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    177734 | PA      | $174149.15    | 0.03%             | 2023-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36204CN64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2880 | PA      | $2963.52      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Ctfs.                       | CSFB Mortgage-Backed Pass-Through Ctfs., Series 2004-AR5, Class 5A1                        | CUSIP: 22541SJD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346489 | PA      | $329947.04    | 0.05%             | 2034-06-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Ctfs. | Structured Asset Securities Corp. Mortgage Pass-Through Ctfs., Series 2002-21A, Class B1II | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36022 | PA      | $34674.86     | 0.01%             | 2032-11-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| CCG Receivables Trust                                         | CCG Receivables Trust, Series 2019-2, Class C                                              | CUSIP: 12510FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $400333.27    | 0.06%             | 2027-03-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     33669 | PA      | $33324.31     | 0.01%             | 2032-10-18      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36204LX30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       698 | PA      | $696.99       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     72533 | PA      | $71945.97     | 0.01%             | 2032-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    177766 | PA      | $9568.43      | 0.00%             | 2035-05-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371EVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2161 | PA      | $2216.32      | 0.00%             | 2024-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     49435 | PA      | $49824.37     | 0.01%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31397QSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    198257 | PA      | $196043.92    | 0.03%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140X5U76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6030405 | PA      | $5704913.27   | 0.87%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                         | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                           | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9105595 | PA      | $310669.25    | 0.05%             | 2050-12-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31283H3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195551 | PA      | $200203.06    | 0.03%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     29447 | PA      | $2641.77      | 0.00%             | 2038-04-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118247 | PA      | $123576.77    | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                   | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1                      | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788618 | PA      | $731385.42    | 0.11%             | 2035-03-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371MLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84693 | PA      | $88027.60     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140L85E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7409319 | PA      | $6519261.00   | 0.99%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                                 | Commonbond Student Loan Trust, Series 2018-CGS, Class A1                                   | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |    852765 | PA      | $817626.30    | 0.12%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2461298 | PA      | $2363431.89   | 0.36%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136ASXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    327497 | PA      | $47286.57     | 0.01%             | 2046-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76926 | PA      | $79926.40     | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208FZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3118 | PA      | $3115.96      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132DNJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6733579 | PA      | $6523183.95   | 0.99%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5640 | PA      | $5723.99      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133AY4D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6613980 | PA      | $5440817.58   | 0.83%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                         | Vendee Mortgage Trust, Series 2003-1, Class IO                                             | CUSIP: 911760SZ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |  10368219 | PA      | $21957.81     | 0.00%             | 2032-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392AT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    113321 | PA      | $114198.99    | 0.02%             | 2031-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138ENSA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2489 | PA      | $2481.52      | 0.00%             | 2023-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17088 | PA      | $17528.48     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136A4HF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    120315 | PA      | $117820.75    | 0.02%             | 2042-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     77290 | PA      | $8768.39      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418XE53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37433 | PA      | $37738.15     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140XHAT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15115670 | PA      | $12944236.81  | 1.97%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                    | Verus Securitization Trust, Series 2019-INV3, Class A2                                     | CUSIP: 92537MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088778 | PA      | $1029400.89   | 0.16%             | 2059-11-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140KEMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7349881 | PA      | $6618929.52   | 1.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 3617MKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2742439 | PA      | $2580795.61   | 0.39%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | United States Treasury Bills                                                               | CUSIP: 912796ZE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    931000 | PA      | $915985.95    | 0.14%             | 2023-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138AWEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1320385 | PA      | $1310172.77   | 0.20%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137AAGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    220706 | PA      | $215631.88    | 0.03%             | 2040-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208HVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1813 | PA      | $1866.19      | 0.00%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 31364HVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      5607 | PA      | $53.67        | 0.00%             | 2023-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31390ABQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9313 | PA      | $9616.92      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31384WAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5019 | PA      | $5130.19      | 0.00%             | 2030-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     54578 | PA      | $55009.61     | 0.01%             | 2032-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136AR6E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    323154 | PA      | $314845.72    | 0.05%             | 2046-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 3617LEZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2652414 | PA      | $2376055.33   | 0.36%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       179 | PA      | $181.05       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                      | Svenska Handelsbanken AB                                                                   | CUSIP: 86960LFH8<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |  14000000 | PA      | $14012374.60  | 2.14%             | 2023-08-29      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31378CTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       498 | PA      | $511.59       | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138WEC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1447021 | PA      | $1387387.49   | 0.21%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3549300 | PA      | $3412822.56   | 0.52%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31395DUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     26537 | PA      | $28921.56     | 0.00%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10500 | PA      | $10879.34     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371LM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       506 | PA      | $522.13       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138EP5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15547 | PA      | $15475.65     | 0.00%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                      | Fannie Mae Connecticut Avenue Securities, Series 2022-R06, Class 1M1                       | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3762219 | PA      | $3811139.10   | 0.58%             | 2042-05-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    235001 | PA      | $40130.11     | 0.01%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136ACAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1708683 | PA      | $82000.21     | 0.01%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405UAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11129 | PA      | $11168.91     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392EF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     96570 | PA      | $96979.45     | 0.01%             | 2032-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36203LXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       281 | PA      | $280.76       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 38379GM79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    615473 | PA      | $591798.19    | 0.09%             | 2041-09-20      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69254 | PA      | $72476.97     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31383EAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       669 | PA      | $676.49       | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31392R6E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     70370 | PA      | $70924.12     | 0.01%             | 2032-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140XFX55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4717703 | PA      | $4173401.61   | 0.64%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31296LLP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22047 | PA      | $22678.27     | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TRLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    336565 | PA      | $339719.83    | 0.05%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405X2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3380 | PA      | $3393.27      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust, Series 2019-INV2, Class A1                                       | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151325 | PA      | $132919.37    | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6553051 | PA      | $5586071.78   | 0.85%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series KC02, Class X1, IO           | CUSIP: 3137FHQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        | 217192043 | PA      | $879823.25    | 0.13%             | 2024-03-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    113930 | PA      | $116633.86    | 0.02%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       844 | PA      | $864.91       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO           | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  15654848 | PA      | $406243.30    | 0.06%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138ERBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15469 | PA      | $15571.10     | 0.00%             | 2025-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, IO                                               | CUSIP: 38380HHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    746463 | PA      | $124535.02    | 0.02%             | 2047-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $507.09       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133B1ST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2850555 | PA      | $2347277.84   | 0.36%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75166 | PA      | $77612.90     | 0.01%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 38381WQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    879806 | PA      | $916917.80    | 0.14%             | 2033-11-20      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36291FWL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       949 | PA      | $992.52       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405VDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       139 | PA      | $139.09       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                      | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                         | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13075027 | PA      | $259717.10    | 0.04%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403JPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14263 | PA      | $14630.75     | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust            | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2004-29, Class 1A1              | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164449 | PA      | $146253.39    | 0.02%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94750 | PA      | $100463.30    | 0.02%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403BHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17122 | PA      | $17620.76     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402DPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763890 | PA      | $783838.62    | 0.12%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208DUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       390 | PA      | $389.21       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119430 | PA      | $124520.23    | 0.02%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138WD4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1984831 | PA      | $1903031.45   | 0.29%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405RAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160673 | PA      | $166201.01    | 0.03%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3133TENT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      3461 | PA      | $29.63        | 0.00%             | 2028-07-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138EGQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243415 | PA      | $243051.57    | 0.04%             | 2038-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210BBL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2111 | PA      | $2167.09      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    182692 | PA      | $184123.20    | 0.03%             | 2032-12-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392EWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    152278 | PA      | $11050.08     | 0.00%             | 2032-08-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371GVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       375 | PA      | $387.99       | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136AXQT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    232222 | PA      | $41992.33     | 0.01%             | 2047-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31283GY84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       370 | PA      | $370.52       | 0.00%             | 2025-05-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136AXEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   4578300 | PA      | $4339363.10   | 0.66%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                        | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                         | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138635 | PA      | $129074.95    | 0.02%             | 2033-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    306593 | PA      | $45960.05     | 0.01%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209MGF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13150 | PA      | $13314.73     | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210A5W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       129 | PA      | $132.08       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31387V3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $39.62        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31394EGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3353 | PA      | $55.64        | 0.00%             | 2031-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31374GBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14213 | PA      | $14579.18     | 0.00%             | 2027-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, TBA                                              | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600000 | PA      | $3567750.19   | 0.54%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36200WP21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       278 | PA      | $281.95       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411YXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8238 | PA      | $8550.08      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385HQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259338 | PA      | $267912.04    | 0.04%             | 2029-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405QPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3474 | PA      | $3588.42      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    880430 | PA      | $65601.28     | 0.01%             | 2038-05-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, IO                                               | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   1255644 | PA      | $72647.28     | 0.01%             | 2041-04-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12209 | PA      | $12529.21     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402YFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       919 | PA      | $943.11       | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    146562 | PA      | $9563.69      | 0.00%             | 2041-10-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 38377RQ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    120335 | PA      | $117075.13    | 0.02%             | 2025-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140X55Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4919902 | PA      | $4662242.38   | 0.71%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    289585 | PA      | $273639.80    | 0.04%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31384WJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1046 | PA      | $1072.89      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31283HK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13978 | PA      | $14088.05     | 0.00%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392EGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    103134 | PA      | $10185.00     | 0.00%             | 2032-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31325UP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     98194 | PA      | $4534.59      | 0.00%             | 2027-12-15      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31380EJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2980 | PA      | $3056.94      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404JWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9721 | PA      | $9760.24      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403DLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238063 | PA      | $250110.04    | 0.04%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                                  | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5458769 | PA      | $187799.66    | 0.03%             | 2050-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31335PMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602584 | PA      | $601368.14    | 0.09%             | 2038-10-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3888 | PA      | $4027.81      | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KH5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6508904 | PA      | $5979054.37   | 0.91%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31414GS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1431 | PA      | $1457.08      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31419AKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316991 | PA      | $296657.40    | 0.05%             | 2040-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36207YPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       538 | PA      | $537.32       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418TZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44266 | PA      | $44980.85     | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209BE20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       895 | PA      | $919.65       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31370SEX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       861 | PA      | $883.28       | 0.00%             | 2023-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    872330 | PA      | $49339.36     | 0.01%             | 2035-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     75788 | PA      | $74923.19     | 0.01%             | 2033-01-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                                  | Chase Mortgage Finance Corp., Series 2016-SH1, Class M3                                    | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235505 | PA      | $1036508.43   | 0.16%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210SFZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       272 | PA      | $278.92       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    465209 | PA      | $444573.01    | 0.07%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QCT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3704185 | PA      | $3480409.39   | 0.53%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31293MJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28794 | PA      | $29565.29     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209XTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2906 | PA      | $3017.27      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31392RT84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     59772 | PA      | $3396.25      | 0.00%             | 2029-09-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                        | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2007-HY2, Class 2A1                         | CUSIP: 92926UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43896 | PA      | $39140.53     | 0.01%             | 2036-11-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31382D6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       528 | PA      | $527.21       | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411UGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8990 | PA      | $9330.22      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Mortgage Loan Trust                                | Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1                                 | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6685309 | PA      | $5349932.91   | 0.82%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31416B4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14552 | PA      | $15114.02     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31406AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8017 | PA      | $8169.26      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6359055 | PA      | $5240294.92   | 0.80%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    192809 | PA      | $26628.62     | 0.00%             | 2033-05-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31419AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $150.42       | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404EGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11838 | PA      | $12143.70     | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    225263 | PA      | $31484.88     | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31415QNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $183.19       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133A0BR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1417672 | PA      | $1403056.77   | 0.21%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Pass-Through Ctfs.                     | Freddie Mac Structured Pass-Through Ctfs.                                                  | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1256343 | PA      | $1311445.35   | 0.20%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31282YC80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    391628 | PA      | $75943.57     | 0.01%             | 2031-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405SXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39712 | PA      | $40983.42     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trust                          | Credit Suisse Mortgage Capital Trust, Series 2013-7, Class B1                              | CUSIP: 12647PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1319993 | PA      | $1234931.97   | 0.19%             | 2043-08-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31370UM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6952 | PA      | $7131.07      | 0.00%             | 2023-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140EU6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10457997 | PA      | $9722465.50   | 1.48%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23810 | PA      | $2522.73      | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36295PTS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345256 | PA      | $340689.43    | 0.05%             | 2037-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, IO                                                                     | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     81837 | PA      | $10592.04     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31292GNA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2687 | PA      | $2734.34      | 0.00%             | 2025-01-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31298LML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22698 | PA      | $23341.04     | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208QRS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47264 | PA      | $47438.29     | 0.01%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                  | United States Treasury Bills                                                               | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    442000 | PA      | $438617.64    | 0.07%             | 2023-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KGGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695771 | PA      | $662887.18    | 0.10%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410KQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285280 | PA      | $292806.92    | 0.04%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36203F3L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       185 | PA      | $185.01       | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     52826 | PA      | $55467.93     | 0.01%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                      | Fannie Mae Connecticut Avenue Securities, Series 2022-R03, Class 1M1                       | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4809045 | PA      | $4778042.39   | 0.73%             | 2042-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       824 | PA      | $837.44       | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31393G5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      9487 | PA      | $9434.19      | 0.00%             | 2032-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136A0ML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        55 | PA      | $54.10        | 0.00%             | 2026-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208YJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1930 | PA      | $1929.62      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412MXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       490 | PA      | $497.89       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31339W2H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     22688 | PA      | $23623.61     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                                  | CUSIP: 17307GLB2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     60062 | PA      | $55092.30     | 0.01%             | 2034-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411J3H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7201 | PA      | $7473.03      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                     | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 2A1                                      | CUSIP: 36185N6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646964 | PA      | $586280.66    | 0.09%             | 2035-06-19      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     86162 | PA      | $95129.43     | 0.01%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 3617MKLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6470844 | PA      | $6021882.40   | 0.92%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31359UB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     16046 | PA      | $16489.19     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 38378CE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    784713 | PA      | $773184.64    | 0.12%             | 2041-07-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405WVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5237 | PA      | $5399.25      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                       | Luminent Mortgage Trust, Series 2006-1, Class A1                                           | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30976 | PA      | $25444.00     | 0.00%             | 2036-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132QSYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3011337 | PA      | $2804173.23   | 0.43%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                                   | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526847 | PA      | $487346.62    | 0.07%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7550561 | PA      | $7263200.38   | 1.11%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404G2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214149 | PA      | $215329.91    | 0.03%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KHFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3920608 | PA      | $3473309.53   | 0.53%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31409EGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41930 | PA      | $43473.97     | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371HNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1212 | PA      | $1256.24      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31334XD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1608756 | PA      | $1535014.21   | 0.23%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    113948 | PA      | $13152.30     | 0.00%             | 2032-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15180 | PA      | $15689.25     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402RDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7650 | PA      | $7927.42      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17952 | PA      | $18622.14     | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    107061 | PA      | $17904.10     | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31394DR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    804512 | PA      | $792350.45    | 0.12%             | 2035-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36205NJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       782 | PA      | $804.95       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31415V3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       635 | PA      | $647.47       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208WEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1206 | PA      | $1220.43      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31406UHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1176.34      | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, Series 2021-11, Class MI, IO                                            | CUSIP: 3136BFCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   6483517 | PA      | $881904.20    | 0.13%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290RRG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       163 | PA      | $168.30       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                            | Canadian Imperial Bank of Commerce                                                         | CUSIP: 13606KLK0<br>LEI: 549300H8L46OOZOFHU82 | Long             | DBT              | CORP              | CA        |  22000000 | PA      | $22056347.06  | 3.36%             | 2023-08-04      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25380000 | PA      | $23060654.28  | 3.52%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290REU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       472 | PA      | $478.83       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TT4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    468937 | PA      | $477365.32    | 0.07%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, Series 2020-137, Class A                         | CUSIP: 38380P4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   7928041 | PA      | $6422558.89   | 0.98%             | 2062-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209HDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1931 | PA      | $1987.58      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405WDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16809 | PA      | $17387.15     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403DQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314896 | PA      | $321869.10    | 0.05%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371G7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34356 | PA      | $35594.66     | 0.01%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133BEVJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5003696 | PA      | $4847349.23   | 0.74%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                 | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                                    | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10225101 | PA      | $336038.73    | 0.05%             | 2050-11-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209ASX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2454 | PA      | $2478.05      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209ER87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32028 | PA      | $32127.22     | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140EX5Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1379531 | PA      | $1282355.58   | 0.20%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31398KDY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     73245 | PA      | $72229.38     | 0.01%             | 2024-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140XDTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4697462 | PA      | $4021220.20   | 0.61%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202X4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79188 | PA      | $82848.67     | 0.01%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31414CK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1846 | PA      | $1875.85      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405V4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       696 | PA      | $718.78       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5840713 | PA      | $5190582.78   | 0.79%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403DA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487969 | PA      | $502793.50    | 0.08%             | 2033-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31379PZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4948 | PA      | $5027.85      | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36211C4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33702 | PA      | $34238.30     | 0.01%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31335PM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1056896 | PA      | $1068058.88   | 0.16%             | 2038-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                     | BPCE S.A.                                                                                  | CUSIP: 05571CYF2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  20000000 | PA      | $19060977.80  | 2.91%             | 2023-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405V6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64893 | PA      | $65184.10     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    119509 | PA      | $113533.20    | 0.02%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                        | GSAA Home Equity Trust, Series 2007-7, Class A4                                            | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25961 | PA      | $24731.74     | 0.00%             | 2037-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2186 | PA      | $2243.22      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1075631 | PA      | $979808.63    | 0.15%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140E0EK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1572838 | PA      | $1413590.50   | 0.22%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36201U4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       484 | PA      | $510.31       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31413YRR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117 | PA      | $122.07       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210SFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1680 | PA      | $1724.54      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128MCC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7451 | PA      | $7429.53      | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233373 | PA      | $238537.16    | 0.04%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    283208 | PA      | $18420.61     | 0.00%             | 2031-10-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs.                                      | CUSIP: 3137BM7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  56601408 | PA      | $638888.40    | 0.10%             | 2025-09-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31397BZ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    442290 | PA      | $435449.32    | 0.07%             | 2036-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                           | Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class XA                            | CUSIP: 17321RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4868428 | PA      | $23190.27     | 0.00%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31368HKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50893 | PA      | $52674.05     | 0.01%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138X3XR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6428775 | PA      | $6210971.43   | 0.95%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     83898 | PA      | $9685.16      | 0.00%             | 2032-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                         | Societe Generale S.A.                                                                      | CUSIP: 83369CYF5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  20000000 | PA      | $19100800.00  | 2.91%             | 2023-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31398SRE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    469076 | PA      | $453696.86    | 0.07%             | 2025-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138AUFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1480137 | PA      | $1422832.79   | 0.22%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     14213 | PA      | $1419.46      | 0.00%             | 2037-12-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    353483 | PA      | $24991.55     | 0.00%             | 2035-05-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31359QJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    151898 | PA      | $15666.37     | 0.00%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138XPWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952363 | PA      | $916758.59    | 0.14%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140M0BG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8913709 | PA      | $7578057.82   | 1.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208X3S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8311 | PA      | $8531.71      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31394AZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    545510 | PA      | $540817.70    | 0.08%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS, PO                                                                     | CUSIP: 3128CVRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     49887 | PA      | $42830.45     | 0.01%             | 2031-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31297BTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25357 | PA      | $25686.34     | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412XFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22488 | PA      | $22926.54     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209FBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12911 | PA      | $13288.71     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31390MJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55962 | PA      | $56040.20     | 0.01%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31419BPA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140309 | PA      | $140174.80    | 0.02%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31415VNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       951 | PA      | $970.92       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403BZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21583 | PA      | $21969.91     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410FV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364451 | PA      | $375718.69    | 0.06%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209THA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3954 | PA      | $3952.25      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust, Series 2017-5, Class A1                                          | CUSIP: 46590YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469788 | PA      | $448752.51    | 0.07%             | 2048-10-26      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                 | SG Residential Mortgage Trust, Series 2021-2, Class A1                                     | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7363077 | PA      | $5948248.41   | 0.91%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M66Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600813 | PA      | $614816.54    | 0.09%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     20130 | PA      | $331.97       | 0.00%             | 2028-07-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1702 | PA      | $1762.98      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31293RTY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3553 | PA      | $3648.30      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31391RHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6329 | PA      | $6354.93      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36194M3Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1501439 | PA      | $1381575.97   | 0.21%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140X5FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8009499 | PA      | $7110227.48   | 1.08%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31283HV85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9436 | PA      | $9690.21      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31394JMS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     16969 | PA      | $16911.01     | 0.00%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31383HYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15278 | PA      | $15261.75     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                  | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                    | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193557 | PA      | $185845.12    | 0.03%             | 2035-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31382WW57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3050 | PA      | $3040.15      | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31359XCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     91358 | PA      | $93628.20     | 0.01%             | 2029-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290WG55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30928 | PA      | $32015.53     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31335PMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443662 | PA      | $442844.50    | 0.07%             | 2039-01-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    336845 | PA      | $49045.85     | 0.01%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210BEC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1139 | PA      | $1168.99      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31383LTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15407 | PA      | $15804.30     | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132GTZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2277558 | PA      | $2191815.90   | 0.33%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56582 | PA      | $6458.83      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140F5PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672762 | PA      | $644888.08    | 0.10%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133T5UZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     27317 | PA      | $27373.83     | 0.00%             | 2024-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133THTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     68638 | PA      | $69857.34     | 0.01%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23125 | PA      | $27175.99     | 0.00%             | 2035-08-15      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128MMUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1119414 | PA      | $1052002.70   | 0.16%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209NAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3410 | PA      | $3509.80      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $17047244.70  | 2.60%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403C7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896207 | PA      | $925787.87    | 0.14%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410FV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122856 | PA      | $126074.60    | 0.02%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31359QNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     17926 | PA      | $1838.17      | 0.00%             | 2027-08-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31335H5M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4955 | PA      | $5039.43      | 0.00%             | 2024-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, TBA                                              | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4984000 | PA      | $4178107.19   | 0.64%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31379HCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       555 | PA      | $568.93       | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412TVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18191 | PA      | $18834.27     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31415TSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       515 | PA      | $537.05       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Grantor Trust                                      | Fannie Mae Grantor Trust                                                                   | CUSIP: 31359VYH0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |    115285 | PA      | $116233.73    | 0.02%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27256 | PA      | $27374.24     | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138EQKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3063794 | PA      | $2869104.55   | 0.44%             | 2040-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132GRHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    613727 | PA      | $600854.15    | 0.09%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  39845000 | PA      | $33748040.03  | 5.15%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2004 | PA      | $2072.07      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       451 | PA      | $475.24       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31386TWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1933 | PA      | $1930.16      | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138E4MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1236241 | PA      | $1188402.71   | 0.18%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36205EK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        71 | PA      | $70.86        | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31384VPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154 | PA      | $158.26       | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208QSB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       138 | PA      | $141.85       | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210PWH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2211 | PA      | $2269.91      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31386NCA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1517 | PA      | $1555.97      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                                           | Zaxby's Funding LLC, Series 2021-1A, Class A2                                              | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2863750 | PA      | $2316333.31   | 0.35%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KHDE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1991871 | PA      | $1770019.85   | 0.27%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     57845 | PA      | $6230.89      | 0.00%             | 2032-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140KDA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5631499 | PA      | $4990993.74   | 0.76%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133G8DC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3201379 | PA      | $3008168.97   | 0.46%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405U3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20591 | PA      | $21299.78     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                         | Seasoned Loans Structured Transaction, Series 2019-1, Class A2                             | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $1837292.00   | 0.28%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405V4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10716 | PA      | $10790.03     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                         | Vendee Mortgage Trust, Series 2001-3, Class IO                                             | CUSIP: 911760RC2<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   2023618 | PA      | $2.02         | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52573 | PA      | $54473.75     | 0.01%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137B93W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    281860 | PA      | $28166.84     | 0.00%             | 2044-01-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31393F7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     96341 | PA      | $95277.90     | 0.01%             | 2032-02-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202SUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       243 | PA      | $256.03       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403DDL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $98.94        | 0.00%             | 2024-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KQDB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12931293 | PA      | $13072720.66  | 1.99%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405YVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126301 | PA      | $127267.52    | 0.02%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 313637V80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9586000 | PA      | $9192482.33   | 1.40%             | 2028-10-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31415SNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $136.21       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31382NLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79407 | PA      | $81455.28     | 0.01%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110238 | PA      | $115258.16    | 0.02%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137AQBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1893688 | PA      | $88349.05     | 0.01%             | 2039-02-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                           | Starwood Mortgage Residential Trust, Series 2021-6, Class A1                               | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4347927 | PA      | $3622847.21   | 0.55%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                       | Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class 1A                        | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    256600 | PA      | $237750.70    | 0.04%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31380RHF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33351 | PA      | $34230.60     | 0.01%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210JDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       666 | PA      | $665.26       | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31293LRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2638 | PA      | $2709.12      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                             | CD Mortgage Trust, Series 2017-CD6, Class XA                                               | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6685877 | PA      | $186533.97    | 0.03%             | 2050-11-13      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405D3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3880 | PA      | $3879.40      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                                 | Galton Funding Mortgage Trust, Series 2018-1, Class A33                                    | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360566 | PA      | $320925.24    | 0.05%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 313615MW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1040 | PA      | $1067.00      | 0.00%             | 2023-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128LXJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137464 | PA      | $141680.05    | 0.02%             | 2033-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31379JSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4947 | PA      | $5074.89      | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                | Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A1                 | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468100 | PA      | $409536.59    | 0.06%             | 2045-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392GDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     32683 | PA      | $31572.39     | 0.00%             | 2032-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405D2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3904 | PA      | $3904.59      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404L5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1628 | PA      | $1654.49      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136A9XT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    296079 | PA      | $13412.60     | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112105 | PA      | $116084.11    | 0.02%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208VSX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6553 | PA      | $6548.04      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QGHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1834654 | PA      | $1638905.57   | 0.25%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust, Series 2015-3, Class A3                                          | CUSIP: 46644MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599413 | PA      | $539537.70    | 0.08%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                       | GSR Mortgage Loan Trust, Series 2004-12, Class 3A6                                         | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179184 | PA      | $158547.75    | 0.02%             | 2034-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 38379GZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    432554 | PA      | $422630.85    | 0.06%             | 2044-07-20      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133G7K36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2018930 | PA      | $1897284.64   | 0.29%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    133498 | PA      | $21199.33     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31283HB20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18160 | PA      | $18649.34     | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                         | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A2                           | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107797 | PA      | $103122.60    | 0.02%             | 2034-04-21      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31397JST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     68008 | PA      | $66884.69     | 0.01%             | 2037-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    332342 | PA      | $50966.14     | 0.01%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    111894 | PA      | $7974.29      | 0.00%             | 2032-04-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411UPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9946 | PA      | $10322.10     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128MCPZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2538 | PA      | $2530.91      | 0.00%             | 2024-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31390MJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8452 | PA      | $8670.41      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140K3DN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4600707 | PA      | $4399686.97   | 0.67%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209DE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1809 | PA      | $1861.59      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412LJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6873 | PA      | $7133.55      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 31364HG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     28592 | PA      | $656.22       | 0.00%             | 2024-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                  | Chase Mortgage Finance Trust, Series 2005-A1, Class 3A1                                    | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14667 | PA      | $12398.65     | 0.00%             | 2035-12-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31389VQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6630 | PA      | $6824.17      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31388AKT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9811 | PA      | $9785.85      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209VJ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        75 | PA      | $77.14        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136A9B31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     11104 | PA      | $11026.70     | 0.00%             | 2027-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173174 | PA      | $183097.46    | 0.03%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31391BEG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25836 | PA      | $26521.34     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209BNT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2463 | PA      | $2460.51      | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209LD37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6517 | PA      | $6538.50      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20433531 | PA      | $17441222.14  | 2.66%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137BHBM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    977436 | PA      | $899131.71    | 0.14%             | 2038-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140QCG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6492908 | PA      | $6250256.79   | 0.95%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152386 | PA      | $163152.67    | 0.02%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208YL49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3377 | PA      | $3375.23      | 0.00%             | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136AB5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    357272 | PA      | $53708.93     | 0.01%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405VC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3053 | PA      | $3073.98      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31339MRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     26172 | PA      | $26069.43     | 0.00%             | 2029-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136AYAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1710386 | PA      | $118611.34    | 0.02%             | 2047-09-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association, TBA                                              | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7200000 | PA      | $6985620.29   | 1.06%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140M1AL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2855651 | PA      | $2345616.49   | 0.36%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36205XC36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       474 | PA      | $499.69       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36205YBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5506 | PA      | $5549.72      | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412Q2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527144 | PA      | $522526.74    | 0.08%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    714808 | PA      | $35101.84     | 0.01%             | 2035-01-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7804055 | PA      | $7724628.41   | 1.18%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405KRH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44883 | PA      | $45484.03     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31390VG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7771 | PA      | $7769.97      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31404XRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40644 | PA      | $41943.58     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36210XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3886 | PA      | $3988.71      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                         | Vendee Mortgage Trust, Series 1999-3, Class IO                                             | CUSIP: 911760NG7<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3971528 | PA      | $3.97         | 0.00%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M7DF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234252 | PA      | $231478.98    | 0.04%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     98564 | PA      | $6180.21      | 0.00%             | 2029-06-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209AEY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2274 | PA      | $2340.19      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM Mortgage Trust, Series 2015-CR24, Class XA                                            | CUSIP: 12593JBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34632699 | PA      | $491732.38    | 0.07%             | 2048-08-10      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M7V29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352582 | PA      | $358139.90    | 0.05%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412FK51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10958 | PA      | $11096.14     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31393BZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    243768 | PA      | $46081.23     | 0.01%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KKAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6623824 | PA      | $5643203.02   | 0.86%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                      | JP Morgan Mortgage Trust, Series 2005-A1, Class 3A1                                        | CUSIP: 466247LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392646 | PA      | $366703.95    | 0.06%             | 2035-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405YDX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21402 | PA      | $22048.31     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915619 | PA      | $861670.15    | 0.13%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128ME5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3906548 | PA      | $3745390.83   | 0.57%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138A5BX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1095766 | PA      | $1110635.76   | 0.17%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925682 | PA      | $883810.73    | 0.13%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31392TMM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     41102 | PA      | $40712.97     | 0.01%             | 2032-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137A3JW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    158053 | PA      | $154745.83    | 0.02%             | 2025-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31392UKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     80009 | PA      | $79124.48     | 0.01%             | 2032-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     91577 | PA      | $9609.18      | 0.00%             | 2032-03-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TG5U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     62456 | PA      | $63595.61     | 0.01%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21700000 | PA      | $21386085.85  | 3.26%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury Ultra Bonds Future                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        22 | NC      | $-3093.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac STRIPS                                            | Freddie Mac STRIPS                                                                         | CUSIP: 3128HVJ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    560615 | PA      | $558217.63    | 0.09%             | 2036-05-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31382NP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27213 | PA      | $27914.32     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31375VVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16103 | PA      | $16517.81     | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FAXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    223219 | PA      | $30792.42     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36208VVZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3836 | PA      | $3833.35      | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     70056 | PA      | $7080.28      | 0.00%             | 2032-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                            | Uniform Mortgage-Backed Securities, TBA                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17200000 | PA      | $16556183.19  | 2.52%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1305757 | PA      | $1220321.82   | 0.19%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.         | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO           | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  16713087 | PA      | $265189.89    | 0.04%             | 2026-02-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128M6FN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136150 | PA      | $141566.43    | 0.02%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     51069 | PA      | $3345.49      | 0.00%             | 2035-03-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136APK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    249973 | PA      | $240349.05    | 0.04%             | 2044-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    176804 | PA      | $10220.84     | 0.00%             | 2035-05-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128LXNJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608831 | PA      | $632990.51    | 0.10%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       437 | PA      | $447.89       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405X3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9355 | PA      | $9456.02      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371LQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35103 | PA      | $35230.37     | 0.01%             | 2024-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418BQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372328 | PA      | $2203456.22   | 0.34%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392EJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     63319 | PA      | $62792.68     | 0.01%             | 2032-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107063 | PA      | $110210.08    | 0.02%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3133KMVP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11753093 | PA      | $10032054.23  | 1.53%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     62892 | PA      | $4875.22      | 0.00%             | 2031-12-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31387KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1171 | PA      | $1200.82      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137AXEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    297715 | PA      | $13872.22     | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8251 | PA      | $8243.59      | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137ARKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    700121 | PA      | $32739.07     | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 31339LK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     58029 | PA      | $57763.35     | 0.01%             | 2031-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418M2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119629 | PA      | $118086.29    | 0.02%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405LAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10884 | PA      | $10923.66     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                        | Invitation Homes Trust, Series 2018-SFR4, Class C                                          | CUSIP: 46187XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4228805 | PA      | $4167318.05   | 0.64%             | 2038-01-17      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138XTAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916202 | PA      | $878803.97    | 0.13%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36207V3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       368 | PA      | $378.48       | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26098 | PA      | $27070.74     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155393 | PA      | $165425.32    | 0.03%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31296XJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19092 | PA      | $19603.36     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403DCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477719 | PA      | $491019.63    | 0.07%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 313615TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       113 | PA      | $116.35       | 0.00%             | 2023-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136ARBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   4993846 | PA      | $237090.35    | 0.04%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | U.S. Treasury 5 Year Notes Future                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -471 | NC      | $29928.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405ND51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11986 | PA      | $12248.95     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388875 | PA      | $386301.26    | 0.06%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    224963 | PA      | $40662.79     | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31395DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     59737 | PA      | $71860.56     | 0.01%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs.       | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs., Series 2007-WM1, Class A1         | CUSIP: 25157TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1472196 | PA      | $1272023.68   | 0.19%             | 2037-06-27      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36291N4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11514 | PA      | $11682.23     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31394UZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    162080 | PA      | $160499.60    | 0.02%             | 2025-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust                                | Shellpoint Asset Funding Trust, Series 2013-1, Class A3                                    | CUSIP: 822804AK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382099 | PA      | $344546.17    | 0.05%             | 2043-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31403RFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15643 | PA      | $16027.14     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3138YTNJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1814379 | PA      | $1688655.30   | 0.26%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31415PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347141 | PA      | $353813.85    | 0.05%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 3136A04J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2857 | PA      | $2834.11      | 0.00%             | 2023-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                    | RALI Trust, Series 2006-QO2, Class A2                                                      | CUSIP: 761118VZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40763 | PA      | $9085.61      | 0.00%             | 2046-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31412XLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24155 | PA      | $24675.97     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31390HJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       528 | PA      | $541.93       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                             | Fannie Mae REMICS                                                                          | CUSIP: 3136BKWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |  22096983 | PA      | $3090886.21   | 0.47%             | 2049-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36290VYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12781 | PA      | $12999.37     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11169 | PA      | $11461.67     | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411AJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14593 | PA      | $15146.96     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137FGV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    115812 | PA      | $8608.03      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                 | Citigroup Mortgage Loan Trust, Series 2006-AR2, Class 1A2                                  | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12668 | PA      | $11776.45     | 0.00%             | 2036-03-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31411EFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8230 | PA      | $8536.65      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137AUFY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    510832 | PA      | $19982.58     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 313615R99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1604 | PA      | $1645.13      | 0.00%             | 2023-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7904466 | PA      | $6755203.94   | 1.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31374GUA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1152 | PA      | $1181.49      | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     17767 | PA      | $3501.13      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136A1EV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    442133 | PA      | $2440.40      | 0.00%             | 2039-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136A8QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1398589 | PA      | $39889.44     | 0.01%             | 2027-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137H1KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   8998534 | PA      | $1250812.35   | 0.19%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36200KA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2192 | PA      | $2297.77      | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    229329 | PA      | $14797.33     | 0.00%             | 2039-12-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209AE89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3635 | PA      | $3740.47      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31397M4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        39 | PA      | $0.08         | 0.00%             | 2024-02-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36209WQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       351 | PA      | $360.45       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136APZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1121457 | PA      | $140691.66    | 0.02%             | 2035-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 3140K7HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3635767 | PA      | $3332757.04   | 0.51%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust                                      | Agate Bay Mortgage Trust, Series 2015-2, Class B1                                          | CUSIP: 00841XBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1557736 | PA      | $1437055.97   | 0.22%             | 2045-03-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36291CL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       652 | PA      | $676.50       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1                  | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45170 | PA      | $44582.14     | 0.01%             | 2035-01-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    186397 | PA      | $27397.90     | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    113991 | PA      | $114019.37    | 0.02%             | 2042-03-15      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     55099 | PA      | $54494.77     | 0.01%             | 2033-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                        | Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A                            | CUSIP: 59020UL52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222461 | PA      | $202521.64    | 0.03%             | 2035-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5151 | PA      | $5287.65      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31382NPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37348 | PA      | $38310.94     | 0.01%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs, IO                                                                     | CUSIP: 3137AWK87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    949451 | PA      | $44976.94     | 0.01%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31410G5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1236 | PA      | $1232.06      | 0.00%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36200KEY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2968 | PA      | $3042.05      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 3617LKPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2177061 | PA      | $2076475.60   | 0.32%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                  | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A4                                    | CUSIP: 16163LBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178806 | PA      | $170761.42    | 0.03%             | 2035-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                   | PRKCM Trust, Series 2021-AFC2, Class A1                                                    | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8004746 | PA      | $6670314.33   | 1.02%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                    | Fannie Mae Interest STRIPS, IO                                                             | CUSIP: 31364HS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    211229 | PA      | $20416.77     | 0.00%             | 2028-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                         | Vendee Mortgage Trust, Series 2002-2, Class IO                                             | CUSIP: 911760RZ1<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   5591653 | PA      | $627.94       | 0.00%             | 2032-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31414UJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260124 | PA      | $269993.50    | 0.04%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance II Ltd.                             | Sapphire Aviation Finance II Ltd., Series 2020-1A, Class B                                 | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5610803 | PA      | $3425494.58   | 0.52%             | 2040-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31408FQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2300 | PA      | $2336.84      | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs                                                                          | CUSIP: 31392EGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    103134 | PA      | $102301.51    | 0.02%             | 2032-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31296LPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32542 | PA      | $33414.10     | 0.01%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                            | Freddie Mac REMICs                                                                         | CUSIP: 3133TJUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    110414 | PA      | $110462.65    | 0.02%             | 2029-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31402RHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327264 | PA      | $335791.60    | 0.05%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                           | COMM Mortgage Trust, Series 2013-LC13, Class XA                                            | CUSIP: 12626GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17617012 | PA      | $61707.11     | 0.01%             | 2046-08-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19979 | PA      | $21099.84     | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31386FPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2052 | PA      | $2053.99      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249367 | PA      | $266366.52    | 0.04%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 36202DBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38339 | PA      | $39047.01     | 0.01%             | 2029-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31293TU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5986 | PA      | $6145.92      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                      | Government National Mortgage Association                                                   | CUSIP: 38377YX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    783987 | PA      | $807658.15    | 0.12%             | 2039-01-20      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     55395 | PA      | $5669.32      | 0.00%             | 2032-04-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                              | Federal Home Loan Mortgage Corp.                                                           | CUSIP: 31298EX67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72814 | PA      | $75529.02     | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                             | Fannie Mae REMICs, IO                                                                      | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    411352 | PA      | $41303.22     | 0.01%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                         | Federal National Mortgage Association                                                      | CUSIP: 31405RLZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97655 | PA      | $98059.46     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** AIM Growth Series (Invesco Growth Series)

**Signature:** Sheri Morris

**Name of Signer:** Sheri Morris

**Title:** President