# EDGAR Filing Document

**Accession Number:** 0000770161
**File Stem:** 0001193125-25-251556
**Filing Date:** 2025-10
**Character Count:** 631939
**Document Hash:** f19abb6af540b3179938120242282db6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-251556.hdr.sgml**: 20251027

**ACCESSION NUMBER**: 0001193125-25-251556

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251027

**DATE AS OF CHANGE**: 20251027

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INCOME SERIES
- **CENTRAL INDEX KEY:** 0000770161

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04318
- **FILM NUMBER:** 251419842

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

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

## Series and Classes Contracts Data

### U.S. Government Securities Fund (Series ID: S000009235)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000025132 | Class A       | AMUSX           |
| C000025133 | Class R-1     | RGVAX           |
| C000025134 | Class R-2     | RGVBX           |
| C000025135 | Class R-3     | RGVCX           |
| C000025136 | Class R-4     | RGVEX           |
| C000025137 | Class R-5     | RGVFX           |
| C000025139 | Class C       | UGSCX           |
| C000025140 | Class F-1     | UGSFX           |
| C000025141 | Class 529-A   | CGTAX           |
| C000025143 | Class 529-C   | CGTCX           |
| C000025144 | Class 529-E   | CGTEX           |
| C000025145 | Class 529-F-1 | CGTFX           |
| C000068600 | Class F-2     | GVTFX           |
| C000077855 | Class R-6     | RGVGX           |
| C000148357 | Class R-2E    | RGEVX           |
| C000164800 | Class R-5E    | RGVJX           |
| C000179952 | Class F-3     | USGFX           |
| C000189432 | Class 529-T   | TSUGX           |
| C000189433 | Class T       | TUSGX           |
| C000224557 | Class 529-F-2 | FSUGX           |
| C000224558 | Class 529-F-3 | FSUUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-04318

- **c. CIK number of Registrant:** 0000770161

- **d. LEI of Registrant:** B4NSFTV70Q62C8KCLN24

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

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

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

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

- **b. EDGAR series identifier (if any):** S000009235

- **c. LEI of Series:** B4NSFTV70Q62C8KCLN24

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**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:** $26437857791.18

**Total Liabilities:** $3083568807.35

**Net Assets:** $23354288983.83

**Cash Not Reported:** $8535354.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -201.655052100000 | **1-Year:** -18716.157020000000 | **5-Year:** -58910.201270000000 | **10-Year:** -28156.783830000000 | **30-Year:** -1864.510164000000

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

- **3-Month:** -1565.660275000000 | **1-Year:** -21616.184420000000 | **5-Year:** -28486.600970000000 | **10-Year:** -10226.723560000000 | **30-Year:** -1039.512132000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025132 | 1.52%                | -0.58%               | 1.59%                |
| Class ID C000025133 | 1.47%                | -0.65%               | 1.54%                |
| Class ID C000025134 | 1.47%                | -0.65%               | 1.54%                |
| Class ID C000025135 | 1.41%                | -0.61%               | 1.57%                |
| Class ID C000025136 | 1.44%                | -0.58%               | 1.59%                |
| Class ID C000025137 | 1.54%                | -0.64%               | 1.62%                |
| Class ID C000025139 | 1.46%                | -0.65%               | 1.53%                |
| Class ID C000025140 | 1.51%                | -0.67%               | 1.67%                |
| Class ID C000025141 | 1.52%                | -0.58%               | 1.59%                |
| Class ID C000025143 | 1.46%                | -0.74%               | 1.53%                |
| Class ID C000025144 | 1.41%                | -0.60%               | 1.57%                |
| Class ID C000025145 | 1.53%                | -0.57%               | 1.60%                |
| Class ID C000068600 | 1.54%                | -0.56%               | 1.61%                |
| Class ID C000077855 | 1.55%                | -0.55%               | 1.62%                |
| Class ID C000148357 | 1.48%                | -0.62%               | 1.55%                |
| Class ID C000164800 | 1.54%                | -0.56%               | 1.61%                |
| Class ID C000179952 | 1.55%                | -0.55%               | 1.62%                |
| Class ID C000189432 | 1.53%                | -0.65%               | 1.69%                |
| Class ID C000189433 | 1.54%                | -0.64%               | 1.70%                |
| Class ID C000224557 | 1.54%                | -0.56%               | 1.61%                |
| Class ID C000224558 | 1.46%                | -0.55%               | 1.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $14043707.62             | $169860406.06                              |
| Month 2  | $6337873.87              | $-115782705.23                             |
| Month 3  | $7448954.05              | $158567329.08                              |

**Designated Index Information**

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

- **Index Identifier:** I01262US

### Schedule of Portfolio Investments

| Name                                                      | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 07-31-29                        | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63533200 | PA      | $61235083.44   | 0.26%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 07-31-27                         | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56000000 | PA      | $55085497.60   | 0.24%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 08-15-32                         | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7514000 | PA      | $6976279.38    | 0.03%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 08-15-42                        | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2850000 | PA      | $2377078.13    | 0.01%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 09-30-27                        | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3131726.64    | 0.01%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 09-30-29                        | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9600000 | PA      | $9687000.00    | 0.04%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 11-15-25                          | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    456200 | PA      | $456440.55     | 0.00%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 11-15-52                          | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19213700 | PA      | $16483252.62   | 0.07%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 11-30-27                        | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44000000 | PA      | $44252656.80   | 0.19%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 12-31-27                        | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 166000000 | PA      | $167031009.40  | 0.72%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 12-31-29                        | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $6053437.20    | 0.03%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 01-31-30                          | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74905000 | PA      | $74419286.02   | 0.32%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 02-15-53                        | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7855200 | PA      | $6287228.24    | 0.03%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 02-15-43                        | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11970400 | PA      | $10634952.25   | 0.05%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.5% 02-15-53   | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10450163 | PA      | $8082955.60    | 0.03%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-28-30                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126000000 | PA      | $127786642.20  | 0.55%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 01-31-32                        | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20564844.00   | 0.09%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-55                        | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $85795308.00   | 0.37%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1     | SLST 2020-1 A1D 2.0% 07-25-30                                      | CUSIP: 35564CEV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11631487 | PA      | $10746656.45   | 0.05%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1     | SLST 2020-1 A2D 2.0% 07-25-30                                      | CUSIP: 35564CEZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4381000 | PA      | $3871183.03    | 0.02%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1     | SLST 2022-1 A1 3.5% 05-25-32                                       | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  42981231 | PA      | $41752355.07   | 0.18%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.044% 04-18-23/04-18-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1843432.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.275% 04-18-23/04-18-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-61835.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.342% 04-19-23/04-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $33356.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 8.0 735571 11-01-31                                      | CUSIP: 31402RFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8278 | PA      | $8308.76       | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 13 3.15% 08-01-27                                         | CUSIP: 911759MJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3430000 | PA      | $3375892.44    | 0.01%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 12 3.10% 08-01-26                                         | CUSIP: 911759MH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    747000 | PA      | $739250.62     | 0.00%             | 2026-08-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 18 3.60% 08-01-32                                         | CUSIP: 911759MP0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    720000 | PA      | $681057.36     | 0.00%             | 2032-08-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 15 3.35% 08-01-29                                         | CUSIP: 911759ML9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    650000 | PA      | $637061.30     | 0.00%             | 2029-08-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 14 3.25% 08-01-28                                         | CUSIP: 911759MK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    990000 | PA      | $974168.12     | 0.00%             | 2028-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.625% 05-15-30                        | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30880000 | PA      | $26845092.59   | 0.11%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 05-15-50                         | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 124750000 | PA      | $58817940.88   | 0.25%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 05-15-40                        | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3660000 | PA      | $2278646.46    | 0.01%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9631 11-01-51                                      | CUSIP: 3140XDVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5288548 | PA      | $4659269.05    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2292 11-01-51                                      | CUSIP: 3140QMRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16438487 | PA      | $14505156.73   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2293 12-01-51                                      | CUSIP: 3140QMRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1563515 | PA      | $1377592.72    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BM6693 08-01-59                                         | CUSIP: 3140JBNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6146206 | PA      | $5517012.35    | 0.02%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2414 12-01-51                                      | CUSIP: 3140QMVG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  35977758 | PA      | $31782787.24   | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7545 09-01-51                                      | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5411748 | PA      | $4593036.93    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9492 11-01-51                                      | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11799412 | PA      | $9997158.31    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2319 12-01-51                                      | CUSIP: 3140QMSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2622558 | PA      | $2218214.83    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2372 12-01-51                                      | CUSIP: 3140QMT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1260009 | PA      | $1064247.49    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9804 12-01-51                                      | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6061474 | PA      | $5146415.95    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9694 11-01-51                                      | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5550122 | PA      | $4720195.33    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT9510 12-01-51                                      | CUSIP: 3140LYR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    989292 | PA      | $838172.40     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA5971 09-01-51                                      | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1732815 | PA      | $1527507.75    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT9483 12-01-51                                      | CUSIP: 3140LYRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    987833 | PA      | $835531.62     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BM1179 04-01-47                                      | CUSIP: 3140J5JZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    110990 | PA      | $99785.99      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 AS8310 11-01-46                                      | CUSIP: 3138WJGU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    106717 | PA      | $96043.52      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 5.5 BF0141 09-01-56                                         | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    345181 | PA      | $356237.30     | 0.00%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2544 01-01-52                                      | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17392000 | PA      | $15270506.29   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5145 02-01-42                                      | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7919723 | PA      | $6809551.65    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5148 03-01-42                                      | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17029849 | PA      | $14547646.03   | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI3510 06-01-41                                      | CUSIP: 3138AG3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    245384 | PA      | $250048.23     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI1862 05-01-41                                      | CUSIP: 3138AFB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    467495 | PA      | $476381.58     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ0704 09-01-41                                      | CUSIP: 3138ARYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    217797 | PA      | $222333.08     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE8579 08-01-52                                      | CUSIP: 3133BJQ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2302804 | PA      | $2233102.83    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QF0212 09-01-52                                      | CUSIP: 3133BMGV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10378505 | PA      | $10022677.58   | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS5554 11-01-52                                      | CUSIP: 3140XME44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  38483973 | PA      | $37160047.17   | 0.16%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8350 08-01-53                                      | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 247800487 | PA      | $254097592.79  | 1.09%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA5026 04-01-53                                      | CUSIP: 31418ESQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60298 | PA      | $54526.63      | 0.00%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA5070 07-01-53                                      | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10702900 | PA      | $10321566.42   | 0.04%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6853 08-01-53                                      | CUSIP: 3140QSTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6023007 | PA      | $5803432.05    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6719 07-01-53                                      | CUSIP: 3140QSPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3798888 | PA      | $3660395.88    | 0.02%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1502 07-01-52                                      | CUSIP: 3132DNU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47815 | PA      | $44706.30      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4118 07-01-52                                      | CUSIP: 3140QPSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    270161 | PA      | $252769.33     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS4919 05-01-53                                      | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    205150 | PA      | $170898.76     | 0.00%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6114 02-01-52                                      | CUSIP: 3133KMYK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    384301 | PA      | $306508.57     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG1653 04-01-53                                      | CUSIP: 3133C1ZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10342919 | PA      | $10616975.24   | 0.05%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG0259 04-01-53                                      | CUSIP: 3133C0JC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5287745 | PA      | $5424300.90    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG5227 06-01-53                                      | CUSIP: 3133C5YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10161991 | PA      | $10419525.98   | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5919 03-01-53                                      | CUSIP: 3140QRSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9610103 | PA      | $9856400.39    | 0.04%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX6121 01-01-53                                      | CUSIP: 3140NAYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11172611 | PA      | $11513989.82   | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX6803 03-01-53                                      | CUSIP: 3140NBRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5746332 | PA      | $5890456.14    | 0.03%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC7823 12-01-54                                      | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    835537 | PA      | $854203.77     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 2.5 SB0649 04-01-37                                      | CUSIP: 3132CWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    761877 | PA      | $715106.44     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 FS7802 03-01-37                                      | CUSIP: 3140XPU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1204235 | PA      | $1130309.30    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 CB2247 11-01-36                                      | CUSIP: 3140QMP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1780174 | PA      | $1671318.22    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4773 10-01-37                                      | CUSIP: 31418EJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    160554 | PA      | $150698.07     | 0.00%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4665 07-01-37                                      | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    951880 | PA      | $893738.18     | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 CB2248 11-01-36                                      | CUSIP: 3140QMQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    152432 | PA      | $143258.35     | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4021 06-01-52                                      | CUSIP: 3140QPPF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2546622 | PA      | $2384264.55    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3379 04-01-52                                      | CUSIP: 3140QNXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1217395 | PA      | $1139780.25    | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FA0608 02-01-55                                      | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9813079 | PA      | $9877540.63    | 0.04%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8792 08-01-54                                      | CUSIP: 3140XQXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2427580 | PA      | $2481814.48    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5699 05-01-55                                      | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2834873 | PA      | $2797591.36    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8532 05-01-55                                      | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2553236 | PA      | $2519510.56    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RQ0013 06-01-55                                      | CUSIP: 3142J6AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11057871 | PA      | $11127922.55   | 0.05%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5701 05-01-55                                      | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33378999 | PA      | $34116875.57   | 0.15%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5734 06-01-55                                      | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1417460 | PA      | $1398736.65    | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RQ0012 06-01-55                                      | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9430277 | PA      | $9305712.77    | 0.04%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SL1094 04-01-55                                      | CUSIP: 31427NGC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1204061 | PA      | $1188156.34    | 0.01%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8533 05-01-55                                      | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16637422 | PA      | $16742820.35   | 0.07%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5646 03-01-55                                      | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11630125 | PA      | $11703802.03   | 0.05%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC7035 12-01-54                                      | CUSIP: 3140AUY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1460784 | PA      | $1493419.10    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX4065 01-01-55                                      | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    918898 | PA      | $939450.75     | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD0835 01-01-55                                      | CUSIP: 3140B04V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1356212 | PA      | $1386192.03    | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA5671 04-01-55                                      | CUSIP: 31418FJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3267026 | PA      | $3144907.79    | 0.01%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA5644 03-01-55                                      | CUSIP: 31418FHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1469809 | PA      | $1414869.22    | 0.01%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8534 05-01-55                                      | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33876755 | PA      | $34625634.88   | 0.15%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD8711 03-01-52                                      | CUSIP: 3133B6VC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6098842 | PA      | $4849500.23    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QY2186 04-01-55                                      | CUSIP: 31426LNC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2084475 | PA      | $2161402.38    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR7191 04-01-51                                      | CUSIP: 3140L57D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    279166 | PA      | $221978.75     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA4982 04-01-51                                      | CUSIP: 3133KLRB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4317997 | PA      | $3433459.52    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BU1450 01-01-52                                      | CUSIP: 3140M2TG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    227807 | PA      | $181546.82     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8786 07-01-54                                      | CUSIP: 3140XQXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2408631 | PA      | $2504786.30    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA0030 09-01-53                                      | CUSIP: 3140A0A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    122661 | PA      | $129019.12     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD0086 10-01-51                                      | CUSIP: 3133AWCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1471990 | PA      | $1170454.69    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB6579 12-01-50                                      | CUSIP: 3133ADJY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4412984 | PA      | $3508988.31    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5949 07-01-54                                      | CUSIP: 3132DTTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13146167 | PA      | $13464343.57   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8607 07-01-54                                      | CUSIP: 3140XQR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6497808 | PA      | $6784276.55    | 0.03%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5905 07-01-54                                      | CUSIP: 3132DTR28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3978814 | PA      | $4154223.94    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1986 07-01-54                                      | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  84892565 | PA      | $88201591.82   | 0.38%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0854 01-01-54                                      | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4592859 | PA      | $4776150.42    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1725 06-01-54                                      | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7807504 | PA      | $8178540.28    | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8591 07-01-54                                      | CUSIP: 3140XQRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8220948 | PA      | $8481642.78    | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC0299 08-01-54                                      | CUSIP: 3140AMKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5048294 | PA      | $5161239.59    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7692 08-01-54                                      | CUSIP: 3140AHRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4890532 | PA      | $5007929.58    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRU5C C @ 97 09-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      7547 | NC      | $47168.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC0296 08-01-54                                      | CUSIP: 3140AMKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    818626 | PA      | $842253.55     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7687 08-01-54                                      | CUSIP: 3140AHRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1046598 | PA      | $1078503.65    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7039 07-01-54                                      | CUSIP: 3140AGZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2004875 | PA      | $2058929.95    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7690 08-01-54                                      | CUSIP: 3140AHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    865948 | PA      | $890939.95     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 97 12-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      1318 | NC      | $65900.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 97.5 12-12-25                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      1318 | NC      | $32950.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI3333 04-01-54                                      | CUSIP: 3133W9V24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1217464 | PA      | $1251186.03    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5692 05-01-54                                      | CUSIP: 3132DTKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1526046 | PA      | $1574267.82    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 96.5 12-12-25                        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      1318 | NC      | $189462.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5C C @ 98 12-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     10150 | NC      | $126875.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8219 06-01-54                                      | CUSIP: 3140XQDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2436424 | PA      | $2512939.82    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3432 07-01-53                                      | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    139703 | PA      | $144281.78     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5P P @ 95.6875 12-12-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     47840 | NC      | $299000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRU5C C @ 96.125 09-12-25                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     18000 | NC      | $225000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5896 07-01-54                                      | CUSIP: 3132DTRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2323398 | PA      | $2381099.69    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8223 06-01-54                                      | CUSIP: 3140XQD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2802293 | PA      | $2870116.51    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRU5C C @ 96.25 09-12-25                       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     18000 | NC      | $-112500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | FED FUND 30DAY FUT FFQ5 08-29-25                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      7632 | NC      | $-248974.92    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2206 08-01-54                                      | CUSIP: 3142GSNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3385834 | PA      | $3414037.75    | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2210 08-01-54                                      | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  40068350 | PA      | $41070900.62   | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRH6 06-16-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       193 | NC      | $-240842.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRM5 09-16-25                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     32545 | NC      | $-6116442.84   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2247 08-01-54                                      | CUSIP: 3142GSP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10250258 | PA      | $10706312.69   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2200 08-01-54                                      | CUSIP: 3142GSNS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5348477 | PA      | $5392003.08    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8484 11-01-54                                      | CUSIP: 3132DWM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6344771 | PA      | $5925780.95    | 0.03%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB0844 06-01-51                                      | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    753274 | PA      | $626194.03     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB6985 05-01-53                                      | CUSIP: 3140QSXP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     71826 | PA      | $67176.82      | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7242 10-01-53                                      | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8127694 | PA      | $8470203.66    | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRZ5 03-17-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3207 | NC      | $163371.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 5YR FUT FVZ5 12-31-25                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     40543 | NC      | $16561815.67   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ3017 12-01-54                                      | CUSIP: 3142GTK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11153715 | PA      | $11017416.80   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ3012 12-01-54                                      | CUSIP: 3142GTK21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3596254 | PA      | $3561485.59    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS9025 09-01-54                                      | CUSIP: 3140XRA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4097603 | PA      | $4151138.15    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5552 12-01-54                                      | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11519631 | PA      | $11370175.42   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 2YR FUT TUZ5 12-31-25                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     52528 | NC      | $14335605.73   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 20YR FUT USZ5 12-19-25                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3009 | NC      | $959976.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS9507 02-01-54                                      | CUSIP: 3140XRR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29655525 | PA      | $28611175.89   | 0.12%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS9508 03-01-54                                      | CUSIP: 3140XRR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18636947 | PA      | $17972931.09   | 0.08%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5531 11-01-54                                      | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5208761 | PA      | $5242977.43    | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ3163 12-01-54                                      | CUSIP: 3142GTQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8432812 | PA      | $8349967.98    | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT TYZ5 12-19-25                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     11194 | NC      | $7504634.86    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 30YR FUT ULTRA WNZ5 12-19-25                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       198 | NC      | $75765.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB9616 12-01-54                                      | CUSIP: 3140QVVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5070786 | PA      | $5119100.54    | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU5234 12-01-54                                      | CUSIP: 3140M6Y80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2687290 | PA      | $2712892.28    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT ULTRA UXYZ5 12-19-25                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2232 | NC      | $-1223804.17   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8469 10-01-54                                      | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17980620 | PA      | $18100100.85   | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 SD8398 01-01-54                                      | CUSIP: 3132DWKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.07          | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DC8825 12-01-54                                      | CUSIP: 3140AWYX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    531514 | PA      | $554864.42     | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB6165 11-01-52                                      | CUSIP: 3140QRZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    222401 | PA      | $207990.38     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB5882 03-01-53                                      | CUSIP: 3140QRRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2686500 | PA      | $2512028.17    | 0.01%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8494 01-01-55                                      | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10404976 | PA      | $10473326.12   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 DC2687 10-01-54                                      | CUSIP: 3140AP6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1654191 | PA      | $1544820.47    | 0.01%             | 2054-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4819 10-01-52                                      | CUSIP: 3140QQK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46994 | PA      | $43910.47      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS3526 12-01-52                                      | CUSIP: 3140XJ4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2294062 | PA      | $2144881.22    | 0.01%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX0391 10-01-52                                      | CUSIP: 3140N4NH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3606460 | PA      | $3374305.30    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QG2329 04-01-53                                      | CUSIP: 3133C2SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     53305 | PA      | $49830.34      | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QJ6847 10-01-54                                      | CUSIP: 3133CXTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    782311 | PA      | $730814.88     | 0.00%             | 2054-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD5042 01-01-52                                      | CUSIP: 3133B2S75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15000005 | PA      | $13028149.04   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QC7486 09-01-51                                      | CUSIP: 3133ASJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6000001 | PA      | $5203891.09    | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2793 03-01-50                                      | CUSIP: 3140X6C74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41014 | PA      | $35642.15      | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QE8299 06-01-52                                      | CUSIP: 3133BJGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    955314 | PA      | $830002.28     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA8871 02-01-51                                      | CUSIP: 3140QG2D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7000002 | PA      | $6071262.88    | 0.03%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB1408 08-01-51                                      | CUSIP: 3140QLR65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    660195 | PA      | $575337.17     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB3496 05-01-52                                      | CUSIP: 3140QN3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21970 | PA      | $19096.71      | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QB0758 06-01-50                                      | CUSIP: 3133A6ZX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    951514 | PA      | $826891.03     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9350 11-01-51                                      | CUSIP: 3140XDL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    792264 | PA      | $688107.64     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SL1763 10-01-53                                      | CUSIP: 31427N5Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2106146 | PA      | $1828482.68    | 0.01%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BU3024 12-01-51                                      | CUSIP: 3140M4LE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2893852 | PA      | $2512826.95    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV7832 07-01-52                                      | CUSIP: 3140MMV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21393 | PA      | $18569.02      | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV4199 03-01-52                                      | CUSIP: 3140MHUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13424781 | PA      | $11643084.05   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS0674 02-01-52                                      | CUSIP: 3140XFXC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    702759 | PA      | $610217.13     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 MA4999 03-01-53                                      | CUSIP: 31418ERV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999900 | PA      | $867448.40     | 0.00%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QE8121 07-01-52                                      | CUSIP: 3133BJAW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4558573 | PA      | $3956376.00    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2096 11-01-51                                      | CUSIP: 3140QMKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999901 | PA      | $868348.65     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS5083 03-01-52                                      | CUSIP: 3140XLUH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999900 | PA      | $873017.12     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV4201 03-01-52                                      | CUSIP: 3140MHU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5999997 | PA      | $5210523.76    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS6788 06-01-52                                      | CUSIP: 3140XNRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8806490 | PA      | $7644271.31    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6471 02-01-51                                      | CUSIP: 3140XAFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9193251 | PA      | $7310022.69    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0050 09-01-55                                      | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3224000 | PA      | $3295269.74    | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNGT 2001-T10 A1 7.0% 12-25-41                                     | CUSIP: 3139216A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     21223 | PA      | $21656.14      | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 AT5898 06-01-43                                      | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6335937 | PA      | $5789716.23    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 4367 02-20-39                                             | CUSIP: 36202EZ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10692 | PA      | $10314.89      | 0.00%             | 2039-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.229 AG8194 09-20-64                                         | CUSIP: 36182DC78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4033 | PA      | $3995.56       | 0.00%             | 2064-09-20      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754335 08-20-29                                           | CUSIP: 36230NY82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52189 | PA      | $53356.17      | 0.00%             | 2029-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 5.0 005040 04-20-41                                             | CUSIP: 36202FS56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25402 | PA      | $25548.32      | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 5.5 004182 07-20-38                                             | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10481 | PA      | $10472.46      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8723 03-20-53                                           | CUSIP: 36179XVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2866761 | PA      | $2696131.85    | 0.01%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.95 751409 07-20-61                                          | CUSIP: 36230KR60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       714 | PA      | $700.88        | 0.00%             | 2061-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN AG8149 06-20-64                                           | CUSIP: 36182DBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19997 | PA      | $20068.83      | 0.00%             | 2064-06-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.817 795533 05-20-63                                         | CUSIP: 36177QEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       187 | PA      | $187.32        | 0.00%             | 2063-05-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.192 795471 02-20-62                                         | CUSIP: 36177QCH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       162 | PA      | $161.74        | 0.00%             | 2062-02-20      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.756 759735 03-20-62                                         | CUSIP: 36230UY86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       369 | PA      | $369.15        | 0.00%             | 2062-03-20      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.394 767641 05-20-63                                         | CUSIP: 36176JS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       258 | PA      | $257.05        | 0.00%             | 2063-05-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.592 767610 11-20-62                                         | CUSIP: 36176JR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       148 | PA      | $147.20        | 0.00%             | 2062-11-20      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2012-H12 FT FRN 05-20-62                                       | CUSIP: 38375BRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     73079 | PA      | $73150.18      | 0.00%             | 2062-05-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN 892950 07-20-60                                           | CUSIP: 3620E0DY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18598 | PA      | $18710.35      | 0.00%             | 2060-07-20      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.88 AG8150 07-20-64                                          | CUSIP: 36182DBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1593 | PA      | $1595.30       | 0.00%             | 2064-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.171 AG8155 07-20-64                                         | CUSIP: 36182DBY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       750 | PA      | $749.97        | 0.00%             | 2064-07-20      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN AG8156 07-20-64                                           | CUSIP: 36182DBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3949 | PA      | $3976.92       | 0.00%             | 2064-07-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.2 AG8171 07-20-64                                           | CUSIP: 36182DCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       478 | PA      | $476.42        | 0.00%             | 2064-07-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.75 AH5901 11-20-34                                          | CUSIP: 36182NRW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    641460 | PA      | $627946.10     | 0.00%             | 2034-11-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.694 AL7438 01-20-65                                         | CUSIP: 36184EHP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       816 | PA      | $806.87        | 0.00%             | 2065-01-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.192 AG8189 09-20-64                                         | CUSIP: 36182DC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       729 | PA      | $728.89        | 0.00%             | 2064-09-20      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA9776 07-20-54                                           | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13996710 | PA      | $13137591.93   | 0.06%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MB0024 11-20-54                                           | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16891538 | PA      | $16281517.41   | 0.07%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0202 02-20-55                                           | CUSIP: 3618N5GL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  46807034 | PA      | $43690949.64   | 0.19%             | 2055-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0144 01-20-55                                           | CUSIP: 3618N5ES4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  94393448 | PA      | $88109393.08   | 0.38%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0256 03-20-55                                           | CUSIP: 3618N5JA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20894799 | PA      | $19503769.87   | 0.08%             | 2055-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0421 06-20-55                                           | CUSIP: 3618N5PF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  91918925 | PA      | $85799514.09   | 0.37%             | 2055-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 TBA 09-01-55                                              | CUSIP: 21H040699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  64352784 | PA      | $60044944.29   | 0.26%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 TBA 09-01-55                                              | CUSIP: 21H032696<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23509426 | PA      | $21401947.02   | 0.09%             | 2055-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0485 07-20-55                                           | CUSIP: 3618N5RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21520492 | PA      | $21699047.71   | 0.09%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.755% 08-29-25/08-29-30 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $36894.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.32625% 04-18-19/04-18-29 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1882808.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 0.5385% 03-26-20/03-26-30 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $26809907.96   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 07-31-26                        | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 595000000 | PA      | $597533391.00  | 2.56%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.875% 07-15-34 | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88102171 | PA      | $89289458.80   | 0.38%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 08-15-34                        | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26013600 | PA      | $25509586.50   | 0.11%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CA7325 10-01-50                                      | CUSIP: 3140QFD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3754209 | PA      | $3040259.88    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6548 03-01-51                                      | CUSIP: 3140XAH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9284029 | PA      | $7526627.14    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6973 03-01-52                                      | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9019174 | PA      | $7196038.55    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS3759 02-01-53                                      | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8534813 | PA      | $8856993.37    | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD0734 10-01-51                                      | CUSIP: 3132DMY74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    443404 | PA      | $390772.08     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB1304 08-01-51                                      | CUSIP: 3140QLNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    278863 | PA      | $242779.30     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD0813 01-01-52                                      | CUSIP: 3132DM3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    831496 | PA      | $732452.91     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV3076 02-01-52                                      | CUSIP: 3140MGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4570865 | PA      | $3644405.41    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE3824 06-01-52                                      | CUSIP: 3133BDG90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22603 | PA      | $20462.30      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE4101 05-01-52                                      | CUSIP: 3133BDRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46825 | PA      | $42389.49      | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA4963 03-01-53                                      | CUSIP: 31418EQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55514 | PA      | $50224.16      | 0.00%             | 2053-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 947337 10-01-37                                      | CUSIP: 31413J4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       311 | PA      | $322.59        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 954832 01-01-38                                      | CUSIP: 31413THH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1087 | PA      | $1134.86       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q28558 09-01-44                                          | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1205047 | PA      | $1128480.39    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q55971 05-01-48                                          | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    418484 | PA      | $396270.31     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 898565 10-01-36                                      | CUSIP: 31410VJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       210 | PA      | $222.40        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 ZS1044 02-01-36                                      | CUSIP: 3132A1ER1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       796 | PA      | $835.16        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 256708 03-01-27                                      | CUSIP: 31371NDM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1904 | PA      | $1973.13       | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 ZI5486 09-01-36                                      | CUSIP: 3131WJCX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1639 | PA      | $1721.95       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AD0329 09-01-28                                      | CUSIP: 31418MLK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1396 | PA      | $1446.23       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW5122 01-01-53                                      | CUSIP: 3140MWVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7769169 | PA      | $7260878.97    | 0.03%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF5422 01-01-53                                      | CUSIP: 3133BTAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1066128 | PA      | $996531.54     | 0.00%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4919 02-01-53                                      | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14925857 | PA      | $15084921.63   | 0.06%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA4916 02-01-53                                      | CUSIP: 31418EPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2280854 | PA      | $2130602.97    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE6074 07-01-52                                      | CUSIP: 3133BFXB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    305368 | PA      | $285389.55     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW5055 12-01-52                                      | CUSIP: 3140MWTM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2286231 | PA      | $2135382.93    | 0.01%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX2476 12-01-52                                      | CUSIP: 3140N6XE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    738910 | PA      | $746230.14     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF4190 11-01-52                                      | CUSIP: 3133BRUP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    439522 | PA      | $411022.17     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB5378 09-01-52                                      | CUSIP: 3140QQ6Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38411 | PA      | $35932.07      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF3165 11-01-52                                      | CUSIP: 3133BQQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    271639 | PA      | $253939.91     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW7750 10-01-52                                      | CUSIP: 3140N0TG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2303019 | PA      | $2152753.86    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AL5156 02-01-29                                      | CUSIP: 3138EMWS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     73700 | PA      | $76377.88      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF7852 02-01-53                                      | CUSIP: 3133BVWM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4246589 | PA      | $3971103.91    | 0.02%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW5062 01-01-53                                      | CUSIP: 3140MWTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59269 | PA      | $55406.97      | 0.00%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 BX7703 02-01-53                                      | CUSIP: 3140NCRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3559739 | PA      | $3703926.24    | 0.02%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4942 03-01-53                                      | CUSIP: 31418EP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1460207 | PA      | $1499120.20    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5778 12-01-52                                      | CUSIP: 3140QRM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    242363 | PA      | $248685.30     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW6230 09-01-52                                      | CUSIP: 3140MX4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1150824 | PA      | $1074891.61    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW5000 03-01-53                                      | CUSIP: 3140MWRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    623369 | PA      | $583024.25     | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA4917 02-01-53                                      | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    851253 | PA      | $822903.04     | 0.00%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QF6121 01-01-53                                      | CUSIP: 3133BTYS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    543976 | PA      | $559666.98     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS1080 02-01-52                                      | CUSIP: 3140XGFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1286074 | PA      | $1069108.01    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW6960 12-01-52                                      | CUSIP: 3140MYWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    997679 | PA      | $935763.48     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8314 04-01-53                                      | CUSIP: 3132DWGX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    712428 | PA      | $687338.81     | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA4977 04-01-53                                      | CUSIP: 31418EQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1010381 | PA      | $974591.38     | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BT8034 01-01-53                                      | CUSIP: 3140LW4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    134285 | PA      | $129722.64     | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF5391 12-01-52                                      | CUSIP: 3133BS7C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     30392 | PA      | $28424.16      | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BT8069 03-01-53                                      | CUSIP: 3140LW6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1092864 | PA      | $1021521.72    | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AR1512 01-01-43                                      | CUSIP: 3138NXVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    223329 | PA      | $210037.82     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54709 03-01-48                                          | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    441804 | PA      | $407617.21     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS3393 10-01-52                                      | CUSIP: 3140XJXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139870 | PA      | $130636.46     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW3570 06-01-52                                      | CUSIP: 3140MU6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    461335 | PA      | $431389.82     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3140 03-01-52                                      | CUSIP: 3140QNP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    724384 | PA      | $677713.64     | 0.00%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF1655 09-01-52                                      | CUSIP: 3133BNZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     52434 | PA      | $49042.03      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56590 06-01-48                                          | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    247981 | PA      | $229558.47     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1248 06-01-41                                      | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    124971 | PA      | $127039.36     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0433 12-01-51                                      | CUSIP: 3140XFPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34853251 | PA      | $29824728.66   | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9976 12-01-51                                      | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8199686 | PA      | $7272768.55    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD0873 02-01-52                                      | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24410402 | PA      | $22464014.17   | 0.10%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM7687 06-01-51                                      | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2403245 | PA      | $2128546.93    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BY1418 11-01-53                                      | CUSIP: 3140NHSG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     84325 | PA      | $78795.70      | 0.00%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX9358 04-01-53                                      | CUSIP: 3140NEMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    314095 | PA      | $293662.51     | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7553 03-01-52                                      | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14755907 | PA      | $13002314.80   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4501 12-01-41                                      | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  35627685 | PA      | $30396756.69   | 0.13%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5138 12-01-41                                      | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  32054839 | PA      | $27561776.71   | 0.12%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 QK1181 11-01-41                                      | CUSIP: 3133D4J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6101698 | PA      | $5246453.51    | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 AH0351 02-01-41                                      | CUSIP: 3138A1L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    171094 | PA      | $171033.83     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4547 02-01-52                                      | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7099909 | PA      | $5656837.91    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4305 04-01-51                                      | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    108726 | PA      | $87108.36      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4152 10-01-40                                      | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2684366 | PA      | $2355596.00    | 0.01%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4492 12-01-51                                      | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1604059 | PA      | $1281993.07    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA5155 05-01-51                                      | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    342813 | PA      | $272587.81     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4465 11-01-51                                      | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3580560 | PA      | $2862385.89    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4378 07-01-51                                      | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    152323 | PA      | $121972.45     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8199 03-01-52                                      | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  50165379 | PA      | $39976689.92   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7243 01-01-51                                      | CUSIP: 3133AEBL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2887592 | PA      | $2296072.02    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8182 12-01-51                                      | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    800587 | PA      | $639763.82     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 555254 01-01-33                                      | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       184 | PA      | $192.19        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ5391 11-01-41                                      | CUSIP: 3138AW7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    122633 | PA      | $124964.09     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 5.0 G06459 05-01-41                                          | CUSIP: 3128M8QL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    862431 | PA      | $879887.51     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8128 02-01-51                                      | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    375624 | PA      | $301134.68     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8134 03-01-51                                      | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    625678 | PA      | $501340.73     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8106 11-01-50                                      | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11895979 | PA      | $9546844.17    | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7544 07-01-51                                      | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1319178 | PA      | $1171096.67    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5121 08-01-41                                      | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  82922657 | PA      | $71300549.46   | 0.31%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 AL1308 05-01-39                                      | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       565 | PA      | $600.82        | 0.00%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 8D0226 05-01-52                                          | CUSIP: 3142BNHB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5409509 | PA      | $4963370.93    | 0.02%             | 2052-05-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB0457 05-01-51                                      | CUSIP: 3140QKQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5073678 | PA      | $4258205.95    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5259 05-01-51                                      | CUSIP: 3133KLZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4941720 | PA      | $4147432.34    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7554 04-01-52                                      | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1192592 | PA      | $1010430.37    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56589 06-01-48                                          | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    135233 | PA      | $125243.02     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 CA4151 09-01-49                                      | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4763530 | PA      | $4416435.29    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA8828 02-01-51                                      | CUSIP: 3140QGY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7975629 | PA      | $6739630.11    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS0647 02-01-52                                      | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4980866 | PA      | $4394523.63    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6406 11-01-51                                      | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4838697 | PA      | $3870996.31    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RA7938 09-01-52                                      | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  49111439 | PA      | $48762011.41   | 0.21%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM9416 07-01-45                                      | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 109817732 | PA      | $102339474.17  | 0.44%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM3280 05-01-49                                      | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28346950 | PA      | $26437442.41   | 0.11%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA5968 06-01-50                                      | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1913917 | PA      | $1621524.17    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA4732 09-01-52                                      | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3160016 | PA      | $2956084.58    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB2765 02-01-52                                      | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6665512 | PA      | $5341701.23    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.5 RB5154 04-01-42                                      | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 106776273 | PA      | $94208171.82   | 0.40%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8245 09-01-52                                      | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3644982 | PA      | $3528586.83    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS0965 11-01-51                                      | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    494366 | PA      | $394979.99     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD3120 12-01-51                                      | CUSIP: 3133B0PD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     23294 | PA      | $20238.65      | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8251 08-01-52                                      | CUSIP: 3132DWEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    763638 | PA      | $771976.63     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW5268 03-01-53                                      | CUSIP: 3140MW2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1105589 | PA      | $1033084.82    | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5191 11-01-53                                      | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10677681 | PA      | $10958973.51   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9857 09-01-53                                      | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21684419 | PA      | $22222452.52   | 0.10%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9636 08-01-53                                      | CUSIP: 3133KRV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3454748 | PA      | $3539983.41    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8373 11-01-53                                      | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11077596 | PA      | $11354303.64   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG9159 08-01-53                                      | CUSIP: 3133CAE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10473136 | PA      | $10796641.06   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY8293 08-01-53                                      | CUSIP: 3140NRGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1414436 | PA      | $1448825.20    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QC4305 07-01-51                                      | CUSIP: 3133ANYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5819453 | PA      | $5050249.38    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC7739 09-01-51                                      | CUSIP: 3133ASS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    218887 | PA      | $181960.24     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QC5857 08-01-51                                      | CUSIP: 3133AQQJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9294339 | PA      | $8064019.19    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV3101 03-01-52                                      | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1665203 | PA      | $1326744.21    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB0381 05-01-51                                      | CUSIP: 3140QKM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1221878 | PA      | $971577.43     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1394 08-01-51                                      | CUSIP: 3140QLRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16131988 | PA      | $13410457.35   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5912 03-01-53                                      | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7189110 | PA      | $7414840.69    | 0.03%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6471 06-01-53                                      | CUSIP: 3140QSFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3208427 | PA      | $3092747.27    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS4712 04-01-52                                      | CUSIP: 3140XLGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    231714 | PA      | $192622.71     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4628 06-01-37                                      | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2035388 | PA      | $1910663.91    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5107 08-01-53                                      | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     90394 | PA      | $91170.86      | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5167 10-01-53                                      | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1983089 | PA      | $2056344.24    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8374 11-01-53                                      | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     69114 | PA      | $71689.77      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5190 11-01-53                                      | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3313839 | PA      | $3340290.46    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4053 10-01-53                                      | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  57610745 | PA      | $59087250.34   | 0.25%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8387 04-01-54                                      | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16619016 | PA      | $17407039.56   | 0.07%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3386 07-01-53                                      | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9101857 | PA      | $9190672.55    | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4975 02-01-54                                      | CUSIP: 3132DSQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4210178 | PA      | $4310405.03    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BV8976 08-01-52                                      | CUSIP: 3140MN6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4224883 | PA      | $4208198.97    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS5520 01-01-53                                      | CUSIP: 3140XMD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5301315 | PA      | $5117926.24    | 0.02%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1429 05-01-54                                      | CUSIP: 3142GRST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7947723 | PA      | $8165657.95    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1419 05-01-54                                      | CUSIP: 3142GRSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6730865 | PA      | $6785290.97    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5207 11-01-53                                      | CUSIP: 31418EYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9244772 | PA      | $8636650.61    | 0.04%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5320 03-01-54                                      | CUSIP: 31418E4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6931474 | PA      | $6474801.17    | 0.03%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QI0001 02-01-54                                      | CUSIP: 3133W6AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1984523 | PA      | $1853471.22    | 0.01%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX0466 11-01-52                                      | CUSIP: 3140N4QU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    846836 | PA      | $792010.80     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE8992 08-01-52                                      | CUSIP: 3133BJ7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    325740 | PA      | $305359.32     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS5635 11-01-52                                      | CUSIP: 3140XMHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     95419 | PA      | $89256.11      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4818 10-01-52                                      | CUSIP: 3140QQK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5036813 | PA      | $4711510.74    | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1382 08-01-52                                      | CUSIP: 3132DNRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     56345 | PA      | $52752.02      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1441 08-01-52                                      | CUSIP: 3132DNS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    185963 | PA      | $173750.54     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4020 07-01-52                                      | CUSIP: 3140QPPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36185 | PA      | $33837.97      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE6678 08-01-52                                      | CUSIP: 3133BGM39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25747 | PA      | $24085.62      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE5611 07-01-52                                      | CUSIP: 3133BFGU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     97514 | PA      | $91163.21      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9349 09-01-52                                      | CUSIP: 3133BKL64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    877986 | PA      | $821325.75     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF1221 10-01-52                                      | CUSIP: 3133BNLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    402799 | PA      | $376909.70     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ1855 06-01-54                                      | CUSIP: 3142GSBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7893591 | PA      | $7811789.42    | 0.03%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1857 06-01-54                                      | CUSIP: 3142GSB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1893457 | PA      | $1916953.31    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8153 06-01-54                                      | CUSIP: 3140XQBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4247488 | PA      | $4374628.43    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB9736 01-01-55                                      | CUSIP: 3140QVZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    975770 | PA      | $939296.74     | 0.00%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9821 01-01-55                                      | CUSIP: 3140QV4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12856169 | PA      | $13173253.98   | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU5358 12-01-54                                      | CUSIP: 3140M65U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3318963 | PA      | $3406666.48    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BU5361 12-01-54                                      | CUSIP: 3140M65X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6519571 | PA      | $6449987.29    | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX1881 12-01-54                                      | CUSIP: 31425WCT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3216812 | PA      | $3300094.86    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 QX1743 12-01-54                                      | CUSIP: 31425V5D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5569619 | PA      | $5510747.65    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q15874 02-01-43                                          | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21602 | PA      | $20768.08      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE5017 02-01-45                                      | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    562004 | PA      | $524016.58     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 QX2834 12-01-54                                      | CUSIP: 31425XEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1840278 | PA      | $1820493.08    | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ6356 11-01-50                                      | CUSIP: 3140KSB22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2029226 | PA      | $1614646.86    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT2177 02-01-52                                      | CUSIP: 3140LQM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2047608 | PA      | $1633381.21    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6332 02-01-51                                      | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    614674 | PA      | $488758.95     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB2927 02-01-52                                      | CUSIP: 3140QNHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46066 | PA      | $36702.38      | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7385 02-01-51                                      | CUSIP: 3140XPF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2562218 | PA      | $2041941.48    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD7087 02-01-52                                      | CUSIP: 3133B42U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    283180 | PA      | $225170.53     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD1406 08-01-52                                      | CUSIP: 3132DNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1631762 | PA      | $1301023.16    | 0.01%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM5848 02-01-51                                      | CUSIP: 3140X9QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2204236 | PA      | $1767784.16    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB3040 03-01-52                                      | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16171882 | PA      | $12904838.45   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BU7817 12-01-51                                      | CUSIP: 3140M9VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2088359 | PA      | $1660560.83    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB2361 12-01-51                                      | CUSIP: 3140QMTT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    373407 | PA      | $296914.73     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58378 09-01-48                                          | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    341760 | PA      | $334338.46     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AY1829 12-01-44                                      | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64692 | PA      | $60727.07      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT0412 03-01-43                                      | CUSIP: 3138WMN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    103447 | PA      | $96755.57      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q51622 10-01-47                                          | CUSIP: 3132XTYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    450928 | PA      | $411011.02     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q47615 04-01-47                                          | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    448500 | PA      | $409698.95     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT3954 04-01-43                                      | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55383 | PA      | $52132.94      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q56599 06-01-48                                          | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    613800 | PA      | $585397.83     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q18236 05-01-43                                          | CUSIP: 3132J9S25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    310318 | PA      | $292405.36     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE8740 05-01-47                                      | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    478548 | PA      | $442636.06     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54782 03-01-48                                          | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    210395 | PA      | $193925.53     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q57242 07-01-48                                          | CUSIP: 3132Y1BL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    266361 | PA      | $261027.58     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58411 09-01-48                                          | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1081291 | PA      | $1062365.94    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q55970 05-01-48                                          | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    186557 | PA      | $177089.64     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2822 03-01-50                                      | CUSIP: 3140X6D40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5948896 | PA      | $5253696.35    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD7513 04-01-50                                      | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  58158376 | PA      | $53677448.07   | 0.23%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA3099 08-01-37                                      | CUSIP: 31418CNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2142407 | PA      | $2122452.42    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR1035 05-01-51                                      | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64553 | PA      | $51543.64      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BP6715 09-01-50                                      | CUSIP: 3140KEN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3483 | PA      | $2794.61       | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8266 11-01-52                                      | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    822433 | PA      | $796298.15     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS2805 09-01-52                                      | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    160157 | PA      | $133222.21     | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9672 12-01-51                                      | CUSIP: 3140XDXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16268020 | PA      | $13529607.83   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA4805 11-01-52                                      | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    346837 | PA      | $334803.22     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QE0588 03-01-52                                      | CUSIP: 3133B9UM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    161013 | PA      | $133849.70     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD6848 02-01-52                                      | CUSIP: 3133B4TD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    191050 | PA      | $158819.37     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7408 05-01-51                                      | CUSIP: 3140XBGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    178216 | PA      | $148150.02     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT1892 02-01-52                                      | CUSIP: 3140LQC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     91229 | PA      | $75838.35      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC7814 10-01-51                                      | CUSIP: 3133ASVF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    190799 | PA      | $158610.11     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR7222 04-01-51                                      | CUSIP: 3140L6AY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19099286 | PA      | $15877159.88   | 0.07%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0546 02-01-52                                      | CUSIP: 3140XFTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1393424 | PA      | $1158347.82    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM8422 08-01-51                                      | CUSIP: 3140XCLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1878453 | PA      | $1562747.10    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0174 01-01-52                                      | CUSIP: 3140XFFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    179365 | PA      | $149105.76     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1134 07-01-51                                      | CUSIP: 3140QLHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    969905 | PA      | $806278.35     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RA8647 05-01-53                                      | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1036990 | PA      | $1000900.33    | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD2465 10-01-52                                      | CUSIP: 3132DPW20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1028715 | PA      | $996941.28     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE9497 09-01-52                                      | CUSIP: 3133BKRS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2601725 | PA      | $2522398.61    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BU4112 07-01-53                                      | CUSIP: 3140M5SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    135169 | PA      | $133987.86     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8357 08-01-53                                      | CUSIP: 3132DWJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6964461 | PA      | $6507773.53    | 0.03%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5027 05-01-53                                      | CUSIP: 31418ESR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48368 | PA      | $45226.75      | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0392 01-01-52                                      | CUSIP: 3140XFNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2257121 | PA      | $1876335.64    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB0396 05-01-51                                      | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    775130 | PA      | $644362.62     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD8219 06-01-52                                      | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    232247 | PA      | $193509.69     | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW1192 09-01-52                                      | CUSIP: 3140MSKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8111643 | PA      | $7823022.62    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU5048 09-01-54                                      | CUSIP: 3140M6TE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4005427 | PA      | $4119301.17    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6578 09-01-54                                      | CUSIP: 3132DUJX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2680561 | PA      | $2755649.32    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS7879 07-01-52                                      | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3875705 | PA      | $3223571.00    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB3050 03-01-52                                      | CUSIP: 3140QNL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    157395 | PA      | $130841.66     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF0666 09-01-52                                      | CUSIP: 3133BMW35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    295893 | PA      | $276674.85     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW7794 09-01-52                                      | CUSIP: 3140N0UU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    440322 | PA      | $411679.93     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9086 10-01-51                                      | CUSIP: 3140XDCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    156675 | PA      | $130245.25     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QE0849 02-01-52                                      | CUSIP: 3133B95J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    174205 | PA      | $144815.79     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7195 09-01-50                                      | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    426494 | PA      | $354542.47     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD2962 02-01-52                                      | CUSIP: 3132DQJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49692 | PA      | $41399.31      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8258 10-01-52                                      | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14006982 | PA      | $13888202.55   | 0.06%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8220 06-01-52                                      | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20762793 | PA      | $18039898.09   | 0.08%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC1187 04-01-51                                      | CUSIP: 3133AKJ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17863311 | PA      | $14872474.94   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS5613 01-01-52                                      | CUSIP: 3140XMGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24132 | PA      | $20065.94      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT6607 02-01-52                                      | CUSIP: 3140LVKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    152590 | PA      | $126847.70     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BQ1607 09-01-50                                      | CUSIP: 3140KLYD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    148973 | PA      | $124058.86     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5435 06-01-51                                      | CUSIP: 3133KMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    722839 | PA      | $600893.05     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5275 05-01-51                                      | CUSIP: 3133KL2G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    688258 | PA      | $572663.21     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QB5838 11-01-50                                      | CUSIP: 3133ACPX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    161867 | PA      | $134717.73     | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD3478 04-01-52                                      | CUSIP: 3132DQ2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3756927 | PA      | $3123118.01    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA6136 10-01-51                                      | CUSIP: 3133KMY90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    741819 | PA      | $616671.55     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD0778 12-01-51                                      | CUSIP: 3132DM2K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    369202 | PA      | $307167.51     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT1288 07-01-51                                      | CUSIP: 3140LPNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    446978 | PA      | $371949.80     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC4231 07-01-51                                      | CUSIP: 3133ANVY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37933 | PA      | $31533.70      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS3549 01-01-52                                      | CUSIP: 3140XJ5K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    221504 | PA      | $184520.99     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BV7761 03-01-52                                      | CUSIP: 3140MMTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    433689 | PA      | $360932.25     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS3806 07-01-52                                      | CUSIP: 3140XKGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    745021 | PA      | $619401.91     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD3226 03-01-52                                      | CUSIP: 3132DQSP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    213270 | PA      | $177290.61     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8462 09-01-54                                      | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15663860 | PA      | $15774587.90   | 0.07%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SI2032 06-01-51                                      | CUSIP: 3133USHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    223422 | PA      | $185994.49     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3240 01-01-55                                      | CUSIP: 3142GTS64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  46432615 | PA      | $47579640.07   | 0.20%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3305 01-01-55                                      | CUSIP: 3142GTU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13127583 | PA      | $13498673.45   | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 05-15-43                        | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19984700 | PA      | $17714561.99   | 0.08%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 05-31-30                         | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $35099806.00   | 0.15%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 05-31-28                        | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53200000 | PA      | $53254029.92   | 0.23%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 CB9737 01-01-55                                      | CUSIP: 3140QVZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12576820 | PA      | $12442588.02   | 0.05%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 06-30-28                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  84653100 | PA      | $85618670.19   | 0.37%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 07-15-26                          | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32658000 | PA      | $32823840.59   | 0.14%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 07-31-28                        | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 224000000 | PA      | $227333747.20  | 0.97%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA6806 02-01-52                                      | CUSIP: 3133KNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    999900 | PA      | $867213.27     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF3985 11-01-52                                      | CUSIP: 3133BRNA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29915 | PA      | $27971.87      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 19 3.65% 08-01-33                                         | CUSIP: 911759MQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    545000 | PA      | $511501.03     | 0.00%             | 2033-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 17 3.55% 08-01-31                                         | CUSIP: 911759MN5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    705000 | PA      | $678106.37     | 0.00%             | 2031-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 16 3.50% 08-01-30                                         | CUSIP: 911759MM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    585000 | PA      | $568926.54     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS5335 05-01-53                                      | CUSIP: 3140XL4V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    857770 | PA      | $802208.71     | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5404 05-01-54                                      | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29279026 | PA      | $30502713.50   | 0.13%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1726 06-01-54                                      | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12678543 | PA      | $13248646.41   | 0.06%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS6986 07-01-52                                      | CUSIP: 3140XNXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2529934 | PA      | $2017017.54    | 0.01%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7329 06-01-52                                      | CUSIP: 3140XPEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1229503 | PA      | $981072.35     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7498 04-01-52                                      | CUSIP: 3140XPKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7284939 | PA      | $5816214.94    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5388 06-01-54                                      | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17300057 | PA      | $17431035.32   | 0.07%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0765 09-01-63                                         | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5336148 | PA      | $4743419.50    | 0.02%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7823 07-01-53                                      | CUSIP: 3140XPVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5541850 | PA      | $4425854.72    | 0.02%             | 2053-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD5343 03-01-52                                      | CUSIP: 3132DS5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1818442 | PA      | $1451729.53    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS1742 03-01-52                                      | CUSIP: 3140XG5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1620987 | PA      | $1295045.07    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1779 06-01-54                                      | CUSIP: 3142GR6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2849983 | PA      | $2938172.53    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1785 06-01-54                                      | CUSIP: 3142GR6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4061521 | PA      | $4181108.50    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8755 06-01-54                                      | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2246238 | PA      | $2315286.90    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS7031 02-01-54                                      | CUSIP: 3140XNY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6938358 | PA      | $7156236.04    | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS7503 02-01-54                                      | CUSIP: 3140XPKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    891718 | PA      | $911796.91     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8447 07-01-54                                      | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6003449 | PA      | $6144763.68    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5421 07-01-54                                      | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20588928 | PA      | $21048904.76   | 0.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5303 04-01-54                                      | CUSIP: 3132DS3L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1638826 | PA      | $1687560.94    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU4699 07-01-54                                      | CUSIP: 3140M6GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2803010 | PA      | $2830723.32    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4700 07-01-54                                      | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5401939 | PA      | $5545646.60    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QI8872 07-01-54                                      | CUSIP: 3133WF2D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1396776 | PA      | $1410585.94    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI8874 07-01-54                                      | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2240372 | PA      | $2297225.75    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8872 07-01-54                                      | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4101535 | PA      | $4282359.58    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8725 06-01-54                                      | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2649776 | PA      | $2759203.70    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1964 07-01-54                                      | CUSIP: 3142GSFE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18710752 | PA      | $19358424.90   | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB5214 07-01-54                                      | CUSIP: 3140AEYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3276097 | PA      | $3359480.53    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB2495 05-01-54                                      | CUSIP: 3140ABXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1232044 | PA      | $1259740.81    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6034 08-01-54                                      | CUSIP: 3132DTV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10111761 | PA      | $10557568.62   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6047 08-01-54                                      | CUSIP: 3132DTWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3682125 | PA      | $3853454.60    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7792 08-01-54                                      | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    826255 | PA      | $845778.33     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4707 07-01-54                                      | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1313653 | PA      | $1344691.94    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6035 08-01-54                                      | CUSIP: 3132DTV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2592874 | PA      | $2707175.34    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5701 06-01-54                                      | CUSIP: 3132DTKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4533814 | PA      | $4733691.54    | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-28                         | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 605000000 | PA      | $614240407.00  | 2.63%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 02-15-45                         | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2481900 | PA      | $2444477.66    | 0.01%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 10-09-25                          | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 150000000 | PA      | $149353665.00  | 0.64%             | 2025-10-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 04-30-32                          | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100300 | PA      | $5130583.03    | 0.02%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 04-30-27                         | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45034000 | PA      | $45085383.79   | 0.19%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 04-30-30                        | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20425500 | PA      | $20601829.26   | 0.09%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 05-15-55                         | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1997900 | PA      | $1943426.06    | 0.01%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 05-15-35                         | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6887400 | PA      | $6911075.44    | 0.03%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 11-06-25                          | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $297789990.00  | 1.28%             | 2025-11-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 5.0% 05-15-45                          | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101554900 | PA      | $103244834.47  | 0.44%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 11-20-25                          | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 700000000 | PA      | $693780710.00  | 2.97%             | 2025-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 05-31-27                        | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56788400 | PA      | $56982951.38   | 0.24%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.12% 05-31-32                         | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 137459900 | PA      | $139204994.67  | 0.60%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 05-31-30                          | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3548800 | PA      | $3598566.24    | 0.02%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 12-04-25                          | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 350000000 | PA      | $346372040.00  | 1.48%             | 2025-12-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 12-18-25                          | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 500000000 | PA      | $494042550.00  | 2.12%             | 2025-12-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 06-30-27                         | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 418582000 | PA      | $419323225.01  | 1.80%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 06-30-32                          | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 215000000 | PA      | $216100198.00  | 0.93%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 10-28-25                          | CUSIP: 912797RE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 550000000 | PA      | $546456075.00  | 2.34%             | 2025-10-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 09-23-25                          | CUSIP: 912797QV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $99752440.00   | 0.43%             | 2025-09-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 07-31-27                        | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28432400 | PA      | $28555680.04   | 0.12%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 08-15-35                         | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67000000 | PA      | $67141329.80   | 0.29%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 08-15-55                         | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52000000 | PA      | $50606561.20   | 0.22%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.625% 01-15-26 | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       272 | PA      | $270.48        | 0.00%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 08-15-46                         | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15360000 | PA      | $9950400.00    | 0.04%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 02-15-47                          | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20801800 | PA      | $15448637.75   | 0.07%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 11-15-26                          | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $48955495.00   | 0.21%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 05-15-27                        | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48800000 | PA      | $47769914.96   | 0.20%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 08-15-47                         | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14222200 | PA      | $10015510.75   | 0.04%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 11-15-47                         | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7374800 | PA      | $5179084.57    | 0.02%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 02-15-48                          | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15528900 | PA      | $11394330.38   | 0.05%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.125% 05-15-48                        | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $4868398.60    | 0.02%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 05-15-44                        | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5277800 | PA      | $4300994.80    | 0.02%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-40                        | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $581316.72     | 0.00%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 02-15-41                         | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6330000 | PA      | $6384382.93    | 0.03%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 02-15-45                          | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60000000 | PA      | $41812500.00   | 0.18%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.125% 11-15-41                        | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $81531.25      | 0.00%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 11-15-42                         | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30021400 | PA      | $22694302.06   | 0.10%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.625% 02-15-43 | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47549364 | PA      | $35340695.34   | 0.15%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 05-15-43                        | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10880000 | PA      | $8321500.54    | 0.04%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 05-15-45                          | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3350000 | PA      | $2539980.39    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 08-15-45                        | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $73976.56      | 0.00%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 5.0% 05-15-37                          | CUSIP: 912810PU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1594335.90    | 0.01%             | 2037-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 02-15-46                          | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8997000 | PA      | $6169973.46    | 0.03%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 08-15-48                          | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27802000 | PA      | $20295460.00   | 0.09%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 11-15-53                         | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70653000 | PA      | $68676927.44   | 0.29%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 11-30-28                        | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 220840000 | PA      | $226076315.16  | 0.97%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 12-31-25                         | CUSIP: 91282CJS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 235000000 | PA      | $235110168.00  | 1.01%             | 2025-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8507 05-01-54                                      | CUSIP: 3140QUNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22753770 | PA      | $23772502.08   | 0.10%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1792 06-01-54                                      | CUSIP: 3142GR7E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33955489 | PA      | $35552483.19   | 0.15%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1535 05-01-54                                      | CUSIP: 3142GRV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14827743 | PA      | $15491611.08   | 0.07%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5530 11-01-54                                      | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14366679 | PA      | $14180286.05   | 0.06%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9432 11-01-54                                      | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11935990 | PA      | $12266187.18   | 0.05%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RJ2851 11-01-54                                      | CUSIP: 3142GTEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8032352 | PA      | $7734633.32    | 0.03%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ2860 11-01-54                                      | CUSIP: 3142GTFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4819797 | PA      | $4757265.18    | 0.02%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2917 11-01-54                                      | CUSIP: 3142GTG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11427010 | PA      | $11508072.73   | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8493 12-01-54                                      | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2551900 | PA      | $2568663.05    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8432 05-01-54                                      | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9653 | PA      | $9868.69       | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BY1411 02-01-53                                      | CUSIP: 3140NHR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    367406 | PA      | $343206.06     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC3551 07-01-51                                      | CUSIP: 3133AM5L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3920264 | PA      | $3280104.47    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DC1349 09-01-54                                      | CUSIP: 3140ANQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7350169 | PA      | $7630783.28    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8475 11-01-54                                      | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44623213 | PA      | $44916343.11   | 0.19%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX0923 12-01-54                                      | CUSIP: 31425VAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5626770 | PA      | $5847311.33    | 0.03%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB5400 12-01-52                                      | CUSIP: 3140QRAA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    405635 | PA      | $379481.73     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS4444 04-01-53                                      | CUSIP: 3140XK5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1839789 | PA      | $1720582.11    | 0.01%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB6455 06-01-53                                      | CUSIP: 3140QSE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     73158 | PA      | $68493.34      | 0.00%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BV0951 09-01-52                                      | CUSIP: 3140MEBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    915700 | PA      | $855911.65     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW8874 09-01-52                                      | CUSIP: 3140N12G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     52837 | PA      | $49399.18      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS6257 06-01-53                                      | CUSIP: 3140XM5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    252944 | PA      | $236816.19     | 0.00%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS6638 07-01-53                                      | CUSIP: 3140XNLU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    240480 | PA      | $224923.12     | 0.00%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW7701 09-01-52                                      | CUSIP: 3140N0RX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     34013 | PA      | $31793.63      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB7316 10-01-53                                      | CUSIP: 3140QTDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     72249 | PA      | $67479.21      | 0.00%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD2738 04-01-53                                      | CUSIP: 3132DQBF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    916170 | PA      | $857014.73     | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE1719 05-01-52                                      | CUSIP: 3133BA4C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    749829 | PA      | $701132.76     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DE2192 07-01-55                                      | CUSIP: 3140BENJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8595866 | PA      | $8785885.85    | 0.04%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CC0859 08-01-55                                      | CUSIP: 3140Y65V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1238972 | PA      | $1256704.41    | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CC0879 08-01-55                                      | CUSIP: 3140Y66R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4935194 | PA      | $5090558.70    | 0.02%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB0047 04-01-51                                      | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    955275 | PA      | $828527.36     | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2667 01-01-52                                      | CUSIP: 3140QM6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44725 | PA      | $38848.13      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2012-H23 FI IO FRN 10-20-62                                    | CUSIP: 38375BXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     63382 | PA      | $762.16        | 0.00%             | 2062-10-20      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2003-46 NB PAC1 5.0% 06-20-33                                  | CUSIP: 38373Q3R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     35019 | PA      | $34914.34      | 0.00%             | 2033-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 6.0 782365 07-15-38                                           | CUSIP: 36241KTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86411 | PA      | $91320.16      | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.5 700778 10-15-38                                           | CUSIP: 36296TQ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32021 | PA      | $32836.63      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.0 698406 07-15-39                                           | CUSIP: 36296Q3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173769 | PA      | $177453.12     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 004636 02-20-40                                           | CUSIP: 36202FEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    315049 | PA      | $314567.22     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 4.0 741910 100% MOD 02-15-39                                  | CUSIP: 3620AWGT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89575 | PA      | $86345.65      | 0.00%             | 2039-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.0 736084 100% MOD 06-15-40                                  | CUSIP: 3620APXM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95232 | PA      | $96277.85      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 736089 06-15-40                                               | CUSIP: 3620APXS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119025 | PA      | $119645.34     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF MA5332 07-20-48                                               | CUSIP: 36179T4R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8987 | PA      | $9072.46       | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 MA6042 07-20-49                                           | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17357 | PA      | $17519.17      | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 738836 11-20-38                                           | CUSIP: 3620ASY94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56357 | PA      | $57774.00      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754287 11-20-38                                           | CUSIP: 36230NXQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50451 | PA      | $51720.38      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 6.5 005112 07-20-41                                             | CUSIP: 36202FVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44226 | PA      | $45384.28      | 0.00%             | 2041-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 754591 01-20-42                                           | CUSIP: 36230PC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    862329 | PA      | $822632.79     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 754636 11-20-41                                           | CUSIP: 36230PEH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    406979 | PA      | $372285.71     | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 754637 01-20-42                                           | CUSIP: 36230PEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350006 | PA      | $333558.57     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754319 01-20-37                                           | CUSIP: 36230NYQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56800 | PA      | $58951.43      | 0.00%             | 2037-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754314 01-20-39                                           | CUSIP: 36230NYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    385408 | PA      | $403730.33     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754334 10-20-32                                           | CUSIP: 36230NY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    144549 | PA      | $148481.90     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 0.666% 11-19-20/11-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $13959323.91   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.01413% 01-12-23/01-12-53 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3095719.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.02% 01-12-23/01-12-53 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3076084.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.27% 02-16-23/02-16-26 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $79493.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.265% 02-16-23/02-16-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $38099.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.3035% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $29119.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2515% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $20477.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2675% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $22470.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.3005% 02-17-23/02-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $19857.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.288% 02-17-23/02-17-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $18740.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $15879061.92   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.31% 03-31-23/06-09-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-125252.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.45% 03-31-23/02-01-28 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $416247.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.47% 04-03-23/02-02-28 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $130055.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.065% 04-07-23/04-07-40 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1649497.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.18% 04-17-23/04-17-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-196437.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.974% 04-17-23/04-17-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1947234.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BK9761 08-01-48                                      | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     89032 | PA      | $88122.94      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54701 03-01-48                                          | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    437407 | PA      | $401249.63     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q52069 11-01-47                                          | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    634567 | PA      | $584619.27     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4906 02-01-54                                      | CUSIP: 3132DSNX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15062407 | PA      | $15535396.84   | 0.07%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7341 10-01-53                                      | CUSIP: 3140QTEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4126231 | PA      | $4250736.12    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4730 01-01-54                                      | CUSIP: 3132DSHF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6240485 | PA      | $6438358.33    | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS5517 07-01-53                                      | CUSIP: 3140XMDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2989845 | PA      | $3084640.60    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6873 01-01-54                                      | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20101949 | PA      | $20864435.55   | 0.09%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1066 03-01-54                                      | CUSIP: 3142GRFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16244866 | PA      | $16440389.66   | 0.07%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4699 01-01-54                                      | CUSIP: 3132DSGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  48050944 | PA      | $49272110.50   | 0.21%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1076 03-01-54                                      | CUSIP: 3142GRFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1931505 | PA      | $1977509.77    | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4964 02-01-54                                      | CUSIP: 3132DSQR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3421205 | PA      | $3524573.49    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5296 03-01-54                                      | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6381833 | PA      | $6430807.40    | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8408 03-01-54                                      | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  25811953 | PA      | $26008692.07   | 0.11%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8163 03-01-54                                      | CUSIP: 3140QUB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7549483 | PA      | $7786567.11    | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8153 03-01-54                                      | CUSIP: 3140QUBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25615787 | PA      | $26428063.36   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8143 03-01-54                                      | CUSIP: 3140QUBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15922695 | PA      | $16078084.12   | 0.07%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8148 03-01-54                                      | CUSIP: 3140QUBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10689485 | PA      | $10809057.14   | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM4783 12-01-50                                      | CUSIP: 3140X8J57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10791018 | PA      | $8602049.44    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6686 10-01-54                                      | CUSIP: 3132DUNB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    409310 | PA      | $418820.98     | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5793 08-01-55                                      | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16982441 | PA      | $17357855.14   | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY7784 07-01-55                                      | CUSIP: 31426SUJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10586912 | PA      | $10826102.04   | 0.05%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC9256 10-01-51                                      | CUSIP: 3133AUH92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    191459 | PA      | $159968.38     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BW4938 05-01-53                                      | CUSIP: 3140MWPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    531266 | PA      | $441741.13     | 0.00%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8168 03-01-54                                      | CUSIP: 3140QUCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27343470 | PA      | $28008736.89   | 0.12%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4191 03-01-53                                      | CUSIP: 3140XKUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    443825 | PA      | $449937.30     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA8748 03-01-53                                      | CUSIP: 3133KQWH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10515306 | PA      | $10848694.28   | 0.05%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1216 04-01-54                                      | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7718847 | PA      | $7825158.25    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR0441 03-01-51                                      | CUSIP: 3140KXP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    748160 | PA      | $621942.52     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC6519 10-01-54                                      | CUSIP: 3140AUG56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    896422 | PA      | $916398.45     | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY2990 05-01-55                                      | CUSIP: 31426MKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    777923 | PA      | $795247.76     | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD0783 02-01-55                                      | CUSIP: 3140B02R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    151271 | PA      | $154639.84     | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX6647 02-01-55                                      | CUSIP: 31426CL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    158928 | PA      | $162499.05     | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0041 08-01-55                                      | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15990908 | PA      | $16344403.48   | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QJ3296 08-01-54                                      | CUSIP: 3133CTUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1143234 | PA      | $1168775.00    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC3459 09-01-54                                      | CUSIP: 3140AQZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1044962 | PA      | $1068307.34    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC3262 09-01-54                                      | CUSIP: 3140AQTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2044983 | PA      | $2090771.88    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1215 04-01-54                                      | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1284208 | PA      | $1293864.19    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5761 07-01-55                                      | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12309836 | PA      | $12581957.23   | 0.05%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SL0316 05-01-52                                      | CUSIP: 31427MK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10137742 | PA      | $8094865.57    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD9889 07-01-55                                      | CUSIP: 3140BA7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77983 | PA      | $79744.76      | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QD8689 03-01-52                                      | CUSIP: 3133B6UN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    959516 | PA      | $868473.57     | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FS9324 09-01-52                                      | CUSIP: 3140XRLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    925647 | PA      | $837050.55     | 0.00%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD3450 05-01-53                                      | CUSIP: 3132DQZP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22140 | PA      | $20044.03      | 0.00%             | 2053-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FS6601 12-01-53                                      | CUSIP: 3140XNKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    949865 | PA      | $858958.42     | 0.00%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4958 10-01-52                                      | CUSIP: 3140QQQL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63203 | PA      | $59068.12      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD2238 02-01-53                                      | CUSIP: 3132DPPX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1815386 | PA      | $1697146.66    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1343 08-01-52                                      | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    480167 | PA      | $449205.45     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QG1221 04-01-53                                      | CUSIP: 3133C1LA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2924973 | PA      | $2733270.62    | 0.01%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 FM2499 02-01-35                                      | CUSIP: 3140X5X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8097958 | PA      | $7681066.71    | 0.03%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BV6683 04-01-52                                      | CUSIP: 3140MLM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    692626 | PA      | $626420.80     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SL0707 08-01-53                                      | CUSIP: 31427MYD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49143 | PA      | $44464.54      | 0.00%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6271 09-01-54                                      | CUSIP: 3132DT6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24511853 | PA      | $25481787.24   | 0.11%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8783 08-01-54                                      | CUSIP: 3140XQXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    415479 | PA      | $433796.62     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ4693 09-01-54                                      | CUSIP: 3133CVGA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    174064 | PA      | $181781.71     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8762 08-01-54                                      | CUSIP: 3140XQWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2284586 | PA      | $2382859.85    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QI4365 04-01-54                                      | CUSIP: 3133WAZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2058806 | PA      | $2140770.98    | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7626 12-01-53                                      | CUSIP: 3140QTPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3605140 | PA      | $3762010.92    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7426 11-01-53                                      | CUSIP: 3140QTHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3970029 | PA      | $4134920.49    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5419 05-01-54                                      | CUSIP: 3132DTAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3873908 | PA      | $4033163.92    | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2625 10-01-54                                      | CUSIP: 3142GS4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13799730 | PA      | $13925914.27   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD6328 09-01-54                                      | CUSIP: 3132DUA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8174345 | PA      | $8282516.09    | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS9001 09-01-54                                      | CUSIP: 3140XRAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4639719 | PA      | $4713295.49    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD6496 06-01-52                                      | CUSIP: 3132DUGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2928201 | PA      | $2340332.80    | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX5662 01-01-53                                      | CUSIP: 3140NAJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1028802 | PA      | $961566.32     | 0.00%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX5584 11-01-52                                      | CUSIP: 3140NAF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30164 | PA      | $28204.15      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6913 02-01-52                                      | CUSIP: 3133KNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    414558 | PA      | $330745.06     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS9189 05-01-52                                      | CUSIP: 3140XRF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2796244 | PA      | $2235468.83    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS9004 09-01-54                                      | CUSIP: 3140XRAE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1175837 | PA      | $1208079.25    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 BU5049 10-01-54                                      | CUSIP: 3140M6TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3851288 | PA      | $4042069.14    | 0.02%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW7713 09-01-52                                      | CUSIP: 3140N0SB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    525315 | PA      | $491023.36     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW6236 09-01-52                                      | CUSIP: 3140MX4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    304573 | PA      | $284870.00     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9610 09-01-52                                      | CUSIP: 3133BKVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2312550 | PA      | $2162708.10    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF3906 11-01-52                                      | CUSIP: 3133BRKT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    225521 | PA      | $210909.70     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW8736 10-01-52                                      | CUSIP: 3140N1V67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1072462 | PA      | $1003004.64    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX0506 10-01-52                                      | CUSIP: 3140N4R41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    721268 | PA      | $674691.44     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA5131 07-01-53                                      | CUSIP: 31418EVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45387 | PA      | $41060.87      | 0.00%             | 2053-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BT7848 07-01-52                                      | CUSIP: 3140LWWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     51466 | PA      | $46539.98      | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4583 04-01-37                                      | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    650851 | PA      | $610896.92     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6106 04-01-53                                      | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4583873 | PA      | $4812581.01    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1968 11-01-52                                      | CUSIP: 3132DPFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  43321108 | PA      | $40532051.29   | 0.17%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8324 05-01-53                                      | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15023569 | PA      | $15177109.88   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FA1162 04-01-55                                      | CUSIP: 3140W1JG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2612558 | PA      | $2670781.25    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD4459 04-01-55                                      | CUSIP: 3140B45V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1532748 | PA      | $1566813.71    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FS3546 06-01-52                                      | CUSIP: 3140XJ5G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    677634 | PA      | $613559.91     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE8105 08-01-52                                      | CUSIP: 3133BJAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1793052 | PA      | $1621433.49    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8323 05-01-53                                      | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6591676 | PA      | $6521501.08    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5009 05-01-53                                      | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12634169 | PA      | $12520511.75   | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE2358 05-01-52                                      | CUSIP: 3133BBTP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     40382 | PA      | $36517.20      | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD1124 06-01-52                                      | CUSIP: 3132DNG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     59887 | PA      | $54155.32      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE5303 06-01-52                                      | CUSIP: 3133BE3L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     61090 | PA      | $55244.58      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC8604 01-01-55                                      | CUSIP: 3140AWR27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    721655 | PA      | $737626.90     | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4750 07-01-52                                      | CUSIP: 31418EH45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1402114 | PA      | $1118462.27    | 0.00%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6499 12-01-51                                      | CUSIP: 3133KNGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2276036 | PA      | $1814032.71    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5010 05-01-53                                      | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10142486 | PA      | $10256325.37   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751 | FHMS K751 A2 (MF) 4.412% 03-25-30                                  | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  50000000 | PA      | $50729850.00   | 0.22%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD8109 04-01-55                                      | CUSIP: 3140B9AK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    129670 | PA      | $132600.13     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR2095 07-01-51                                      | CUSIP: 3140L0KH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16963674 | PA      | $14205075.40   | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4980 04-01-53                                      | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9707332 | PA      | $9974711.05    | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 08-15-53                        | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36908400 | PA      | $32326569.08   | 0.14%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 08-15-33                        | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44840900 | PA      | $44383733.57   | 0.19%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5011 05-01-53                                      | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 125329494 | PA      | $128792723.61  | 0.55%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8325 05-01-53                                      | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  89413347 | PA      | $91743726.98   | 0.39%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 08-31-28                        | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $16357500.80   | 0.07%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 09-30-30                        | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 193819500 | PA      | $201912995.30  | 0.86%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-26                        | CUSIP: 91282CJK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20312400 | PA      | $20506952.17   | 0.09%             | 2026-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 08-15-54                         | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18662400 | PA      | $16695558.47   | 0.07%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 09-30-26                          | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 136000000 | PA      | $135519212.80  | 0.58%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 10-15-27                        | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2426900 | PA      | $2439493.43    | 0.01%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.625% 10-15-29 | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 455179920 | PA      | $466879320.00  | 2.00%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 10-31-31                        | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1111800 | PA      | $1128998.21    | 0.00%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 10-31-29                        | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99341300 | PA      | $101157378.17  | 0.43%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 11-15-34                         | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 170977800 | PA      | $172139919.01  | 0.74%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4407 08-01-41                                      | CUSIP: 31418D3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  90126761 | PA      | $77494954.50   | 0.33%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 FM7690 07-01-41                                      | CUSIP: 3140XBRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11956286 | PA      | $10280636.75   | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-15-27                        | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5057000 | PA      | $5111915.99    | 0.02%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 11-15-54                          | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6579800 | PA      | $6141832.06    | 0.03%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-44                        | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3316700 | PA      | $3217717.07    | 0.01%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 11-30-26                         | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3677700 | PA      | $3697708.16    | 0.02%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-30-31                        | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42310000 | PA      | $42947954.41   | 0.18%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-30-29                        | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 128105600 | PA      | $130482548.17  | 0.56%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 SC0175 09-01-41                                      | CUSIP: 3132D9FQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7674190 | PA      | $6598667.71    | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 FM8120 08-01-41                                      | CUSIP: 3140XCAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8164752 | PA      | $7020617.40    | 0.03%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 12-31-26                         | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32704200 | PA      | $32903855.87   | 0.14%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 12-31-31                          | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4813600 | PA      | $4985460.44    | 0.02%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 12-31-29                        | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 294851700 | PA      | $303271101.84  | 1.30%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 01-15-28                         | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7681900 | PA      | $7794127.95    | 0.03%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 01-31-27                        | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51000000 | PA      | $51258779.10   | 0.22%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54831 03-01-48                                          | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    124419 | PA      | $115352.58     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 SC0169 06-01-41                                      | CUSIP: 3132D9FJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3987460 | PA      | $3428605.36    | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 BT5941 07-01-41                                      | CUSIP: 3140LUS77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4681873 | PA      | $4025698.86    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK6840 06-01-48                                      | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    588291 | PA      | $560938.35     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AC0794 10-01-39                                      | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     79843 | PA      | $81360.66      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AX8521 12-01-44                                      | CUSIP: 3138YAPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139960 | PA      | $131019.38     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA2748 09-01-49                                      | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    396447 | PA      | $365913.32     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4093 08-01-40                                      | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2375068 | PA      | $2066884.03    | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 SC0113 12-01-40                                      | CUSIP: 3132D9DS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2222334 | PA      | $1916609.98    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q17696 04-01-43                                          | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    231643 | PA      | $218225.01     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 AJ1873 10-01-41                                      | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    136612 | PA      | $133148.67     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5040 06-01-53                                      | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  55610120 | PA      | $57059486.41   | 0.24%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5038 06-01-53                                      | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    169937 | PA      | $168408.17     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q55060 04-01-48                                          | CUSIP: 3132XXTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    108029 | PA      | $99241.62      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54698 03-01-48                                          | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    115404 | PA      | $106075.69     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AL3829 06-01-43                                      | CUSIP: 3138ELHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    953139 | PA      | $897445.22     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58436 09-01-48                                          | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    525149 | PA      | $516704.66     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                              | SCRT 2017-3 HT 3.25% 07-25-56                                      | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1726742 | PA      | $1534331.45    | 0.01%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                              | SCRT 2017-3 MT 3.0% 07-25-56                                       | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8602745 | PA      | $7404520.40    | 0.03%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                  | SCRT 2018-1 HT 3.0% 05-25-57                                       | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9049220 | PA      | $7761317.13    | 0.03%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BN6708 06-01-49                                      | CUSIP: 3140JPN27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8803776 | PA      | $8152586.73    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.5 AY1948 01-01-30                                      | CUSIP: 3138YFEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     57130 | PA      | $56352.62      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.5 AZ0554 10-01-30                                      | CUSIP: 3138YRTL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     85080 | PA      | $83859.27      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2179 01-01-50                                      | CUSIP: 3140X5M59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8899166 | PA      | $7890855.10    | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2777 03-01-50                                      | CUSIP: 3140X6CP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2913880 | PA      | $2573328.72    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS ZA6700 04-01-49                                          | CUSIP: 31329QNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8462458 | PA      | $7764575.97    | 0.03%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA1339 09-01-49                                      | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1374535 | PA      | $1215329.81    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD7502 07-01-49                                      | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5691899 | PA      | $5222516.74    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM2656 01-01-49                                      | CUSIP: 3140X55S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1848395 | PA      | $1710133.29    | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM2389 02-01-50                                      | CUSIP: 3140X5UP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1479332 | PA      | $1360114.45    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA1442 08-01-49                                      | CUSIP: 31334XS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3267262 | PA      | $3010605.69    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1220 07-01-49                                      | CUSIP: 3140X4LA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2497945 | PA      | $2301714.05    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BO2890 11-01-49                                      | CUSIP: 3140JXF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1837061 | PA      | $1624931.46    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AS8804 02-01-47                                          | CUSIP: 3138WJYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8686824 | PA      | $8038526.25    | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 G67700 08-01-46                                          | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2419101 | PA      | $2247581.84    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8332 06-01-53                                      | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 217158230 | PA      | $222770901.86  | 0.95%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5039 06-01-53                                      | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  47666351 | PA      | $48090962.94   | 0.21%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 G60238 10-01-45                                          | CUSIP: 31335AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6475041 | PA      | $6047539.42    | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9632 11-01-51                                      | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12172488 | PA      | $10694042.20   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4540 02-01-42                                      | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6217128 | PA      | $5345617.30    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4586 04-01-42                                      | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2688927 | PA      | $2310321.05    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7548 11-01-51                                      | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3715565 | PA      | $3153474.67    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9564 09-01-52                                      | CUSIP: 3133BKTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    483371 | PA      | $452099.82     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6491 06-01-53                                      | CUSIP: 3140QSF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25277172 | PA      | $26435119.30   | 0.11%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6468 06-01-53                                      | CUSIP: 3140QSFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6754117 | PA      | $7059389.48    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF0105 09-01-52                                      | CUSIP: 3133BMDJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    634393 | PA      | $593228.47     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX1202 10-01-52                                      | CUSIP: 3140N5KQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     86646 | PA      | $81189.45      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6490 06-01-53                                      | CUSIP: 3140QSF89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9230461 | PA      | $9603667.44    | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6486 06-01-53                                      | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23078998 | PA      | $23704669.20   | 0.10%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6465 06-01-53                                      | CUSIP: 3140QSFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16954280 | PA      | $17486627.28   | 0.07%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6485 06-01-53                                      | CUSIP: 3140QSF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36942715 | PA      | $37829155.82   | 0.16%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9287 06-01-53                                      | CUSIP: 3133KRJ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5606183 | PA      | $5908535.62    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9279 06-01-53                                      | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5155706 | PA      | $5310088.83    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5072 07-01-53                                      | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  85727036 | PA      | $86477490.67   | 0.37%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8316 04-01-53                                      | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11200916 | PA      | $11315388.99   | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9288 06-01-53                                      | CUSIP: 3133KRJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8094189 | PA      | $8513702.33    | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX1070 12-01-52                                      | CUSIP: 3140N5FL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     88919 | PA      | $91210.05      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4979 04-01-53                                      | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34457216 | PA      | $34817362.86   | 0.15%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8318 07-01-54                                      | CUSIP: 3140XQG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6236994 | PA      | $6434774.85    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1975 07-01-54                                      | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12862207 | PA      | $13202090.80   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8858 07-01-54                                      | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8399884 | PA      | $8642153.01    | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2228 08-01-54                                      | CUSIP: 3142GSPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5869950 | PA      | $6102723.15    | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2222 08-01-54                                      | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  27764025 | PA      | $28988084.83   | 0.12%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3240 06-01-53                                      | CUSIP: 3132DQS56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2139934 | PA      | $2195212.43    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3356 07-01-53                                      | CUSIP: 3132DQWR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23953834 | PA      | $24558572.36   | 0.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS5192 06-01-53                                      | CUSIP: 3140XLXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19315991 | PA      | $19519852.19   | 0.08%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3369 05-01-53                                      | CUSIP: 3132DQW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5072805 | PA      | $5125826.18    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB9071 08-01-54                                      | CUSIP: 3140QVCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13613278 | PA      | $14232328.01   | 0.06%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2212 08-01-54                                      | CUSIP: 3142GSN61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1628775 | PA      | $1680425.01    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD4693 01-01-54                                      | CUSIP: 3132DSGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4392059 | PA      | $4571127.77    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNGT 1999-T2 A1 FRN 01-19-39                                       | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     60289 | PA      | $62405.58      | 0.00%             | 2039-01-19      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0108 10-01-53                                      | CUSIP: 3142GQDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34908265 | PA      | $36473237.47   | 0.16%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9381 07-01-53                                      | CUSIP: 3133KRM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18202919 | PA      | $19043894.35   | 0.08%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BK5659 10-01-50                                      | CUSIP: 3140HKJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3627253 | PA      | $2890713.88    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU5165 11-01-54                                      | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8009053 | PA      | $8086179.74    | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ9314 12-01-50                                      | CUSIP: 3140KVK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2032681 | PA      | $1616288.21    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD5035 01-01-52                                      | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13687440 | PA      | $10883581.73   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM8434 08-01-51                                      | CUSIP: 3140XCLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    351724 | PA      | $279673.90     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR3771 04-01-51                                      | CUSIP: 3140L2FM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    251999 | PA      | $200934.79     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM8114 06-01-51                                      | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21187384 | PA      | $16847169.59   | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DD6085 04-01-55                                      | CUSIP: 3140B6XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64487 | PA      | $66856.58      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BW7290 07-01-52                                      | CUSIP: 3140N0C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2355517 | PA      | $2044859.34    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB3365 04-01-52                                      | CUSIP: 3140QNW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999999 | PA      | $868219.50     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7346 08-01-52                                      | CUSIP: 3132DVET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     82161 | PA      | $71307.69      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BU9641 01-01-52                                      | CUSIP: 3140MBWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    298791 | PA      | $259600.88     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX8785 03-01-55                                      | CUSIP: 31426FXP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    138866 | PA      | $144049.90     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 5.5 005187 09-20-41                                             | CUSIP: 36202FXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59491 | PA      | $59442.04      | 0.00%             | 2041-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 4.0 005157 08-20-41                                             | CUSIP: 36202FWS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79064 | PA      | $73499.01      | 0.00%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA6994 11-20-50                                           | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9660254 | PA      | $7923166.62    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 AA4873 12-20-38                                           | CUSIP: 36178CMW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45581 | PA      | $45735.17      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 783689 02-20-40                                           | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    754157 | PA      | $778863.62     | 0.00%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.0 783690 09-20-39                                           | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    500301 | PA      | $529921.17     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 783688 06-20-41                                           | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1400676 | PA      | $1418733.95    | 0.01%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 783687 12-20-41                                           | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3282472 | PA      | $3209135.22    | 0.01%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA7051 12-20-50                                           | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10939233 | PA      | $8972161.94    | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 AA2589 03-20-43                                           | CUSIP: 36177Y2W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    523371 | PA      | $473907.03     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7534 08-20-51                                           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24431597 | PA      | $20850388.77   | 0.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8044 05-20-52                                           | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24563582 | PA      | $22440281.72   | 0.10%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA7937 03-20-52                                           | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4834448 | PA      | $4285955.92    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7881 02-20-52                                           | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5152338 | PA      | $4397102.85    | 0.02%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA7988 04-20-52                                           | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3651575 | PA      | $3237285.66    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8346 10-20-52                                           | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  39323235 | PA      | $37013663.36   | 0.16%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2        | GNR 2021-2 AH 1.5% 06-16-63                                        | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5417271 | PA      | $4041809.84    | 0.02%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785998 03-20-52                                           | CUSIP: 3622ABRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9560351 | PA      | $8098707.46    | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786647 03-20-52                                           | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19777313 | PA      | $16900603.89   | 0.07%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 BZ3978 11-20-50                                           | CUSIP: 3617QYM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4206680 | PA      | $3579123.29    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786502 02-20-52                                           | CUSIP: 3622ACDF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  38001720 | PA      | $32345809.61   | 0.14%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786706 12-20-51                                           | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  44492777 | PA      | $37526275.96   | 0.16%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786701 03-20-52                                           | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11837039 | PA      | $10101432.94   | 0.04%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785575 08-20-51                                           | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4194159 | PA      | $3538704.22    | 0.02%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785659 10-20-51                                           | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8162556 | PA      | $6904526.65    | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785847 01-20-52                                           | CUSIP: 3622ABL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16143223 | PA      | $13655245.74   | 0.06%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.72 710074 04-20-61                                          | CUSIP: 36297E2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1492 | PA      | $1486.98       | 0.00%             | 2061-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.7 710077 05-20-61                                           | CUSIP: 36297E2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9646 | PA      | $9648.35       | 0.00%             | 2061-05-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.816 AG8068 01-20-64                                         | CUSIP: 36182C6D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       852 | PA      | $854.41        | 0.00%             | 2064-01-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8199 08-20-52                                           | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4545952 | PA      | $4150995.22    | 0.02%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8567 01-20-53                                           | CUSIP: 36179XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4522014 | PA      | $4259822.88    | 0.02%             | 2053-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN 894482 02-20-64                                           | CUSIP: 3620E1J21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    348038 | PA      | $357435.23     | 0.00%             | 2064-02-20      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA8147 07-20-52                                           | CUSIP: 36179XBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    280807 | PA      | $239645.90     | 0.00%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8266 09-20-52                                           | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24268312 | PA      | $22166700.68   | 0.09%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9169 09-20-53                                           | CUSIP: 36179YFJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14449095 | PA      | $13960123.60   | 0.06%             | 2053-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9104 08-20-53                                           | CUSIP: 36179YDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  37570914 | PA      | $36318826.03   | 0.16%             | 2053-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN 894475 10-20-63                                           | CUSIP: 3620E1H23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    228496 | PA      | $233435.70     | 0.00%             | 2063-10-20      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9015 07-20-53                                           | CUSIP: 36179YAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  34202999 | PA      | $33112265.57   | 0.14%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2012-H20 PT FRN 07-20-62                                       | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     67626 | PA      | $67668.80      | 0.00%             | 2062-07-20      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 10-31-25                          | CUSIP: 9128285J5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2664700 | PA      | $2659495.57    | 0.01%             | 2025-10-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 08-15-49                         | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13076200 | PA      | $8069445.94    | 0.03%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 08-31-26                        | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2439941.50    | 0.01%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 06-30-27                          | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $13229633.20   | 0.06%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 08-15-50                        | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71480000 | PA      | $34539357.59   | 0.15%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.625% 08-15-30                        | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14510000 | PA      | $12505238.91   | 0.05%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.5 257055 12-01-27                                      | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53982 | PA      | $55946.69      | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.0 970343 02-01-38                                         | CUSIP: 31414MP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28307 | PA      | $28571.21      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 1H1354 11-01-36                                          | CUSIP: 3128NGE35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36301 | PA      | $37393.10      | 0.00%             | 2036-11-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 889388 03-01-38                                         | CUSIP: 31410KCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    102471 | PA      | $107351.37     | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BD2440 01-01-47                                      | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    317490 | PA      | $293730.56     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC Z40130 01-01-46                                              | CUSIP: 3132FCEB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1185036 | PA      | $1088305.87    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.0 G61082 07-01-43                                          | CUSIP: 31335BFX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2689575 | PA      | $2468464.82    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.0 CA1442 03-01-33                                      | CUSIP: 3140Q8S89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    278985 | PA      | $271992.90     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.0 BJ5302 03-01-33                                      | CUSIP: 3140H63L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    231245 | PA      | $223952.73     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 BN1085 01-01-34                                      | CUSIP: 3140JHF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4337 | PA      | $4340.30       | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 ZT0538 03-01-48                                      | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1301806 | PA      | $1200425.23    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BN1172 11-01-48                                      | CUSIP: 3140JHJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    135058 | PA      | $131885.02     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHLMC POOL #760015 ARH5 FRN 01-01-47                               | CUSIP: 31342WAQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1241574 | PA      | $1214823.28    | 0.01%             | 2047-01-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 888873 08-01-37                                      | CUSIP: 31410GQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       286 | PA      | $302.58        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760012 04-01-45                                          | CUSIP: 31342WAM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    560453 | PA      | $567058.66     | 0.00%             | 2045-04-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760013 04-01-45                                          | CUSIP: 31342WAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    389142 | PA      | $390881.12     | 0.00%             | 2045-04-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2243 08-01-54                                      | CUSIP: 3142GSP51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3074757 | PA      | $3102149.83    | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2203 08-01-54                                      | CUSIP: 3142GSNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    568827 | PA      | $574422.04     | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2216 08-01-54                                      | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18226961 | PA      | $18668107.83   | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 5.0 UMBS TBA 10-01-40                                         | CUSIP: 01F0504A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $10099920.00   | 0.04%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                           | CAPITAL GROUP CENTRAL CASH FUND                                    | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |  15535362 | NS      | $1553691537.62 | 6.65%             |  |  |  | No            |                  1 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.16% 06-20-23/06-20-28 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-157457.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.1% 06-20-23/06-20-33 LCH                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $631937.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.175% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $5740192.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.5405% 01-23-25/01-23-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-93700.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.535% 01-23-25/01-23-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-114475.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.53% 01-23-25/01-23-27 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-70451.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.5485% 01-29-25/01-29-30 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-678057.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.529% 01-29-25/01-29-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-572435.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.528% 01-29-25/01-29-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-466538.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.7645% 02-20-25/02-20-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $969585.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.761% 02-20-25/02-20-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $477335.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.6475% 02-27-26/02-27-28 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2599484.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.62% 09-02-25/06-30-27 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-344060.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.41338% 09-02-25/06-30-27 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $17512.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.665% 08-18-25/08-18-30 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-314307.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.625% 08-21-25/08-21-30 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-624572.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.625% 08-22-25/08-22-30 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-441529.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.6825% 08-27-25/08-27-30 LCH               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-222999.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS7252 11-01-53                                      | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24093047 | PA      | $23863874.41   | 0.10%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7624 12-01-53                                      | CUSIP: 3140QTPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 159483543 | PA      | $165927953.72  | 0.71%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD4977 11-01-53                                      | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15018207 | PA      | $14845151.96   | 0.06%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2314 09-01-54                                      | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11900496 | PA      | $12198258.01   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2325 09-01-54                                      | CUSIP: 3142GSSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1745387 | PA      | $1820025.19    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2320 09-01-54                                      | CUSIP: 3142GSSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3272597 | PA      | $3416879.42    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2309 09-01-54                                      | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3662271 | PA      | $3750908.79    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2306 09-01-54                                      | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5672175 | PA      | $5854654.78    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2308 09-01-54                                      | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5970224 | PA      | $6159545.42    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8225 07-01-52                                      | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  30561931 | PA      | $26548477.44   | 0.11%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2312 09-01-54                                      | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6486613 | PA      | $6664489.05    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5221 04-01-54                                      | CUSIP: 3132DSYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4814221 | PA      | $5033879.73    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS7653 03-01-54                                      | CUSIP: 3140XPQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3381869 | PA      | $3535659.96    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6767 01-01-54                                      | CUSIP: 3140XNQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16897373 | PA      | $17642327.31   | 0.08%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0326 11-01-53                                      | CUSIP: 3142GQLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5597324 | PA      | $5834908.40    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8756 08-01-54                                      | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2200958 | PA      | $2264684.99    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6029 08-01-54                                      | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3391132 | PA      | $3484123.99    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4916 08-01-54                                      | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2674112 | PA      | $2738833.93    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5813 07-01-54                                      | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5740416 | PA      | $5917874.94    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8757 08-01-54                                      | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5494036 | PA      | $5654791.72    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4968 08-01-54                                      | CUSIP: 3140M6QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    571420 | PA      | $584316.60     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8866 09-01-54                                      | CUSIP: 3140XQZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5442164 | PA      | $5591399.12    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8758 08-01-54                                      | CUSIP: 3140XQWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3114817 | PA      | $3190202.10    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5470 09-01-54                                      | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9947301 | PA      | $10020562.79   | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU4946 09-01-54                                      | CUSIP: 3140M6P80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    110919 | PA      | $111735.97     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QJ3044 09-01-54                                      | CUSIP: 3133CTLZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    226473 | PA      | $228175.55     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4842 12-01-52                                      | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11584310 | PA      | $11723251.97   | 0.05%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BW1258 10-01-52                                      | CUSIP: 3140MSMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26517 | PA      | $23020.13      | 0.00%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.0 BF0133 08-01-56                                         | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11967239 | PA      | $11210873.72   | 0.05%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 2.5 BF0546 07-01-61                                         | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17460154 | PA      | $13903537.88   | 0.06%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8446 07-01-54                                      | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15735545 | PA      | $15853058.54   | 0.07%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2474 09-01-54                                      | CUSIP: 3142GSXC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8353905 | PA      | $8686039.17    | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2470 09-01-54                                      | CUSIP: 3142GSW87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2863952 | PA      | $2977376.20    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2411 09-01-54                                      | CUSIP: 3142GSVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5759833 | PA      | $6007309.93    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2422 09-01-54                                      | CUSIP: 3142GSVQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8427907 | PA      | $8496054.73    | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2415 09-01-54                                      | CUSIP: 3142GSVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3543968 | PA      | $3594367.08    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2408 09-01-54                                      | CUSIP: 3142GSVA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3199126 | PA      | $3227134.61    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB9146 09-01-54                                      | CUSIP: 3140QVEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8293552 | PA      | $8375119.04    | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB9210 09-01-54                                      | CUSIP: 3140QVGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14347542 | PA      | $14446539.92   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD6286 08-01-54                                      | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4380398 | PA      | $4440729.60    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC1873 09-01-54                                      | CUSIP: 3140APCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    631353 | PA      | $647505.73     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0784 12-01-63                                         | CUSIP: 3140FX2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4365046 | PA      | $3880172.58    | 0.02%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD6284 01-01-54                                      | CUSIP: 3132DT6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3000741 | PA      | $2393012.86    | 0.01%             | 2054-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.0 BF0786 12-01-63                                         | CUSIP: 3140FX2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7195091 | PA      | $6677123.84    | 0.03%             | 2063-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8401 02-01-54                                      | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2046335 | PA      | $2062511.31    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ1576 08-01-54                                      | CUSIP: 3133CRXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    996891 | PA      | $1035608.13    | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8439 06-01-54                                      | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4094 | PA      | $4185.23       | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI7562 06-01-54                                      | CUSIP: 3133WEMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    135347 | PA      | $138516.50     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD8337 03-01-52                                      | CUSIP: 3133B6HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    188689 | PA      | $163938.70     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF1575 10-01-52                                      | CUSIP: 3133BNXC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    259547 | PA      | $242700.61     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QD9868 04-01-52                                      | CUSIP: 3133B76D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24305 | PA      | $21981.46      | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF2443 11-01-52                                      | CUSIP: 3133BPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1965269 | PA      | $1838040.96    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF4668 12-01-52                                      | CUSIP: 3133BSFH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    496673 | PA      | $464095.95     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX3994 11-01-52                                      | CUSIP: 3140N8NL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36813 | PA      | $34431.80      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW1299 11-01-52                                      | CUSIP: 3140MSNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60999 | PA      | $57050.05      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW1377 12-01-52                                      | CUSIP: 3140MSQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    719213 | PA      | $672592.21     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9618 09-01-52                                      | CUSIP: 3133BKVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2469358 | PA      | $2307508.72    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD5189 01-01-52                                      | CUSIP: 3133B2XS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2999999 | PA      | $2605319.40    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8235 08-01-52                                      | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    488256 | PA      | $424135.22     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QF1236 10-01-52                                      | CUSIP: 3133BNLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15060183 | PA      | $14542278.23   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF1730 10-01-52                                      | CUSIP: 3133BN4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    545762 | PA      | $510569.85     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF1925 10-01-52                                      | CUSIP: 3133BPD62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    228095 | PA      | $213315.56     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD8673 03-01-52                                      | CUSIP: 3133B6T67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1644481 | PA      | $1427782.83    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9289 06-01-53                                      | CUSIP: 3133KRKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8124211 | PA      | $8529560.35    | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9290 06-01-53                                      | CUSIP: 3133KRKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4313541 | PA      | $4522238.60    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9281 06-01-53                                      | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3093221 | PA      | $3190348.61    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9291 06-01-53                                      | CUSIP: 3133KRKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2689927 | PA      | $2797935.58    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9292 06-01-53                                      | CUSIP: 3133KRKD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8598375 | PA      | $8979128.30    | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9283 06-01-53                                      | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4488041 | PA      | $4605987.12    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9294 06-01-53                                      | CUSIP: 3133KRKF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9665745 | PA      | $10093753.98   | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9284 06-01-53                                      | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2486903 | PA      | $2584936.39    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9295 06-01-53                                      | CUSIP: 3133KRKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2627165 | PA      | $2786496.95    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8342 07-01-53                                      | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 248112361 | PA      | $250738878.46  | 1.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8331 06-01-53                                      | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  64700719 | PA      | $65287037.15   | 0.28%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BN9135 04-01-51                                      | CUSIP: 3140JSEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1257682 | PA      | $1045505.68    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW6180 08-01-52                                      | CUSIP: 3140MX2N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    239089 | PA      | $224079.33     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD2948 11-01-52                                      | CUSIP: 3132DQHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24992234 | PA      | $25250828.84   | 0.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8341 07-01-53                                      | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    132856 | PA      | $131539.41     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD3209 12-01-51                                      | CUSIP: 3133B0R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7180540 | PA      | $6234382.22    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0502 01-01-52                                      | CUSIP: 3140XFRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    187191 | PA      | $155610.95     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA3384 08-01-50                                      | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    327670 | PA      | $286981.65     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA7052 09-01-50                                      | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    326883 | PA      | $286393.87     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BW1243 10-01-52                                      | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7168937 | PA      | $7248275.70    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS4563 05-01-53                                      | CUSIP: 3140XLB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4306264 | PA      | $4281266.45    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8315 04-01-53                                      | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    446280 | PA      | $441137.99     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD2716 04-01-53                                      | CUSIP: 3132DQAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6570595 | PA      | $6533806.36    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8329 06-01-53                                      | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    153883 | PA      | $152459.08     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BW1289 10-01-52                                      | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7874815 | PA      | $7959540.40    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5071 07-01-53                                      | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2214150 | PA      | $2191030.08    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX5931 01-01-53                                      | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    561865 | PA      | $576466.35     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5073 07-01-53                                      | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    364799 | PA      | $373626.89     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY2061 05-01-53                                      | CUSIP: 3140NJJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    289007 | PA      | $296538.78     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6597 04-01-53                                      | CUSIP: 3140QSKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7214541 | PA      | $7412320.26    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG4632 06-01-53                                      | CUSIP: 3133C5ED9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33637970 | PA      | $33924431.12   | 0.15%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG1875 05-01-53                                      | CUSIP: 3133C2CL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       627 | PA      | $632.03        | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX9116 04-01-53                                      | CUSIP: 3140NEDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1451298 | PA      | $1466092.07    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF7144 02-01-53                                      | CUSIP: 3133BU5D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9201853 | PA      | $9293291.37    | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX9431 03-01-53                                      | CUSIP: 3140NEPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5183342 | PA      | $5234915.87    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX8556 04-01-53                                      | CUSIP: 3140NDQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6816401 | PA      | $6875547.17    | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0091 05-01-53                                      | CUSIP: 3140NGC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1463535 | PA      | $1477853.18    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0204 05-01-53                                      | CUSIP: 3140NGGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5503458 | PA      | $5594028.31    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX7779 03-01-53                                      | CUSIP: 3140NCUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5292488 | PA      | $5345148.25    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG3365 05-01-53                                      | CUSIP: 3133C3W28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4660950 | PA      | $4722078.64    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG5136 06-01-53                                      | CUSIP: 3133C5V57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    520297 | PA      | $528414.62     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0849 05-01-53                                      | CUSIP: 3140NG5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     54970 | PA      | $55693.56      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0007 04-01-53                                      | CUSIP: 3140NGAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5614581 | PA      | $5670592.30    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG4732 06-01-53                                      | CUSIP: 3133C5HH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38119 | PA      | $38590.99      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4152 03-01-53                                      | CUSIP: 3140XKTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3654434 | PA      | $3692816.03    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4894 01-01-53                                      | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30980570 | PA      | $31772960.31   | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8301 02-01-53                                      | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9497186 | PA      | $9756677.88    | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF8351 03-01-53                                      | CUSIP: 3133BWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1583940 | PA      | $1600236.05    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF4136 12-01-52                                      | CUSIP: 3133BRSZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    295741 | PA      | $298485.28     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF4188 12-01-52                                      | CUSIP: 3133BRUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    786073 | PA      | $793600.82     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG2197 05-01-53                                      | CUSIP: 3133C2NN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4047693 | PA      | $4110496.55    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY4224 06-01-53                                      | CUSIP: 3140NLVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1045230 | PA      | $1078050.47    | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BW5303 06-01-53                                      | CUSIP: 3140MW3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    140091 | PA      | $143435.15     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA5089 07-01-53                                      | CUSIP: 31418EUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9813397 | PA      | $9172955.20    | 0.04%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA7739 11-01-50                                      | CUSIP: 3140QFS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20886274 | PA      | $17557670.51   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4774 03-01-53                                      | CUSIP: 3140XLJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    388408 | PA      | $392312.31     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY2260 05-01-53                                      | CUSIP: 3140NJQN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    314599 | PA      | $321965.47     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS4947 01-01-53                                      | CUSIP: 3140XLP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2288032 | PA      | $2140376.30    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS4775 06-01-53                                      | CUSIP: 3140XLJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5808055 | PA      | $5958170.34    | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8876 07-01-54                                      | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2793605 | PA      | $2914771.70    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8317 07-01-54                                      | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1072767 | PA      | $1120060.10    | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8454 08-01-54                                      | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3798906 | PA      | $3885414.23    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5445 08-01-54                                      | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10197212 | PA      | $10425027.89   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB3353 04-01-52                                      | CUSIP: 3140QNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    759620 | PA      | $631468.96     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS6631 07-01-52                                      | CUSIP: 3140XNLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     94556 | PA      | $78831.29      | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6878 06-01-54                                      | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    997437 | PA      | $1020649.69    | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6901 07-01-54                                      | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    619123 | PA      | $633696.26     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2092 11-01-51                                      | CUSIP: 3140QMKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1893399 | PA      | $1573974.73    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9905 12-01-51                                      | CUSIP: 3140XEAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    731867 | PA      | $608400.80     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8290 01-01-53                                      | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 148680316 | PA      | $152528608.72  | 0.65%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD8820 03-01-52                                      | CUSIP: 3133B6YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    254152 | PA      | $202494.53     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD4614 01-01-54                                      | CUSIP: 3132DSDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4827518 | PA      | $5037360.68    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS7162 02-01-54                                      | CUSIP: 3140XN5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4358908 | PA      | $4548384.93    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6763 01-01-54                                      | CUSIP: 3140XNQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1053319 | PA      | $1099749.86    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7510 11-01-53                                      | CUSIP: 3140QTKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8440238 | PA      | $8807489.68    | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4920 02-01-53                                      | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2050544 | PA      | $2105816.53    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG3763 05-01-53                                      | CUSIP: 3133C4FC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10492876 | PA      | $10775722.27   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB5545 01-01-53                                      | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1979066 | PA      | $2075288.14    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DB5213 07-01-54                                      | CUSIP: 3140AEYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1751737 | PA      | $1763244.04    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4840 05-01-53                                      | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    274747 | PA      | $277427.60     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6838 11-01-53                                      | CUSIP: 3140XNS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1040740 | PA      | $1050653.99    | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3512 08-01-53                                      | CUSIP: 3132DQ3V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1143188 | PA      | $1172259.00    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1797 06-01-54                                      | CUSIP: 3142GR7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  61360662 | PA      | $63750169.37   | 0.27%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5873 07-01-54                                      | CUSIP: 3132DTQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4199290 | PA      | $4301088.83    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS4736 05-01-53                                      | CUSIP: 3140XLHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8011730 | PA      | $8329723.07    | 0.04%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 CB5986 03-01-53                                      | CUSIP: 3140QRUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    266450 | PA      | $264135.59     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 ZN4636 10-01-48                                      | CUSIP: 3131YBEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7924214 | PA      | $7041131.82    | 0.03%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1015 03-01-54                                      | CUSIP: 3142GRDV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5336650 | PA      | $5544992.87    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DB5480 06-01-54                                      | CUSIP: 3140AFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2674680 | PA      | $2778353.60    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8619 07-01-54                                      | CUSIP: 3140XQSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27618577 | PA      | $28836141.86   | 0.12%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5216 12-01-53                                      | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8154267 | PA      | $8368251.18    | 0.04%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5166 10-01-53                                      | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8980569 | PA      | $9206843.04    | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA3528 09-01-50                                      | CUSIP: 3133KJ4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    172529 | PA      | $143674.62     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD2629 01-01-52                                      | CUSIP: 3132DP4N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9904147 | PA      | $8245479.69    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9530 07-01-51                                      | CUSIP: 3140XDSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2397185 | PA      | $1992770.35    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD8807 03-01-52                                      | CUSIP: 3133B6YC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    221242 | PA      | $184473.30     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BU1430 01-01-52                                      | CUSIP: 3140M2SU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183031 | PA      | $152152.73     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.0 BF0762 09-01-63                                         | CUSIP: 3140FXZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7192156 | PA      | $6091641.18    | 0.03%             | 2063-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6733 10-01-54                                      | CUSIP: 3132DUPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8431900 | PA      | $8767135.76    | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8226 03-01-54                                      | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33120267 | PA      | $34571895.31   | 0.15%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6530 08-01-54                                      | CUSIP: 3132DUHF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  51199120 | PA      | $53557249.15   | 0.23%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 RJ0150 03-01-53                                      | CUSIP: 3142GQEY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    598981 | PA      | $559890.58     | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW1135 09-01-52                                      | CUSIP: 3140MSHM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61546 | PA      | $57570.61      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9805 09-01-52                                      | CUSIP: 3133BK3N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28879 | PA      | $26992.97      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE4998 07-01-52                                      | CUSIP: 3133BERT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     85293 | PA      | $79661.76      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QX1414 12-01-54                                      | CUSIP: 31425VSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1811023 | PA      | $1823356.48    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT1314 07-01-51                                      | CUSIP: 3140LPN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    224041 | PA      | $186799.07     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QX0310 11-01-54                                      | CUSIP: 31425UKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1274322 | PA      | $1282818.78    | 0.01%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5586 01-01-55                                      | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1242659 | PA      | $1250821.68    | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Z40273 10-01-48                                          | CUSIP: 3132FCJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    586671 | PA      | $575575.09     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS9792 12-01-50                                      | CUSIP: 3140XR3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    380353 | PA      | $372614.49     | 0.00%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8795 08-01-54                                      | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2912621 | PA      | $2978617.80    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA5612 02-01-55                                      | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4623375 | PA      | $4451643.91    | 0.02%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RJ3264 02-01-55                                      | CUSIP: 3142GTTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23904635 | PA      | $23016721.59   | 0.10%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8507 02-01-55                                      | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10424817 | PA      | $10657988.99   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.0 UMBS TBA 09-01-55                                         | CUSIP: 01F040693<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6737060 | PA      | $6287583.57    | 0.03%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.5 UMBS TBA 09-01-55                                         | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  62261548 | PA      | $56254367.06   | 0.24%             | 2055-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.5 UMBS TBA 09-01-55                                         | CUSIP: 01F062697<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  41505091 | PA      | $43016996.95   | 0.18%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.0 UMBS TBA 09-01-55                                         | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  61126208 | PA      | $48561043.56   | 0.21%             | 2055-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.5 UMBS TBA 09-01-55                                         | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37683 | PA      | $36248.86      | 0.00%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.5 UMBS TBA 09-01-55                                         | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  85389388 | PA      | $70911617.26   | 0.30%             | 2055-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 7.0 UMBS TBA 09-01-55                                         | CUSIP: 01F070690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 123401299 | PA      | $129831617.29  | 0.56%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.0 UMBS TBA 09-01-55                                         | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4463299 | PA      | $4560241.85    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 5.5 UMBS TBA 09-01-55                                         | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27685250 | PA      | $27845436.86   | 0.12%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 4.0 UMBS TBA 09-01-40                                         | CUSIP: 01F040495<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7125000 | PA      | $6996415.13    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.5 UMBS TBA 09-01-40                                         | CUSIP: 01F022493<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15420776 | PA      | $14474634.29   | 0.06%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.0 UMBS TBA 09-01-40                                         | CUSIP: 01F020497<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27040619 | PA      | $24818447.97   | 0.11%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.0 UMBS TBA 10-01-55                                         | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12164710 | PA      | $12417517.00   | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                   | SCRT 2018-3 MA 3.5% 08-25-57                                       | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2823011 | PA      | $2743359.71    | 0.01%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.5 UMBS TBA 10-01-55                                         | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 196152221 | PA      | $177157820.68  | 0.76%             | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.5 UMBS TBA 10-01-55                                         | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 841628144 | PA      | $871792938.31  | 3.73%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.95% 08-06-25/08-06-55 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $60718.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.7175% 08-08-25/08-08-35 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-43064.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRU5C C @ 98 09-12-25                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     16374 | NC      | $102337.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 7.0 UMBS TBA 10-01-55                                         | CUSIP: 01F0706A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  96682505 | PA      | $101716763.04  | 0.44%             | 2055-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.5 UMBS TBA 10-01-55                                         | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 101847913 | PA      | $84567581.30   | 0.36%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM1505 09-01-49                                      | CUSIP: 3140X4U79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8798348 | PA      | $7770129.31    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AJ9327 01-01-42                                      | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18161 | PA      | $17127.21      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 BO6247 12-01-34                                      | CUSIP: 3140K15H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2887195 | PA      | $2735807.48    | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 G67711 03-01-48                                          | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15213934 | PA      | $14524819.00   | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.5 UMBS TBA 10-01-55                                         | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4146000 | PA      | $3984322.58    | 0.02%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.0 UMBS TBA 10-01-40                                         | CUSIP: 01F0204A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2059381 | PA      | $1890627.08    | 0.01%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1580 10-01-49                                      | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3375513 | PA      | $3129563.10    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA0284 06-01-49                                      | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1345634 | PA      | $1244706.18    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 932606 02-01-40                                          | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28191 | PA      | $28732.43      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE5009 01-01-45                                      | CUSIP: 3140FQR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    286611 | PA      | $268069.59     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BH3122 06-01-47                                      | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     34393 | PA      | $32793.43      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AE1283 12-01-41                                          | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32718 | PA      | $33373.21      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 4.0 UMBS TBA 10-01-40                                         | CUSIP: 01F0404A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8875000 | PA      | $8711371.63    | 0.04%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.184% 01-10-24/01-10-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-3918.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ8411 08-01-49                                      | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    932962 | PA      | $862990.22     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1277 11-01-41                                      | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53110 | PA      | $54076.25      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BJ5015 12-01-47                                      | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    751325 | PA      | $716391.72     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ4901 03-01-48                                      | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    351399 | PA      | $325030.77     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2035% 01-10-24/01-10-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-292.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2045% 01-10-24/01-10-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-28.34        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK9743 08-01-48                                      | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    173581 | PA      | $165264.23     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2848 05-01-47                                      | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61093 | PA      | $56620.97      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CA2850 12-01-48                                      | CUSIP: 3140QAEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1063950 | PA      | $1020002.05    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE8742 05-01-47                                      | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    132778 | PA      | $123185.94     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1443 09-01-49                                      | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2647121 | PA      | $2448573.96    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1062 06-01-49                                      | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3605407 | PA      | $3342702.49    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AT0300 03-01-43                                          | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38582 | PA      | $36585.90      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2847 05-01-47                                      | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12174 | PA      | $11259.94      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AD3566 10-01-35                                      | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11115 | PA      | $11350.56      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2846 05-01-47                                      | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66743 | PA      | $61876.97      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56591 06-01-48                                          | CUSIP: 3132Y0KD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104951 | PA      | $96547.69      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 695412 06-01-33                                      | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1452 | PA      | $1484.73       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54700 03-01-48                                          | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    366847 | PA      | $337446.10     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q19133 06-01-43                                          | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    237946 | PA      | $222980.98     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK5232 05-01-48                                      | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    439619 | PA      | $419178.94     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q56175 05-01-48                                          | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    303321 | PA      | $289581.79     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT7161 06-01-43                                      | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    216661 | PA      | $203252.02     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q55056 03-01-48                                          | CUSIP: 3132XXTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    353551 | PA      | $327435.42     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1463 10-01-49                                      | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3259347 | PA      | $3021851.43    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54781 03-01-48                                          | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    296185 | PA      | $274001.10     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54699 03-01-48                                          | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    194565 | PA      | $179099.65     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3620 08-01-53                                      | CUSIP: 3132E0AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13827234 | PA      | $14067564.72   | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV4128 03-01-52                                      | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2345080 | PA      | $1876075.61    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8362 09-01-53                                      | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18212417 | PA      | $18385908.80   | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8370 11-01-53                                      | CUSIP: 3132DWJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9193183 | PA      | $8853292.83    | 0.04%             | 2053-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8396 01-01-54                                      | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16590638 | PA      | $16997855.00   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5139 09-01-53                                      | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    930689 | PA      | $952783.96     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5247 01-01-54                                      | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12524194 | PA      | $12811937.13   | 0.05%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8402 02-01-54                                      | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3105329 | PA      | $3175251.85    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7438 11-01-53                                      | CUSIP: 3140QTHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32967087 | PA      | $33813714.73   | 0.14%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7122 09-01-53                                      | CUSIP: 3140QS4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30749701 | PA      | $31535294.17   | 0.14%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7480 11-01-53                                      | CUSIP: 3140QTJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23134631 | PA      | $23728728.01   | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7862 01-01-54                                      | CUSIP: 3140QTWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19573494 | PA      | $20065414.78   | 0.09%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0856 02-01-54                                      | CUSIP: 3142GQ5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19363436 | PA      | $20147035.35   | 0.09%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7932 02-01-54                                      | CUSIP: 3140QTY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26018418 | PA      | $26664065.25   | 0.11%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7933 02-01-54                                      | CUSIP: 3140QTY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21859191 | PA      | $22685817.85   | 0.10%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ0940 02-01-54                                      | CUSIP: 3142GRBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13369605 | PA      | $13698992.17   | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7617 12-01-53                                      | CUSIP: 3140QTPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5070992 | PA      | $5196818.99    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8003 02-01-54                                      | CUSIP: 3140QT3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  60291762 | PA      | $61690168.98   | 0.26%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5117 03-01-54                                      | CUSIP: 3132DSVJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  38100570 | PA      | $39251549.67   | 0.17%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                               | FARM 2024-1 A 144A FRN 10-01-53                                    | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13341091 | PA      | $13011298.87   | 0.06%             | 2053-10-01      | Variable      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6668 12-01-53                                      | CUSIP: 3140XNMS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    241804 | PA      | $244107.63     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS5343 07-01-53                                      | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3726772 | PA      | $3824711.13    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6809 02-01-54                                      | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    752024 | PA      | $759188.00     | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5215 12-01-53                                      | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2374741 | PA      | $2395711.98    | 0.01%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4546 10-01-53                                      | CUSIP: 3132DSBP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24759063 | PA      | $25390295.42   | 0.11%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 12-31-30                         | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1956000 | PA      | $1956916.97    | 0.01%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY8355 08-01-53                                      | CUSIP: 3140NRH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7852113 | PA      | $8039927.43    | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8328 04-01-54                                      | CUSIP: 3140QUHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31966235 | PA      | $32406505.73   | 0.14%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8337 04-01-54                                      | CUSIP: 3140QUHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6992765 | PA      | $7048938.38    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1348 04-01-54                                      | CUSIP: 3142GRQA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    907952 | PA      | $935214.52     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 01-31-26                         | CUSIP: 91282CJV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 114000000 | PA      | $114060112.20  | 0.49%             | 2026-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 01-31-29                          | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1417200 | PA      | $1435191.78    | 0.01%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-15-34                          | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34005900 | PA      | $33813287.18   | 0.14%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 02-15-27                        | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6600000 | PA      | $6635808.30    | 0.03%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-54                         | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $3847492.08    | 0.02%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 02-15-44                          | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78000000 | PA      | $74764216.80   | 0.32%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-28-26                        | CUSIP: 91282CKB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $130375778.00  | 0.56%             | 2026-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-28-31                         | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $8194375.20    | 0.04%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.125% 02-15-54 | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37297219 | PA      | $33341670.51   | 0.14%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 03-31-26                          | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $50144530.00   | 0.21%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 04-15-27                          | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48461000 | PA      | $49069946.39   | 0.21%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 04-30-26                        | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $130749021.00  | 0.56%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 04-30-29                        | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12620000 | PA      | $13054798.12   | 0.06%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 05-15-34                        | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36116200 | PA      | $36832882.65   | 0.16%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB3247 04-01-52                                      | CUSIP: 3140QNTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    293424 | PA      | $254485.51     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD6203 06-01-52                                      | CUSIP: 3132DT3L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1450589 | PA      | $1259305.86    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 05-15-54                        | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71042200 | PA      | $67673243.90   | 0.29%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 05-31-29                          | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 208643000 | PA      | $215000101.84  | 0.92%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 06-30-31                         | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $122793744.00  | 0.53%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 07-15-27                        | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10360000 | PA      | $10495333.72   | 0.04%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS4815 05-01-52                                      | CUSIP: 3140XLK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1466306 | PA      | $1271731.69    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS1507 02-01-52                                      | CUSIP: 3140XGU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    116923 | PA      | $101504.52     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-29                          | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 188000000 | PA      | $190511567.20  | 0.82%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW8497 09-01-52                                      | CUSIP: 3140N1NP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5621459 | PA      | $5426405.14    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD3812 01-01-52                                      | CUSIP: 3133B1GV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    533595 | PA      | $463280.49     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.0 MA5773 07-01-40                                      | CUSIP: 31418FMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    964642 | PA      | $996177.48     | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3774 06-01-52                                      | CUSIP: 3140QPFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31452648 | PA      | $29422883.11   | 0.13%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8256 10-01-52                                      | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5071814 | PA      | $4743977.24    | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8276 12-01-52                                      | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20139266 | PA      | $19966411.14   | 0.09%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BQ7564 11-01-50                                      | CUSIP: 3140KTMN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     79892 | PA      | $66529.94      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 RR0011 07-01-40                                      | CUSIP: 3142JCAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1252020 | PA      | $1292949.54    | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 SB8386 05-01-40                                      | CUSIP: 3132D6J76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    956481 | PA      | $987746.78     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 SB1452 04-01-40                                      | CUSIP: 3132CXTH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    944464 | PA      | $975636.53     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 RR0004 06-01-40                                      | CUSIP: 3142JCAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2263826 | PA      | $2337825.77    | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8287 01-01-53                                      | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    570344 | PA      | $550495.10     | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8288 01-01-53                                      | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 193214933 | PA      | $191556376.24  | 0.82%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.0 MA5747 06-01-40                                      | CUSIP: 31418FL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2593335 | PA      | $2678199.19    | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.0 MA5713 05-01-40                                      | CUSIP: 31418FK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    524473 | PA      | $541617.75     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA4783 10-01-52                                      | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     96702 | PA      | $90489.60      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV5578 05-01-52                                      | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    783019 | PA      | $680477.83     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0028 07-01-55                                      | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 112406419 | PA      | $114891275.36  | 0.49%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DD7303 06-01-55                                      | CUSIP: 3140B8DH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    910188 | PA      | $916285.71     | 0.00%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1895 11-01-52                                      | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17350353 | PA      | $17082047.25   | 0.07%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA4820 10-01-52                                      | CUSIP: 31418ELA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    210715 | PA      | $220232.91     | 0.00%             | 2052-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB1186 07-01-51                                      | CUSIP: 3140QLJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19513315 | PA      | $15611412.98   | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QJ0957 07-01-54                                      | CUSIP: 3133CRB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    782542 | PA      | $801113.16     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8281 12-01-52                                      | CUSIP: 3132DWFW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  54778722 | PA      | $57165102.22   | 0.24%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1608 09-01-52                                      | CUSIP: 3132DNYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1537191 | PA      | $1484010.77    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS2824 12-01-51                                      | CUSIP: 3140XJD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2615734 | PA      | $2174449.28    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS1978 03-01-52                                      | CUSIP: 3140XHFU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13299369 | PA      | $11055712.65   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC5696 11-01-54                                      | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32457764 | PA      | $33218347.14   | 0.14%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX7714 02-01-55                                      | CUSIP: 31426DSC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    188279 | PA      | $192580.50     | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD0718 08-01-51                                      | CUSIP: 3132DMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    969274 | PA      | $805753.35     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD6127 01-01-52                                      | CUSIP: 3133B3YY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1253549 | PA      | $1042070.57    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT6033 11-01-51                                      | CUSIP: 3140LUV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    676072 | PA      | $562016.09     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AL9870 02-01-28                                      | CUSIP: 3138ER6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3626 | PA      | $3757.96       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5995 10-01-51                                      | CUSIP: 3133KMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1379400 | PA      | $1146689.97    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD9973 03-01-52                                      | CUSIP: 3133B8CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    725307 | PA      | $602945.16     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD8286 01-01-53                                      | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    100514 | PA      | $94011.48      | 0.00%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX1334 11-01-52                                      | CUSIP: 3140N5PU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    313767 | PA      | $293681.66     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB3095 03-01-52                                      | CUSIP: 3140QNNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9812792 | PA      | $7802651.61    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5587 01-01-55                                      | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9570921 | PA      | $9785625.89    | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8506 02-01-55                                      | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     11389 | PA      | $11464.31      | 0.00%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8516 03-01-55                                      | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10567716 | PA      | $10803809.08   | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5615 02-01-55                                      | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27187348 | PA      | $27795447.79   | 0.12%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5647 03-01-55                                      | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12437179 | PA      | $12712450.69   | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX6697 02-01-55                                      | CUSIP: 31426CNP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32244 | PA      | $33500.69      | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8491 12-01-54                                      | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3440591 | PA      | $3395973.57    | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX6698 02-01-55                                      | CUSIP: 31426CNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    496149 | PA      | $514382.44     | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0325 11-01-53                                      | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     68999 | PA      | $71787.61      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA5064 11-01-53                                      | CUSIP: 3140A5TW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    737261 | PA      | $776456.93     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ4654 09-01-54                                      | CUSIP: 3133CVE34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13385 | PA      | $13909.63      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QH0857 09-01-53                                      | CUSIP: 3133CC5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     45202 | PA      | $47001.07      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA3541 10-01-53                                      | CUSIP: 3140A35B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    693563 | PA      | $726487.34     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ3334 09-01-54                                      | CUSIP: 3133CTV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3232141 | PA      | $3352828.89    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QH8689 01-01-54                                      | CUSIP: 3133CMUN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2816592 | PA      | $2934880.65    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QI9079 06-01-54                                      | CUSIP: 3133WGCQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2068002 | PA      | $2145266.99    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QH7176 12-01-53                                      | CUSIP: 3133CK6M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     85496 | PA      | $88706.07      | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 DC2376 08-01-44                                      | CUSIP: 3140APUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    980232 | PA      | $1017879.25    | 0.00%             | 2044-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 6.5 RB5317 10-01-44                                      | CUSIP: 3133KY4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    893664 | PA      | $928375.65     | 0.00%             | 2044-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 MA5482 09-01-44                                      | CUSIP: 31418FCU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2580362 | PA      | $2684781.67    | 0.01%             | 2044-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5674 04-01-55                                      | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15477859 | PA      | $15820012.62   | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ2664 10-01-54                                      | CUSIP: 3142GS6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    179859 | PA      | $177707.52     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ2836 11-01-54                                      | CUSIP: 3142GTEJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    260799 | PA      | $257414.93     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8525 04-01-55                                      | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  48108671 | PA      | $49172161.03   | 0.21%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8515 03-01-55                                      | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    398064 | PA      | $400585.55     | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DC2313 09-01-54                                      | CUSIP: 3140APSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38588 | PA      | $38855.43      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SL0796 04-01-55                                      | CUSIP: 31427M3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2647737 | PA      | $2706747.56    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0875% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1767391.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1035% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1739354.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.353% 04-19-23/04-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $48986.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0895% 04-20-23/04-20-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1763897.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.344% 04-20-23/04-20-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $35603.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.128% 04-28-23/04-28-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-273919.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.9405% 04-28-23/04-28-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2044844.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.259% 05-01-23/05-01-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-86728.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0535% 05-01-23/05-01-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3672701.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.285% 05-01-23/05-01-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-49796.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.085% 05-09-23/05-09-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1789861.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.186% 05-09-23/05-09-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-192913.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.215% 05-10-23/05-10-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-151880.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1135% 05-10-23/05-10-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1739553.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 888372 04-01-37                                         | CUSIP: 31410F6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10677 | PA      | $11042.68      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1605% 05-19-23/05-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2000579.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.29% 05-19-23/05-19-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-55028.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 256810 07-01-37                                         | CUSIP: 31371NGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21724 | PA      | $22551.80      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 256828 07-01-37                                         | CUSIP: 31371NHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12174 | PA      | $12514.98      | 0.00%             | 2037-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 256860 08-01-37                                         | CUSIP: 31371NJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29735 | PA      | $31110.13      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K065       | FHMS K065 A2 (MF) 3.243% 04-25-27                                  | CUSIP: 3137F1G44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1370000 | PA      | $1352622.92    | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 888698 10-01-37                                         | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35402 | PA      | $37130.84      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 CA0770 11-01-47                                      | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7456496 | PA      | $6850737.75    | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.0135% 08-21-23/08-21-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $491463.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.1615% 11-10-23/05-15-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-193452.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K074       | FHMS K074 A2 (MF) 3.6% 01-25-28                                    | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    560000 | PA      | $555700.32     | 0.00%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 256993 11-01-27                                      | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27596 | PA      | $28599.75      | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.15% 11-10-23/05-15-33 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-455892.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6038% 01-08-24/01-08-34 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-136136.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                   | SCRT 2018-2 MA 3.5% 11-26-57                                       | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2202021 | PA      | $2139532.11    | 0.01%             | 2057-11-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4237 01-01-51                                      | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    892179 | PA      | $715812.34     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6765% 02-20-24/02-20-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2041787.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6815% 02-20-24/02-20-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1935588.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCN UMBS 1.5 QS0124 11-01-30                                      | CUSIP: 3133HMD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    248525 | PA      | $236190.91     | 0.00%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA9308 02-01-51                                      | CUSIP: 3140QHKW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    207736 | PA      | $180494.44     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.7205% 02-21-24/02-21-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1463816.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.568% 03-01-24/03-01-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $852414.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI6 3.0 BF0497 07-01-60                                         | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21368133 | PA      | $18443818.31   | 0.08%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0481 06-01-60                                         | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10016247 | PA      | $8990773.39    | 0.04%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.56% 03-01-24/03-01-26 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $852675.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.6275% 03-20-24/03-20-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2066180.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.9005% 04-17-24/04-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1078861.48    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.5895% 05-06-24/05-06-27 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $5686172.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0379 04-01-59                                         | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15710837 | PA      | $14105959.59   | 0.06%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB0041 04-01-51                                      | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27620475 | PA      | $24528666.41   | 0.11%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.815% 05-06-24/05-06-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2461208.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.723% 05-07-24/05-07-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2134106.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4333 05-01-41                                      | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25338204 | PA      | $21787485.35   | 0.09%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0480 06-01-60                                         | CUSIP: 3140FXRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6442812 | PA      | $5783210.18    | 0.02%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.659% 05-17-24/05-17-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2769555.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.63358% 07-25-24/10-31-25 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-7636.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4208 12-01-50                                      | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2304455 | PA      | $1849387.00    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5118 07-01-41                                      | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  53169789 | PA      | $45427311.00   | 0.19%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4387 07-01-41                                      | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1635500 | PA      | $1406276.12    | 0.01%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI3 5.5 BF0320 01-01-49                                         | CUSIP: 3140FXLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2648658 | PA      | $2746146.65    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.47875% 08-05-24/08-05-54 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $5524826.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.616% 08-05-24/08-05-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-4142665.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.561% 08-09-24/08-09-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-4000974.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.415% 08-09-24/08-09-54 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $5227233.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.186% 02-18-25/02-18-27 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-6103877.46   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.8045% 06-04-25/12-15-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-61346.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.848% 06-04-25/11-15-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-116125.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.9745% 08-05-25/08-05-55 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $135664.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.25% 02-15-50  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1963982 | PA      | $1117475.50    | 0.00%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 04-30-27                          | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16800000 | PA      | $15950235.84   | 0.07%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 08-15-40                        | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33890000 | PA      | $20863531.25   | 0.09%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.625% 11-15-50                        | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 292195700 | PA      | $150777539.45  | 0.65%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 11-15-40                        | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33947600 | PA      | $21636292.38   | 0.09%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-51                        | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42054000 | PA      | $23132988.62   | 0.10%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-41                        | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22549000 | PA      | $15502437.50   | 0.07%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 02-15-51 | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       372 | PA      | $198.11        | 0.00%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 04-15-26 | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43811565 | PA      | $43525765.89   | 0.19%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 05-15-41                         | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34863000 | PA      | $25270229.40   | 0.11%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.875% 06-30-26                        | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51500000 | PA      | $50241669.60   | 0.22%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.75% 08-15-41                         | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93379600 | PA      | $61863985.00   | 0.26%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.875% 09-30-26                        | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $387617.16     | 0.00%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 10-15-26 | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  98642335 | PA      | $98075961.58   | 0.42%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 12-31-26                         | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $33870494.00   | 0.15%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 01-15-32 | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61198224 | PA      | $56505583.92   | 0.24%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.75% 01-31-29                         | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $23526367.50   | 0.10%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 02-15-52                         | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $298906.25     | 0.00%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-32                        | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16949400 | PA      | $15019419.28   | 0.06%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-28-27                        | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18463200 | PA      | $17972754.63   | 0.08%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 04-15-27 | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46842547 | PA      | $46227746.00   | 0.20%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.25% 05-15-42                         | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39623100 | PA      | $32580712.10   | 0.14%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 05-31-27                        | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30980000 | PA      | $30438652.38   | 0.13%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.25% 06-30-29                         | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24667970.00   | 0.11%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.25% 06-30-27                         | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 176918900 | PA      | $175691666.67  | 0.75%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.375% 02-15-55 | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 112578404 | PA      | $106426220.39  | 0.46%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 02-29-32                        | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $40568752.00   | 0.17%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 03-31-30                          | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32613400 | PA      | $33065656.54   | 0.14%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 08-31-27                          | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33320000 | PA      | $31337703.24   | 0.13%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.375% 09-30-27                        | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $42114546.00   | 0.18%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 10-31-27                          | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18790000 | PA      | $17586359.58   | 0.08%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.625% 11-30-27                        | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2903429.93    | 0.01%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 03-31-28                         | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $367727.22     | 0.00%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.75% 04-30-26                         | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11220000 | PA      | $10987491.31   | 0.05%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.625% 05-15-31                        | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29550000 | PA      | $26309889.78   | 0.11%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 05-15-51                        | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100450000 | PA      | $62404562.50   | 0.27%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 05-31-28                         | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $5918554.53    | 0.03%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 06-30-28                         | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59360000 | PA      | $55673186.02   | 0.24%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 08-15-51                          | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  72003500 | PA      | $40631344.64   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.75% 08-31-26                         | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22810000 | PA      | $22123471.46   | 0.09%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 08-31-28                        | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $46533205.00   | 0.20%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 11-15-31                        | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56000000 | PA      | $48396252.80   | 0.21%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 11-15-51                        | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20830200 | PA      | $11339440.13   | 0.05%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 05-15-52                        | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29000000 | PA      | $19996407.70   | 0.09%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-29-28                          | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46435000 | PA      | $46888465.64   | 0.20%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-30                          | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23355000 | PA      | $23666095.61   | 0.10%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 08-15-43                        | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9359500 | PA      | $8849115.23    | 0.04%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 09-15-26                        | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51444000 | PA      | $51851930.34   | 0.22%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 10-31-30                        | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 119277500 | PA      | $125679350.05  | 0.54%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 11-30-30                        | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19000000 | PA      | $19576680.40   | 0.08%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 12-15-26                        | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 114365800 | PA      | $115218557.15  | 0.49%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3156 PO PAC PO 0.0% 05-15-36                                   | CUSIP: 31396RAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    279381 | PA      | $244891.43     | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3146 PO PAC PO 0.0% 04-15-36                                   | CUSIP: 31396JXH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    121170 | PA      | $107036.50     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 MA2717 08-01-36                                      | CUSIP: 31418CAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2358386 | PA      | $2338186.60    | 0.01%             | 2036-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 MA2746 09-01-36                                      | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2398364 | PA      | $2377205.21    | 0.01%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2588 04-01-36                                      | CUSIP: 31418B2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2713369 | PA      | $2690362.77    | 0.01%             | 2036-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 AS6870 03-01-36                                      | CUSIP: 3138WGT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1228333 | PA      | $1214992.16    | 0.01%             | 2036-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2787 10-01-36                                      | CUSIP: 31418CCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4747737 | PA      | $4694457.98    | 0.02%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2819 11-01-36                                      | CUSIP: 31418CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    267920 | PA      | $265598.16     | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGTW 4.0 C91909 11-01-36                                           | CUSIP: 3128P8DN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42834 | PA      | $42506.85      | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2856 12-01-36                                      | CUSIP: 31418CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6648 | PA      | $6585.14       | 0.00%             | 2036-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2006-56 OG PAC PO 0.0% 07-25-36                                | CUSIP: 31395NXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    155917 | PA      | $138009.10     | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2006-83 AO PAC PO 0.0% 09-25-36                                | CUSIP: 31396KD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    224166 | PA      | $200868.33     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3213 OG PAC PO 0.0% 09-15-36                                   | CUSIP: 31397B2P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     95898 | PA      | $89484.73      | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2001-25 ZA 6.5% 06-25-31                                       | CUSIP: 31359SU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     43071 | PA      | $43469.55      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3156 PF FRN 05-15-36                                           | CUSIP: 31396RAR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    331781 | PA      | $328196.24     | 0.00%             | 2036-05-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2006-65 PF FRN 07-25-36                                        | CUSIP: 31396KAC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    174727 | PA      | $173315.10     | 0.00%             | 2036-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 MA2833 12-01-46                                      | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5310435 | PA      | $4744385.43    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K058       | MULTI 2.653 08-25-26                                               | CUSIP: 3137BSP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3507000 | PA      | $3455054.32    | 0.01%             | 2026-08-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 G60744 200K MAX 07-01-46                                 | CUSIP: 31335AZH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1539845 | PA      | $1429918.26    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760014 08-01-45                                          | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    537814 | PA      | $538306.02     | 0.00%             | 2045-08-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-4                   | SCRT 2018-4 MT 3.5% 11-25-57                                       | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1479792 | PA      | $1320443.39    | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ETHIOPIAN LEASING 2012 LLC                                | ETHIOPIAN LEASING 2012 LLC SR SEC 1ST LIEN SF 2.646% 05-12-26      | CUSIP: 29766DAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    137121 | PA      | $136245.82     | 0.00%             | 2026-05-12      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SOUTHAVEN COMBINED CYCLE GENERATION LLC                   | TVA SOUTHAVEN  STRUCTURED SR SEC 1ST LIEN SF 3.846% 08-15-33       | CUSIP: 841215AA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1161826 | PA      | $1119154.38    | 0.00%             | 2033-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TENNESSEE VALLEY AUTHORITY SR UNSEC 4.875% 05-15-35                | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  30000000 | PA      | $30681663.00   | 0.13%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 7.125% 01-15-30                                               | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5684989.00    | 0.02%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FHLB 3.25% 11-16-28                                                | CUSIP: 3130AFFX0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  56500000 | PA      | $55930383.95   | 0.24%             | 2028-11-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 9/25/2025                                          | CUSIP: 313385MD5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99730370.00   | 0.43%             | 2025-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 0.875% 08-05-30                                               | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  63500000 | PA      | $55439392.55   | 0.24%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 0.75% 10-08-27                                                | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  21700000 | PA      | $20442148.65   | 0.09%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FHLB 5.5% 07-15-36                                                 | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $1089705.50    | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 4.875% 01-15-48                                           | CUSIP: 880591EB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3300000 | PA      | $3108400.68    | 0.01%             | 2048-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 4.65% 06-15-35                                            | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   4480000 | PA      | $4567965.25    | 0.02%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 5.88% 04-01-36                                            | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3625000 | PA      | $4020220.70    | 0.02%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 2.875% 02-01-27                                           | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4936726.00    | 0.02%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 02-15-29                        | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $38745312.00   | 0.17%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY STRIP COUPON 0.0% 11-15-40                  | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $7104150.00    | 0.03%             | 2040-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 11-15-49                        | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17921300 | PA      | $11340822.66   | 0.05%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 02-15-50                          | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61360000 | PA      | $35425815.57   | 0.15%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7552 01-01-52                                      | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2658333 | PA      | $2248505.71    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8213 05-01-52                                      | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  57487890 | PA      | $49948755.51   | 0.21%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 MA4626 06-01-52                                      | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30689312 | PA      | $28710434.39   | 0.12%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA4625 06-01-52                                      | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25135 | PA      | $22758.58      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4577 04-01-52                                      | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20487266 | PA      | $16354534.11   | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4562 03-01-52                                      | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1654346 | PA      | $1320953.99    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8204 04-01-52                                      | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1667061 | PA      | $1331105.12    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RA7556 06-01-52                                      | CUSIP: 3133KPMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12946674 | PA      | $12500117.06   | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD1450 03-01-52                                      | CUSIP: 3132DNTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2102527 | PA      | $1778929.30    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA5288 05-01-51                                      | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23775458 | PA      | $19174906.59   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB0290 04-01-51                                      | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6376873 | PA      | $5109685.92    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QD7089 02-01-52                                      | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1748227 | PA      | $1592040.30    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD1385 11-01-51                                      | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5177315 | PA      | $4381893.02    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1527 09-01-51                                      | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6859243 | PA      | $5752613.98    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7900 07-01-51                                      | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1841084 | PA      | $1559241.38    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA7257 10-01-50                                      | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1862327 | PA      | $1578675.58    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0523 02-01-52                                      | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1984777 | PA      | $1674268.62    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.5 BF0585 12-01-61                                         | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4147256 | PA      | $3994388.32    | 0.02%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2286 12-01-51                                      | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12249850 | PA      | $10340527.12   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA6593 08-01-50                                      | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8772420 | PA      | $7436309.89    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0147 01-20-55                                           | CUSIP: 3618N5EV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6999304 | PA      | $7057377.64    | 0.03%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0205 02-20-55                                           | CUSIP: 3618N5GP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2365598 | PA      | $2385225.16    | 0.01%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0424 06-20-55                                           | CUSIP: 3618N5PJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18998111 | PA      | $19155738.54   | 0.08%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                   | SCRT 2017-1 HA FRN 01-25-56                                        | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12273236 | PA      | $11564124.99   | 0.05%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                   | SCRT 2017-2 HA FRN 08-25-56                                        | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13925450 | PA      | $13069912.47   | 0.06%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                   | SCRT 2017-2 MA 3.0% 08-25-56                                       | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14116560 | PA      | $13230562.63   | 0.06%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                   | SCRT 2017-4 MT 3.5% 06-25-57                                       | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5290363 | PA      | $4830953.55    | 0.02%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                   | SCRT 2017-4 HT FRN 06-25-57                                        | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9349305 | PA      | $8485644.03    | 0.04%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                   | SCRT 2018-2 MT 3.5% 11-25-57                                       | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10130247 | PA      | $9100862.18    | 0.04%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1            | SLST 2018-1 A1 3.5% 06-25-28                                       | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9472679 | PA      | $9271990.50    | 0.04%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                              | SLST 2018-2 A1 3.5% 11-25-28                                       | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  47601672 | PA      | $46633930.25   | 0.20%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 2019-2 MA 3.5% 08-25-58                                       | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15768313 | PA      | $15234634.58   | 0.07%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                   | SCRT 2019-1 MA 3.5% 07-25-58                                       | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2624509 | PA      | $2549214.07    | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-2                              | SLST 2019-2 A1C 2.75% 09-25-29                                     | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  31094429 | PA      | $29739613.21   | 0.13%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-4                   | SCRT 2019-4 MA 3.0% 02-25-59                                       | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9630329 | PA      | $8969071.85    | 0.04%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-3                              | SLST 2019-3 A1C 2.75% 11-25-29                                     | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  16501365 | PA      | $15765222.42   | 0.07%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                   | SCRT 2019-3 MT 3.5% 10-25-58                                       | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3811421 | PA      | $3421063.04    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 2019-2 MT 3.5% 08-26-58                                       | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8629601 | PA      | $7713715.70    | 0.03%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-3SC                | SCRT 2019-3 MA 3.5% 10-25-58                                       | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    353917 | PA      | $343618.59     | 0.00%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                   | SCRT 2019-1 MT 3.5% 07-25-58                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7506296 | PA      | $6689663.64    | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-27

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Lead Analyst