# EDGAR Filing Document

**Accession Number:** 0000770161
**File Stem:** 0001193125-26-027718
**Filing Date:** 2026-1
**Character Count:** 783686
**Document Hash:** c5969742b6bf87ab0fdeb3af09f4fde2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-027718.hdr.sgml**: 20260129

**ACCESSION NUMBER**: 0001193125-26-027718

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260129

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260831

**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:** 26573956

**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           |

## Nport-Ex

![](img1327a2911.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**U.S. Government Securities Fund**<sup>®</sup>

Investment portfolio

November 30, 2025

**unaudited**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments 87.61%<br> **Mortgage-backed obligations 44.01%**<br> **Federal agency mortgage-backed obligations 43.97%**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #256708 6.50% 3/1/2027 <sup>(a)</sup>  | USD1 | $1 |
| Fannie Mae Pool #256993 6.50% 11/1/2027 <sup>(a)</sup>  | 24 | 24 |
| Fannie Mae Pool #257055 6.50% 12/1/2027 <sup>(a)</sup>  | 47 | 49 |
| Fannie Mae Pool #AL9870 6.50% 2/1/2028 <sup>(a)</sup>  | 3 | 3 |
| Fannie Mae Pool #AD0329 6.50% 9/1/2028 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #AL5156 6.50% 2/1/2029 <sup>(a)</sup>  | 57 | 59 |
| Fannie Mae Pool #AY1948 3.50% 1/1/2030 <sup>(a)</sup>  | 54 | 53 |
| Fannie Mae Pool #AZ0554 3.50% 10/1/2030 <sup>(a)</sup>  | 81 | 80 |
| Fannie Mae Pool #735571 8.00% 11/1/2031 <sup>(a)</sup>  | 7 | 7 |
| Fannie Mae Pool #555254 6.50% 1/1/2033 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Fannie Mae Pool #CA1442 3.00% 3/1/2033 <sup>(a)</sup>  | 269 | 263 |
| Fannie Mae Pool #BJ5302 3.00% 3/1/2033 <sup>(a)</sup>  | 224 | 218 |
| Fannie Mae Pool #695412 5.00% 6/1/2033 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #BN1085 4.00% 1/1/2034 <sup>(a)</sup>  | 4 | 4 |
| Fannie Mae Pool #BO6247 2.50% 12/1/2034 <sup>(a)</sup>  | 2743 | 2619 |
| Fannie Mae Pool #FM2499 2.50% 2/1/2035 <sup>(a)</sup>  | 7739 | 7397 |
| Fannie Mae Pool #AD3566 5.00% 10/1/2035 <sup>(a)</sup>  | 11 | 11 |
| Fannie Mae Pool #AS6870 4.00% 3/1/2036 <sup>(a)</sup>  | 1202 | 1197 |
| Fannie Mae Pool #MA2588 4.00% 4/1/2036 <sup>(a)</sup>  | 2570 | 2560 |
| Fannie Mae Pool #MA2717 4.00% 8/1/2036 <sup>(a)</sup>  | 2249 | 2238 |
| Fannie Mae Pool #MA2746 4.00% 9/1/2036 <sup>(a)</sup>  | 2319 | 2306 |
| Fannie Mae Pool #MA2787 4.00% 10/1/2036 <sup>(a)</sup>  | 4540 | 4516 |
| Fannie Mae Pool #898565 6.50% 10/1/2036 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Fannie Mae Pool #CB2247 2.50% 11/1/2036 <sup>(a)</sup>  | 1733 | 1641 |
| Fannie Mae Pool #CB2248 2.50% 11/1/2036 <sup>(a)</sup>  | 147 | 139 |
| Fannie Mae Pool #MA2819 4.00% 11/1/2036 <sup>(a)</sup>  | 261 | 260 |
| Fannie Mae Pool #MA2856 4.00% 12/1/2036 <sup>(a)</sup>  | 6 | 6 |
| Fannie Mae Pool #FS7802 2.50% 3/1/2037 <sup>(a)</sup>  | 1170 | 1107 |
| Fannie Mae Pool #MA4583 2.50% 4/1/2037 <sup>(a)</sup>  | 629 | 595 |
| Fannie Mae Pool #888372 6.50% 4/1/2037 <sup>(a)</sup>  | 10 | 11 |
| Fannie Mae Pool #MA4628 2.50% 6/1/2037 <sup>(a)</sup>  | 1956 | 1851 |
| Fannie Mae Pool #MA4665 2.50% 7/1/2037 <sup>(a)</sup>  | 909 | 860 |
| Fannie Mae Pool #256810 6.50% 7/1/2037 <sup>(a)</sup>  | 21 | 22 |
| Fannie Mae Pool #256828 7.00% 7/1/2037 <sup>(a)</sup>  | 12 | 12 |
| Fannie Mae Pool #MA3099 4.00% 8/1/2037 <sup>(a)</sup>  | 2072 | 2063 |
| Fannie Mae Pool #256860 6.50% 8/1/2037 <sup>(a)</sup>  | 26 | 27 |
| Fannie Mae Pool #888873 6.50% 8/1/2037 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Fannie Mae Pool #MA4773 2.50% 10/1/2037 <sup>(a)</sup>  | 152 | 144 |
| Fannie Mae Pool #947337 6.50% 10/1/2037 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Fannie Mae Pool #888698 7.00% 10/1/2037 <sup>(a)</sup>  | 29 | 30 |
| Fannie Mae Pool #954832 6.50% 1/1/2038 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #970343 6.00% 2/1/2038 <sup>(a)</sup>  | 28 | 28 |
| Fannie Mae Pool #889388 7.00% 3/1/2038 <sup>(a)</sup>  | 101 | 106 |
| Fannie Mae Pool #AL1308 6.50% 5/1/2039 <sup>(a)</sup>  | 1 | 1 |
| Fannie Mae Pool #AC0794 5.00% 10/1/2039 <sup>(a)</sup>  | 67 | 69 |

---

U.S. Government Securities Fund — Page 1 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #932606 5.00% 2/1/2040 <sup>(a)</sup>  | USD28 | $29 |
| Fannie Mae Pool #MA5713 6.00% 5/1/2040 <sup>(a)</sup>  | 483 | 500 |
| Fannie Mae Pool #MA5747 6.00% 6/1/2040 <sup>(a)</sup>  | 2376 | 2461 |
| Fannie Mae Pool #MA5773 6.00% 7/1/2040 <sup>(a)</sup>  | 900 | 933 |
| Fannie Mae Pool #MA4093 2.00% 8/1/2040 <sup>(a)</sup>  | 2321 | 2076 |
| Fannie Mae Pool #MA4152 2.00% 10/1/2040 <sup>(a)</sup>  | 2621 | 2340 |
| Fannie Mae Pool #AH0351 4.50% 2/1/2041 <sup>(a)</sup>  | 141 | 142 |
| Fannie Mae Pool #MA4333 2.00% 5/1/2041 <sup>(a)</sup>  | 24713 | 21820 |
| Fannie Mae Pool #AI1862 5.00% 5/1/2041 <sup>(a)</sup>  | 461 | 475 |
| Fannie Mae Pool #AI3510 5.00% 6/1/2041 <sup>(a)</sup>  | 231 | 239 |
| Fannie Mae Pool #AE1248 5.00% 6/1/2041 <sup>(a)</sup>  | 124 | 127 |
| Fannie Mae Pool #FM7690 2.00% 7/1/2041 <sup>(a)</sup>  | 11672 | 10302 |
| Fannie Mae Pool #BT5941 2.00% 7/1/2041 <sup>(a)</sup>  | 4613 | 4077 |
| Fannie Mae Pool #MA4387 2.00% 7/1/2041 <sup>(a)</sup>  | 1597 | 1411 |
| Fannie Mae Pool #MA4407 2.00% 8/1/2041 <sup>(a)</sup>  | 87727 | 77294 |
| Fannie Mae Pool #FM8120 2.00% 8/1/2041 <sup>(a)</sup>  | 7981 | 7013 |
| Fannie Mae Pool #AJ0704 5.00% 9/1/2041 <sup>(a)</sup>  | 211 | 218 |
| Fannie Mae Pool #AJ1873 4.00% 10/1/2041 <sup>(a)</sup>  | 135 | 132 |
| Fannie Mae Pool #AJ5391 5.00% 11/1/2041 <sup>(a)</sup>  | 119 | 123 |
| Fannie Mae Pool #AE1277 5.00% 11/1/2041 <sup>(a)</sup>  | 52 | 54 |
| Fannie Mae Pool #MA4501 2.00% 12/1/2041 <sup>(a)</sup>  | 34842 | 30644 |
| Fannie Mae Pool #AE1283 5.00% 12/1/2041 <sup>(a)</sup>  | 25 | 26 |
| Fannie Mae Pool #AJ9327 3.50% 1/1/2042 <sup>(a)</sup>  | 18 | 17 |
| Fannie Mae Pool #MA4540 2.00% 2/1/2042 <sup>(a)</sup>  | 6061 | 5327 |
| Fannie Mae Pool #MA4586 2.00% 4/1/2042 <sup>(a)</sup>  | 2621 | 2302 |
| Fannie Mae Pool #AR1512 3.50% 1/1/2043 <sup>(a)</sup>  | 201 | 193 |
| Fannie Mae Pool #AT0412 3.50% 3/1/2043 <sup>(a)</sup>  | 94 | 89 |
| Fannie Mae Pool #AT0300 3.50% 3/1/2043 <sup>(a)</sup>  | 20 | 19 |
| Fannie Mae Pool #AT3954 3.50% 4/1/2043 <sup>(a)</sup>  | 29 | 28 |
| Fannie Mae Pool #AT5898 3.00% 6/1/2043 <sup>(a)</sup>  | 6173 | 5735 |
| Fannie Mae Pool #AL3829 3.50% 6/1/2043 <sup>(a)</sup>  | 846 | 811 |
| Fannie Mae Pool #AT7161 3.50% 6/1/2043 <sup>(a)</sup>  | 214 | 204 |
| Fannie Mae Pool #DC2376 6.50% 8/1/2044 <sup>(a)</sup>  | 968 | 1005 |
| Fannie Mae Pool #MA5482 6.50% 9/1/2044 <sup>(a)</sup>  | 2194 | 2280 |
| Fannie Mae Pool #AX8521 3.50% 12/1/2044 <sup>(a)</sup>  | 128 | 122 |
| Fannie Mae Pool #AY1829 3.50% 12/1/2044 <sup>(a)</sup>  | 64 | 61 |
| Fannie Mae Pool #BE5009 3.50% 1/1/2045 <sup>(a)</sup>  | 256 | 244 |
| Fannie Mae Pool #BE5017 3.50% 2/1/2045 <sup>(a)</sup>  | 510 | 485 |
| Fannie Mae Pool #FM9416 3.50% 7/1/2045 <sup>(a)</sup>  | 107242 | 101972 |
| Fannie Mae Pool #AS8310 3.00% 11/1/2046 <sup>(a)</sup>  | 103 | 95 |
| Fannie Mae Pool #MA2833 3.00% 12/1/2046 <sup>(a)</sup>  | 5189 | 4743 |
| Fannie Mae Pool #BD2440 3.50% 1/1/2047 <sup>(a)</sup>  | 312 | 295 |
| Fannie Mae Pool #AS8804 3.50% 2/1/2047 <sup>(a)</sup>  | 4828 | 4528 |
| Fannie Mae Pool #BM1179 3.00% 4/1/2047 <sup>(a)</sup>  | 109 | 100 |
| Fannie Mae Pool #BE8740 3.50% 5/1/2047 <sup>(a)</sup>  | 415 | 393 |
| Fannie Mae Pool #BE8742 3.50% 5/1/2047 <sup>(a)</sup>  | 105 | 100 |
| Fannie Mae Pool #BH2846 3.50% 5/1/2047 <sup>(a)</sup>  | 60 | 57 |
| Fannie Mae Pool #BH2848 3.50% 5/1/2047 <sup>(a)</sup>  | 56 | 53 |
| Fannie Mae Pool #BH2847 3.50% 5/1/2047 <sup>(a)</sup>  | 12 | 11 |
| Fannie Mae Pool #BH3122 4.00% 6/1/2047 <sup>(a)</sup>  | 34 | 33 |
| Fannie Mae Pool #CA0770 3.50% 11/1/2047 <sup>(a)</sup>  | 7142 | 6715 |
| Fannie Mae Pool #BJ5015 4.00% 12/1/2047 <sup>(a)</sup>  | 712 | 693 |
| Fannie Mae Pool #BJ4901 3.50% 3/1/2048 <sup>(a)</sup>  | 304 | 288 |
| Fannie Mae Pool #BK5232 4.00% 5/1/2048 <sup>(a)</sup>  | 419 | 408 |

---

U.S. Government Securities Fund — Page 2 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BK6840 4.00% 6/1/2048 <sup>(a)</sup>  | USD568 | $553 |
| Fannie Mae Pool #BK9743 4.00% 8/1/2048 <sup>(a)</sup>  | 172 | 167 |
| Fannie Mae Pool #BK9761 4.50% 8/1/2048 <sup>(a)</sup>  | 88 | 88 |
| Fannie Mae Pool #BN1172 4.50% 11/1/2048 <sup>(a)</sup>  | 133 | 132 |
| Fannie Mae Pool #CA2850 4.00% 12/1/2048 <sup>(a)</sup>  | 1024 | 1002 |
| Fannie Mae Pool #FM2656 3.50% 1/1/2049 <sup>(a)</sup>  | 1287 | 1218 |
| Fannie Mae Pool #BF0320 5.50% 1/1/2049 <sup>(a)</sup>  | 2545 | 2657 |
| Fannie Mae Pool #FM3280 3.50% 5/1/2049 <sup>(a)</sup>  | 27716 | 26364 |
| Fannie Mae Pool #BN6708 3.50% 6/1/2049 <sup>(a)</sup>  | 8588 | 8136 |
| Fannie Mae Pool #FM1062 3.50% 6/1/2049 <sup>(a)</sup>  | 3175 | 3012 |
| Fannie Mae Pool #FM1220 3.50% 7/1/2049 <sup>(a)</sup>  | 1744 | 1644 |
| Fannie Mae Pool #BJ8411 3.50% 8/1/2049 <sup>(a)</sup>  | 828 | 784 |
| Fannie Mae Pool #FM1505 3.00% 9/1/2049 <sup>(a)</sup>  | 8597 | 7780 |
| Fannie Mae Pool #CA4151 3.50% 9/1/2049 <sup>(a)</sup>  | 4236 | 4019 |
| Fannie Mae Pool #FM1443 3.50% 9/1/2049 <sup>(a)</sup>  | 2384 | 2257 |
| Fannie Mae Pool #BO2890 3.00% 11/1/2049 <sup>(a)</sup>  | 1804 | 1635 |
| Fannie Mae Pool #FM2179 3.00% 1/1/2050 <sup>(a)</sup>  | 8702 | 7917 |
| Fannie Mae Pool #FM2389 3.50% 2/1/2050 <sup>(a)</sup>  | 1036 | 976 |
| Fannie Mae Pool #FM2822 3.00% 3/1/2050 <sup>(a)</sup>  | 5790 | 5239 |
| Fannie Mae Pool #FM2777 3.00% 3/1/2050 <sup>(a)</sup>  | 2808 | 2542 |
| Fannie Mae Pool #FM2793 3.00% 3/1/2050 <sup>(a)</sup>  | 39 | 35 |
| Fannie Mae Pool #CA5968 2.50% 6/1/2050 <sup>(a)</sup>  | 1856 | 1613 |
| Fannie Mae Pool #CA6593 2.50% 8/1/2050 <sup>(a)</sup>  | 8543 | 7434 |
| Fannie Mae Pool #BP6715 2.00% 9/1/2050 <sup>(a)</sup>  | 3 | 3 |
| Fannie Mae Pool #FM7195 2.50% 9/1/2050 <sup>(a)</sup>  | 423 | 361 |
| Fannie Mae Pool #BQ1607 2.50% 9/1/2050 <sup>(a)</sup>  | 148 | 126 |
| Fannie Mae Pool #CA7052 3.00% 9/1/2050 <sup>(a)</sup>  | 316 | 284 |
| Fannie Mae Pool #CA7325 2.00% 10/1/2050 <sup>(a)</sup>  | 3672 | 3060 |
| Fannie Mae Pool #BK5659 2.00% 10/1/2050 <sup>(a)</sup>  | 3368 | 2745 |
| Fannie Mae Pool #CA7257 2.50% 10/1/2050 <sup>(a)</sup>  | 1816 | 1581 |
| Fannie Mae Pool #BQ6356 2.00% 11/1/2050 <sup>(a)</sup>  | 1985 | 1619 |
| Fannie Mae Pool #CA7739 2.50% 11/1/2050 <sup>(a)</sup>  | 20269 | 17431 |
| Fannie Mae Pool #BQ7564 2.50% 11/1/2050 <sup>(a)</sup>  | 79 | 68 |
| Fannie Mae Pool #FM4783 2.00% 12/1/2050 <sup>(a)</sup>  | 10626 | 8667 |
| Fannie Mae Pool #MA4208 2.00% 12/1/2050 <sup>(a)</sup>  | 2262 | 1856 |
| Fannie Mae Pool #BQ9314 2.00% 12/1/2050 <sup>(a)</sup>  | 1977 | 1611 |
| Fannie Mae Pool #FS9792 4.50% 12/1/2050 <sup>(a)</sup>  | 141 | 141 |
| Fannie Mae Pool #MA4237 2.00% 1/1/2051 <sup>(a)</sup>  | 876 | 719 |
| Fannie Mae Pool #FM6471 2.00% 2/1/2051 <sup>(a)</sup>  | 9009 | 7340 |
| Fannie Mae Pool #FS7385 2.00% 2/1/2051 <sup>(a)</sup>  | 2381 | 1941 |
| Fannie Mae Pool #FM5848 2.00% 2/1/2051 <sup>(a)</sup>  | 2187 | 1795 |
| Fannie Mae Pool #FM6332 2.00% 2/1/2051 <sup>(a)</sup>  | 610 | 497 |
| Fannie Mae Pool #CA8828 2.50% 2/1/2051 <sup>(a)</sup>  | 7815 | 6765 |
| Fannie Mae Pool #CA8871 3.00% 2/1/2051 <sup>(a)</sup>  | 6906 | 6141 |
| Fannie Mae Pool #CA9308 3.00% 2/1/2051 <sup>(a)</sup>  | 201 | 179 |
| Fannie Mae Pool #FM6548 2.00% 3/1/2051 <sup>(a)</sup>  | 9028 | 7539 |
| Fannie Mae Pool #BR0441 2.50% 3/1/2051 <sup>(a)</sup>  | 742 | 633 |
| Fannie Mae Pool #CB0290 2.00% 4/1/2051 <sup>(a)</sup>  | 6272 | 5145 |
| Fannie Mae Pool #BR7191 2.00% 4/1/2051 <sup>(a)</sup>  | 277 | 226 |
| Fannie Mae Pool #BR3771 2.00% 4/1/2051 <sup>(a)</sup>  | 250 | 204 |
| Fannie Mae Pool #MA4305 2.00% 4/1/2051 <sup>(a)</sup>  | 107 | 88 |
| Fannie Mae Pool #BR7222 2.50% 4/1/2051 <sup>(a)</sup>  | 18799 | 16015 |
| Fannie Mae Pool #BN9135 2.50% 4/1/2051 <sup>(a)</sup>  | 1243 | 1059 |
| Fannie Mae Pool #CB0041 3.00% 4/1/2051 <sup>(a)</sup>  | 26722 | 24332 |

---

U.S. Government Securities Fund — Page 3 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #CB0047 3.00% 4/1/2051 <sup>(a)</sup>  | USD938 | $834 |
| Fannie Mae Pool #CB0381 2.00% 5/1/2051 <sup>(a)</sup>  | 4544 | 3702 |
| Fannie Mae Pool #BR1035 2.00% 5/1/2051 <sup>(a)</sup>  | 63 | 52 |
| Fannie Mae Pool #CB0457 2.50% 5/1/2051 <sup>(a)</sup>  | 4953 | 4260 |
| Fannie Mae Pool #CB0396 2.50% 5/1/2051 <sup>(a)</sup>  | 764 | 651 |
| Fannie Mae Pool #FM7408 2.50% 5/1/2051 <sup>(a)</sup>  | 176 | 150 |
| Fannie Mae Pool #FM8114 2.00% 6/1/2051 <sup>(a)</sup>  | 20833 | 16974 |
| Fannie Mae Pool #CB0844 2.50% 6/1/2051 <sup>(a)</sup>  | 742 | 632 |
| Fannie Mae Pool #FM7687 3.00% 6/1/2051 <sup>(a)</sup>  | 2319 | 2105 |
| Fannie Mae Pool #CB1186 2.00% 7/1/2051 <sup>(a)</sup>  | 19185 | 15721 |
| Fannie Mae Pool #MA4378 2.00% 7/1/2051 <sup>(a)</sup>  | 150 | 123 |
| Fannie Mae Pool #BR2095 2.50% 7/1/2051 <sup>(a)</sup>  | 16574 | 14221 |
| Fannie Mae Pool #FM9530 2.50% 7/1/2051 <sup>(a)</sup>  | 2340 | 1993 |
| Fannie Mae Pool #FM7900 2.50% 7/1/2051 <sup>(a)</sup>  | 1802 | 1569 |
| Fannie Mae Pool #CB1134 2.50% 7/1/2051 <sup>(a)</sup>  | 947 | 807 |
| Fannie Mae Pool #BT1288 2.50% 7/1/2051 <sup>(a)</sup>  | 440 | 375 |
| Fannie Mae Pool #BT1314 2.50% 7/1/2051 <sup>(a)</sup>  | 222 | 189 |
| Fannie Mae Pool #CB1394 2.50% 8/1/2051 <sup>(a)</sup>  | 15881 | 13529 |
| Fannie Mae Pool #FM8422 2.50% 8/1/2051 <sup>(a)</sup>  | 1856 | 1584 |
| Fannie Mae Pool #CB1408 3.00% 8/1/2051 <sup>(a)</sup>  | 652 | 582 |
| Fannie Mae Pool #CB1304 3.00% 8/1/2051 <sup>(a)</sup>  | 270 | 242 |
| Fannie Mae Pool #CB1527 2.50% 9/1/2051 <sup>(a)</sup>  | 6670 | 5732 |
| Fannie Mae Pool #FM8827 2.00% 10/1/2051 <sup>(a)</sup>  | 100 | 81 |
| Fannie Mae Pool #FS5125 2.50% 10/1/2051 <sup>(a)</sup>  | 28617 | 24379 |
| Fannie Mae Pool #FM9086 2.50% 10/1/2051 <sup>(a)</sup>  | 155 | 132 |
| Fannie Mae Pool #MA4465 2.00% 11/1/2051 <sup>(a)</sup>  | 3522 | 2887 |
| Fannie Mae Pool #FS0965 2.00% 11/1/2051 <sup>(a)</sup>  | 487 | 399 |
| Fannie Mae Pool #FM9492 2.50% 11/1/2051 <sup>(a)</sup>  | 11506 | 10010 |
| Fannie Mae Pool #FM9694 2.50% 11/1/2051 <sup>(a)</sup>  | 5408 | 4722 |
| Fannie Mae Pool #CB2092 2.50% 11/1/2051 <sup>(a)</sup>  | 1872 | 1594 |
| Fannie Mae Pool #BT6033 2.50% 11/1/2051 <sup>(a)</sup>  | 671 | 572 |
| Fannie Mae Pool #CB2292 3.00% 11/1/2051 <sup>(a)</sup>  | 16135 | 14602 |
| Fannie Mae Pool #FM9632 3.00% 11/1/2051 <sup>(a)</sup>  | 11876 | 10705 |
| Fannie Mae Pool #FM9631 3.00% 11/1/2051 <sup>(a)</sup>  | 5175 | 4681 |
| Fannie Mae Pool #CB2096 3.00% 11/1/2051 <sup>(a)</sup>  | 984 | 876 |
| Fannie Mae Pool #FM9350 3.00% 11/1/2051 <sup>(a)</sup>  | 778 | 693 |
| Fannie Mae Pool #MA4492 2.00% 12/1/2051 <sup>(a)</sup>  | 1576 | 1292 |
| Fannie Mae Pool #FS0433 2.50% 12/1/2051 <sup>(a)</sup>  | 33919 | 29815 |
| Fannie Mae Pool #FM9672 2.50% 12/1/2051 <sup>(a)</sup>  | 15960 | 13616 |
| Fannie Mae Pool #CB2286 2.50% 12/1/2051 <sup>(a)</sup>  | 12005 | 10382 |
| Fannie Mae Pool #FM9804 2.50% 12/1/2051 <sup>(a)</sup>  | 5939 | 5177 |
| Fannie Mae Pool #CB2319 2.50% 12/1/2051 <sup>(a)</sup>  | 2560 | 2219 |
| Fannie Mae Pool #FS2824 2.50% 12/1/2051 <sup>(a)</sup>  | 2569 | 2188 |
| Fannie Mae Pool #CB2372 2.50% 12/1/2051 <sup>(a)</sup>  | 1237 | 1071 |
| Fannie Mae Pool #BT9510 2.50% 12/1/2051 <sup>(a)</sup>  | 962 | 835 |
| Fannie Mae Pool #BT9483 2.50% 12/1/2051 <sup>(a)</sup>  | 962 | 834 |
| Fannie Mae Pool #FM9905 2.50% 12/1/2051 <sup>(a)</sup>  | 723 | 617 |
| Fannie Mae Pool #CB2414 3.00% 12/1/2051 <sup>(a)</sup>  | 34752 | 31487 |
| Fannie Mae Pool #FM9976 3.00% 12/1/2051 <sup>(a)</sup>  | 7983 | 7276 |
| Fannie Mae Pool #BU3024 3.00% 12/1/2051 <sup>(a)</sup>  | 2824 | 2514 |
| Fannie Mae Pool #CB2293 3.00% 12/1/2051 <sup>(a)</sup>  | 1512 | 1367 |
| Fannie Mae Pool #BU1450 2.00% 1/1/2052 <sup>(a)</sup>  | 2652 | 2168 |
| Fannie Mae Pool #FS0490 2.00% 1/1/2052 <sup>(a)</sup>  | 49 | 40 |
| Fannie Mae Pool #BQ7059 2.00% 1/1/2052 <sup>(a)</sup>  | 32 | 26 |

---

U.S. Government Securities Fund — Page 4 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #FS0235 2.50% 1/1/2052 <sup>(a)</sup>  | USD5,975 | $5090 |
| Fannie Mae Pool #FS0392 2.50% 1/1/2052 <sup>(a)</sup>  | 2222 | 1893 |
| Fannie Mae Pool #FS3549 2.50% 1/1/2052 <sup>(a)</sup>  | 217 | 186 |
| Fannie Mae Pool #FS0502 2.50% 1/1/2052 <sup>(a)</sup>  | 186 | 158 |
| Fannie Mae Pool #BU1430 2.50% 1/1/2052 <sup>(a)</sup>  | 179 | 153 |
| Fannie Mae Pool #FS0174 2.50% 1/1/2052 <sup>(a)</sup>  | 176 | 150 |
| Fannie Mae Pool #FS0369 2.50% 1/1/2052 <sup>(a)</sup>  | 24 | 20 |
| Fannie Mae Pool #FS5613 2.50% 1/1/2052 <sup>(a)</sup>  | 24 | 20 |
| Fannie Mae Pool #CB2544 3.00% 1/1/2052 <sup>(a)</sup>  | 16950 | 15265 |
| Fannie Mae Pool #BU9641 3.00% 1/1/2052 <sup>(a)</sup>  | 297 | 265 |
| Fannie Mae Pool #CB2667 3.00% 1/1/2052 <sup>(a)</sup>  | 44 | 39 |
| Fannie Mae Pool #MA4547 2.00% 2/1/2052 <sup>(a)</sup>  | 6985 | 5721 |
| Fannie Mae Pool #CB2765 2.00% 2/1/2052 <sup>(a)</sup>  | 6542 | 5372 |
| Fannie Mae Pool #BV3076 2.00% 2/1/2052 <sup>(a)</sup>  | 4470 | 3652 |
| Fannie Mae Pool #BT2177 2.00% 2/1/2052 <sup>(a)</sup>  | 2034 | 1663 |
| Fannie Mae Pool #FS0523 2.50% 2/1/2052 <sup>(a)</sup>  | 1931 | 1669 |
| Fannie Mae Pool #FS0546 2.50% 2/1/2052 <sup>(a)</sup>  | 1367 | 1164 |
| Fannie Mae Pool #FS1080 2.50% 2/1/2052 <sup>(a)</sup>  | 1270 | 1082 |
| Fannie Mae Pool #BT6607 2.50% 2/1/2052 <sup>(a)</sup>  | 152 | 129 |
| Fannie Mae Pool #BT1892 2.50% 2/1/2052 <sup>(a)</sup>  | 91 | 77 |
| Fannie Mae Pool #FS0647 3.00% 2/1/2052 <sup>(a)</sup>  | 4853 | 4407 |
| Fannie Mae Pool #FS0674 3.00% 2/1/2052 <sup>(a)</sup>  | 691 | 615 |
| Fannie Mae Pool #FS1507 3.00% 2/1/2052 <sup>(a)</sup>  | 116 | 103 |
| Fannie Mae Pool #CB3040 2.00% 3/1/2052 <sup>(a)</sup>  | 16005 | 13074 |
| Fannie Mae Pool #BV4128 2.00% 3/1/2052 <sup>(a)</sup>  | 2290 | 1877 |
| Fannie Mae Pool #BV3101 2.00% 3/1/2052 <sup>(a)</sup>  | 1634 | 1335 |
| Fannie Mae Pool #MA4562 2.00% 3/1/2052 <sup>(a)</sup>  | 1627 | 1332 |
| Fannie Mae Pool #FS1742 2.00% 3/1/2052 <sup>(a)</sup>  | 1598 | 1308 |
| Fannie Mae Pool #BT2052 2.00% 3/1/2052 <sup>(a)</sup>  | 110 | 89 |
| Fannie Mae Pool #FS1978 2.50% 3/1/2052 <sup>(a)</sup>  | 13193 | 11239 |
| Fannie Mae Pool #BV7761 2.50% 3/1/2052 <sup>(a)</sup>  | 431 | 369 |
| Fannie Mae Pool #CB3050 2.50% 3/1/2052 <sup>(a)</sup>  | 154 | 132 |
| Fannie Mae Pool #BV4199 3.00% 3/1/2052 <sup>(a)</sup>  | 13334 | 11869 |
| Fannie Mae Pool #BV4201 3.00% 3/1/2052 <sup>(a)</sup>  | 5957 | 5304 |
| Fannie Mae Pool #FS5083 3.00% 3/1/2052 <sup>(a)</sup>  | 985 | 881 |
| Fannie Mae Pool #CB3140 4.00% 3/1/2052 <sup>(a)</sup>  | 721 | 691 |
| Fannie Mae Pool #MA4577 2.00% 4/1/2052 <sup>(a)</sup>  | 20136 | 16471 |
| Fannie Mae Pool #FS7498 2.00% 4/1/2052 <sup>(a)</sup>  | 7178 | 5874 |
| Fannie Mae Pool #CB3353 2.50% 4/1/2052 <sup>(a)</sup>  | 749 | 639 |
| Fannie Mae Pool #FS4712 2.50% 4/1/2052 <sup>(a)</sup>  | 228 | 194 |
| Fannie Mae Pool #BV6683 3.50% 4/1/2052 <sup>(a)</sup>  | 689 | 638 |
| Fannie Mae Pool #CB3379 4.00% 4/1/2052 <sup>(a)</sup>  | 1178 | 1130 |
| Fannie Mae Pool #FS9189 2.00% 5/1/2052 <sup>(a)</sup>  | 2749 | 2251 |
| Fannie Mae Pool #FS4815 3.00% 5/1/2052 <sup>(a)</sup>  | 1443 | 1283 |
| Fannie Mae Pool #BV5578 3.00% 5/1/2052 <sup>(a)</sup>  | 768 | 684 |
| Fannie Mae Pool #CB3496 3.00% 5/1/2052 <sup>(a)</sup>  | 22 | 19 |
| Fannie Mae Pool #CB3780 3.50% 5/1/2052 <sup>(a)</sup>  | 998 | 924 |
| Fannie Mae Pool #FS7329 2.00% 6/1/2052 <sup>(a)</sup>  | 1209 | 988 |
| Fannie Mae Pool #FS6788 3.00% 6/1/2052 <sup>(a)</sup>  | 8703 | 7748 |
| Fannie Mae Pool #FS3546 3.50% 6/1/2052 <sup>(a)</sup>  | 673 | 624 |
| Fannie Mae Pool #MA4625 3.50% 6/1/2052 <sup>(a)</sup>  | 25 | 23 |
| Fannie Mae Pool #CB3774 4.00% 6/1/2052 <sup>(a)</sup>  | 30185 | 28943 |
| Fannie Mae Pool #MA4626 4.00% 6/1/2052 <sup>(a)</sup>  | 30027 | 28794 |
| Fannie Mae Pool #CB4021 4.00% 6/1/2052 <sup>(a)</sup>  | 2439 | 2340 |

---

U.S. Government Securities Fund — Page 5 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BW3570 4.00% 6/1/2052 <sup>(a)</sup>  | USD395 | $378 |
| Fannie Mae Pool #FS6986 2.00% 7/1/2052 <sup>(a)</sup>  | 2491 | 2035 |
| Fannie Mae Pool #MA4750 2.00% 7/1/2052 <sup>(a)</sup>  | 1385 | 1132 |
| Fannie Mae Pool #FA2839 2.50% 7/1/2052 <sup>(a)</sup>  | 21827 | 18605 |
| Fannie Mae Pool #FS7879 2.50% 7/1/2052 <sup>(a)</sup>  | 3813 | 3248 |
| Fannie Mae Pool #FS3806 2.50% 7/1/2052 <sup>(a)</sup>  | 731 | 624 |
| Fannie Mae Pool #FS6631 2.50% 7/1/2052 <sup>(a)</sup>  | 93 | 79 |
| Fannie Mae Pool #FS7057 2.50% 7/1/2052 <sup>(a)</sup>  | 28 | 24 |
| Fannie Mae Pool #BV7832 3.00% 7/1/2052 <sup>(a)</sup>  | 21 | 19 |
| Fannie Mae Pool #BT7848 3.50% 7/1/2052 <sup>(a)</sup>  | 51 | 47 |
| Fannie Mae Pool #CB4020 4.00% 7/1/2052 <sup>(a)</sup>  | 35 | 34 |
| Fannie Mae Pool #BW6180 4.00% 8/1/2052 <sup>(a)</sup>  | 238 | 228 |
| Fannie Mae Pool #BV8976 5.00% 8/1/2052 <sup>(a)</sup>  | 4112 | 4157 |
| Fannie Mae Pool #FS2805 2.50% 9/1/2052 <sup>(a)</sup>  | 157 | 134 |
| Fannie Mae Pool #FS9324 3.50% 9/1/2052 <sup>(a)</sup>  | 911 | 843 |
| Fannie Mae Pool #BW6230 4.00% 9/1/2052 <sup>(a)</sup>  | 1105 | 1058 |
| Fannie Mae Pool #BV0951 4.00% 9/1/2052 <sup>(a)</sup>  | 912 | 872 |
| Fannie Mae Pool #BW7713 4.00% 9/1/2052 <sup>(a)</sup>  | 522 | 500 |
| Fannie Mae Pool #BW7794 4.00% 9/1/2052 <sup>(a)</sup>  | 438 | 419 |
| Fannie Mae Pool #BW6236 4.00% 9/1/2052 <sup>(a)</sup>  | 299 | 287 |
| Fannie Mae Pool #BW1135 4.00% 9/1/2052 <sup>(a)</sup>  | 60 | 58 |
| Fannie Mae Pool #BW8874 4.00% 9/1/2052 <sup>(a)</sup>  | 53 | 50 |
| Fannie Mae Pool #CB5378 4.00% 9/1/2052 <sup>(a)</sup>  | 38 | 37 |
| Fannie Mae Pool #BW7701 4.00% 9/1/2052 <sup>(a)</sup>  | 34 | 32 |
| Fannie Mae Pool #BW1192 4.50% 9/1/2052 <sup>(a)</sup>  | 7971 | 7888 |
| Fannie Mae Pool #BW8497 4.50% 9/1/2052 <sup>(a)</sup>  | 5596 | 5508 |
| Fannie Mae Pool #BW1258 3.00% 10/1/2052 <sup>(a)</sup>  | 26 | 23 |
| Fannie Mae Pool #BX0391 4.00% 10/1/2052 <sup>(a)</sup>  | 3587 | 3440 |
| Fannie Mae Pool #BW7750 4.00% 10/1/2052 <sup>(a)</sup>  | 2287 | 2187 |
| Fannie Mae Pool #BW8736 4.00% 10/1/2052 <sup>(a)</sup>  | 1067 | 1022 |
| Fannie Mae Pool #BX0506 4.00% 10/1/2052 <sup>(a)</sup>  | 689 | 661 |
| Fannie Mae Pool #FS3393 4.00% 10/1/2052 <sup>(a)</sup>  | 138 | 132 |
| Fannie Mae Pool #BX1202 4.00% 10/1/2052 <sup>(a)</sup>  | 86 | 83 |
| Fannie Mae Pool #CB4958 4.00% 10/1/2052 <sup>(a)</sup>  | 62 | 60 |
| Fannie Mae Pool #CB4819 4.00% 10/1/2052 <sup>(a)</sup>  | 46 | 44 |
| Fannie Mae Pool #BW1289 5.50% 10/1/2052 <sup>(a)</sup>  | 7823 | 7963 |
| Fannie Mae Pool #BW1243 5.50% 10/1/2052 <sup>(a)</sup>  | 7010 | 7137 |
| Fannie Mae Pool #MA4820 6.50% 10/1/2052 <sup>(a)</sup>  | 209 | 218 |
| Fannie Mae Pool #BX0466 4.00% 11/1/2052 <sup>(a)</sup>  | 842 | 808 |
| Fannie Mae Pool #BX1334 4.00% 11/1/2052 <sup>(a)</sup>  | 286 | 274 |
| Fannie Mae Pool #CB6165 4.00% 11/1/2052 <sup>(a)</sup>  | 221 | 211 |
| Fannie Mae Pool #BW1299 4.00% 11/1/2052 <sup>(a)</sup>  | 61 | 58 |
| Fannie Mae Pool #BX3994 4.00% 11/1/2052 <sup>(a)</sup>  | 37 | 35 |
| Fannie Mae Pool #BX5584 4.00% 11/1/2052 <sup>(a)</sup>  | 30 | 29 |
| Fannie Mae Pool #FS5554 4.50% 11/1/2052 <sup>(a)</sup>  | 37850 | 37274 |
| Fannie Mae Pool #MA4805 4.50% 11/1/2052 <sup>(a)</sup>  | 339 | 333 |
| Fannie Mae Pool #FS3526 4.00% 12/1/2052 <sup>(a)</sup>  | 2255 | 2161 |
| Fannie Mae Pool #BW5055 4.00% 12/1/2052 <sup>(a)</sup>  | 2227 | 2132 |
| Fannie Mae Pool #BW6960 4.00% 12/1/2052 <sup>(a)</sup>  | 988 | 946 |
| Fannie Mae Pool #BW1377 4.00% 12/1/2052 <sup>(a)</sup>  | 715 | 685 |
| Fannie Mae Pool #CB5400 4.00% 12/1/2052 <sup>(a)</sup>  | 402 | 385 |
| Fannie Mae Pool #MA4842 5.50% 12/1/2052 <sup>(a)</sup>  | 11191 | 11403 |
| Fannie Mae Pool #BX2476 5.50% 12/1/2052 <sup>(a)</sup>  | 694 | 705 |
| Fannie Mae Pool #CB5778 6.00% 12/1/2052 <sup>(a)</sup>  | 222 | 228 |

---

U.S. Government Securities Fund — Page 6 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BX1070 6.00% 12/1/2052 <sup>(a)</sup>  | USD89 | $91 |
| Fannie Mae Pool #BW5122 4.00% 1/1/2053 <sup>(a)</sup>  | 7511 | 7183 |
| Fannie Mae Pool #BX5662 4.00% 1/1/2053 <sup>(a)</sup>  | 1022 | 977 |
| Fannie Mae Pool #BW5062 4.00% 1/1/2053 <sup>(a)</sup>  | 59 | 56 |
| Fannie Mae Pool #FS5520 4.50% 1/1/2053 <sup>(a)</sup>  | 1714 | 1686 |
| Fannie Mae Pool #BT8034 4.50% 1/1/2053 <sup>(a)</sup>  | 133 | 131 |
| Fannie Mae Pool #MA4894 6.00% 1/1/2053 <sup>(a)</sup>  | 28712 | 29477 |
| Fannie Mae Pool #BX6121 6.00% 1/1/2053 <sup>(a)</sup>  | 10844 | 11245 |
| Fannie Mae Pool #BX5931 6.00% 1/1/2053 <sup>(a)</sup>  | 540 | 556 |
| Fannie Mae Pool #CB5545 6.50% 1/1/2053 <sup>(a)</sup>  | 1799 | 1886 |
| Fannie Mae Pool #MA4916 4.00% 2/1/2053 <sup>(a)</sup>  | 1992 | 1909 |
| Fannie Mae Pool #BY1411 4.00% 2/1/2053 <sup>(a)</sup>  | 365 | 350 |
| Fannie Mae Pool #MA4919 5.50% 2/1/2053 <sup>(a)</sup>  | 14309 | 14519 |
| Fannie Mae Pool #FS3759 6.00% 2/1/2053 <sup>(a)</sup>  | 8358 | 8722 |
| Fannie Mae Pool #MA4920 6.00% 2/1/2053 <sup>(a)</sup>  | 1905 | 1957 |
| Fannie Mae Pool #BX7703 6.50% 2/1/2053 <sup>(a)</sup>  | 3223 | 3351 |
| Fannie Mae Pool #MA4999 3.00% 3/1/2053 <sup>(a)</sup>  | 993 | 884 |
| Fannie Mae Pool #MA4963 3.50% 3/1/2053 <sup>(a)</sup>  | 54 | 50 |
| Fannie Mae Pool #CB5882 4.00% 3/1/2053 <sup>(a)</sup>  | 2673 | 2558 |
| Fannie Mae Pool #BT8069 4.00% 3/1/2053 <sup>(a)</sup>  | 1087 | 1040 |
| Fannie Mae Pool #BW5268 4.00% 3/1/2053 <sup>(a)</sup>  | 864 | 825 |
| Fannie Mae Pool #BW5000 4.00% 3/1/2053 <sup>(a)</sup>  | 618 | 593 |
| Fannie Mae Pool #BX7779 5.50% 3/1/2053 <sup>(a)</sup>  | 5073 | 5170 |
| Fannie Mae Pool #BX9431 5.50% 3/1/2053 <sup>(a)</sup>  | 4814 | 4906 |
| Fannie Mae Pool #FS4152 5.50% 3/1/2053 <sup>(a)</sup>  | 3631 | 3695 |
| Fannie Mae Pool #FS4191 5.50% 3/1/2053 <sup>(a)</sup>  | 415 | 423 |
| Fannie Mae Pool #FS4774 5.50% 3/1/2053 <sup>(a)</sup>  | 362 | 368 |
| Fannie Mae Pool #CB5919 6.00% 3/1/2053 <sup>(a)</sup>  | 9207 | 9464 |
| Fannie Mae Pool #CB5912 6.00% 3/1/2053 <sup>(a)</sup>  | 6871 | 7102 |
| Fannie Mae Pool #BX6803 6.00% 3/1/2053 <sup>(a)</sup>  | 5726 | 5884 |
| Fannie Mae Pool #MA4942 6.00% 3/1/2053 <sup>(a)</sup>  | 1350 | 1390 |
| Fannie Mae Pool #MA5026 3.50% 4/1/2053 <sup>(a)</sup>  | 59 | 55 |
| Fannie Mae Pool #FS4444 4.00% 4/1/2053 <sup>(a)</sup>  | 1802 | 1728 |
| Fannie Mae Pool #BX9358 4.00% 4/1/2053 <sup>(a)</sup>  | 313 | 299 |
| Fannie Mae Pool #MA4979 5.50% 4/1/2053 <sup>(a)</sup>  | 33105 | 33682 |
| Fannie Mae Pool #BX8556 5.50% 4/1/2053 <sup>(a)</sup>  | 6231 | 6337 |
| Fannie Mae Pool #BY0007 5.50% 4/1/2053 <sup>(a)</sup>  | 5438 | 5539 |
| Fannie Mae Pool #BX9116 5.50% 4/1/2053 <sup>(a)</sup>  | 1228 | 1248 |
| Fannie Mae Pool #MA4980 6.00% 4/1/2053 <sup>(a)</sup>  | 9155 | 9428 |
| Fannie Mae Pool #CB6597 6.00% 4/1/2053 <sup>(a)</sup>  | 7167 | 7380 |
| Fannie Mae Pool #CB6106 6.50% 4/1/2053 <sup>(a)</sup>  | 4283 | 4514 |
| Fannie Mae Pool #FS4919 2.50% 5/1/2053 <sup>(a)</sup>  | 202 | 173 |
| Fannie Mae Pool #FS5335 4.00% 5/1/2053 <sup>(a)</sup>  | 815 | 782 |
| Fannie Mae Pool #CB6985 4.00% 5/1/2053 <sup>(a)</sup>  | 71 | 69 |
| Fannie Mae Pool #MA5027 4.00% 5/1/2053 <sup>(a)</sup>  | 48 | 46 |
| Fannie Mae Pool #MA5009 5.00% 5/1/2053 <sup>(a)</sup>  | 12328 | 12363 |
| Fannie Mae Pool #FS4563 5.00% 5/1/2053 <sup>(a)</sup>  | 4180 | 4205 |
| Fannie Mae Pool #MA5010 5.50% 5/1/2053 <sup>(a)</sup>  | 9705 | 9872 |
| Fannie Mae Pool #BY0204 5.50% 5/1/2053 <sup>(a)</sup>  | 5262 | 5397 |
| Fannie Mae Pool #BY0091 5.50% 5/1/2053 <sup>(a)</sup>  | 1458 | 1483 |
| Fannie Mae Pool #FS4840 5.50% 5/1/2053 <sup>(a)</sup>  | 265 | 269 |
| Fannie Mae Pool #BY0849 5.50% 5/1/2053 <sup>(a)</sup>  | 55 | 56 |
| Fannie Mae Pool #MA5011 6.00% 5/1/2053 <sup>(a)</sup>  | 117392 | 120927 |
| Fannie Mae Pool #BY2260 6.00% 5/1/2053 <sup>(a)</sup>  | 313 | 321 |

---

U.S. Government Securities Fund — Page 7 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #BY2061 6.00% 5/1/2053 <sup>(a)</sup>  | USD288 | $296 |
| Fannie Mae Pool #FS4736 6.50% 5/1/2053 <sup>(a)</sup>  | 7483 | 7783 |
| Fannie Mae Pool #FS6257 4.00% 6/1/2053 <sup>(a)</sup>  | 246 | 236 |
| Fannie Mae Pool #CB6455 4.00% 6/1/2053 <sup>(a)</sup>  | 70 | 67 |
| Fannie Mae Pool #CB6471 4.50% 6/1/2053 <sup>(a)</sup>  | 3139 | 3085 |
| Fannie Mae Pool #MA5038 5.00% 6/1/2053 <sup>(a)</sup>  | 165 | 166 |
| Fannie Mae Pool #MA5039 5.50% 6/1/2053 <sup>(a)</sup>  | 45710 | 46473 |
| Fannie Mae Pool #FS5192 5.50% 6/1/2053 <sup>(a)</sup>  | 18538 | 18809 |
| Fannie Mae Pool #MA5040 6.00% 6/1/2053 <sup>(a)</sup>  | 52269 | 53684 |
| Fannie Mae Pool #CB6485 6.00% 6/1/2053 <sup>(a)</sup>  | 35119 | 36092 |
| Fannie Mae Pool #CB6486 6.00% 6/1/2053 <sup>(a)</sup>  | 21838 | 22461 |
| Fannie Mae Pool #CB6465 6.00% 6/1/2053 <sup>(a)</sup>  | 16236 | 16782 |
| Fannie Mae Pool #FS4775 6.00% 6/1/2053 <sup>(a)</sup>  | 5613 | 5767 |
| Fannie Mae Pool #BY4224 6.00% 6/1/2053 <sup>(a)</sup>  | 1041 | 1077 |
| Fannie Mae Pool #BW5303 6.00% 6/1/2053 <sup>(a)</sup>  | 129 | 132 |
| Fannie Mae Pool #CB6491 6.50% 6/1/2053 <sup>(a)</sup>  | 23406 | 24467 |
| Fannie Mae Pool #CB6490 6.50% 6/1/2053 <sup>(a)</sup>  | 8494 | 8831 |
| Fannie Mae Pool #CB6468 6.50% 6/1/2053 <sup>(a)</sup>  | 6502 | 6793 |
| Fannie Mae Pool #FS7823 2.00% 7/1/2053 <sup>(a)</sup>  | 5453 | 4462 |
| Fannie Mae Pool #MA5131 3.50% 7/1/2053 <sup>(a)</sup>  | 45 | 41 |
| Fannie Mae Pool #MA5089 4.00% 7/1/2053 <sup>(a)</sup>  | 8708 | 8316 |
| Fannie Mae Pool #FS6638 4.00% 7/1/2053 <sup>(a)</sup>  | 236 | 227 |
| Fannie Mae Pool #CB6719 4.50% 7/1/2053 <sup>(a)</sup>  | 3781 | 3710 |
| Fannie Mae Pool #MA5071 5.00% 7/1/2053 <sup>(a)</sup>  | 2151 | 2157 |
| Fannie Mae Pool #MA5072 5.50% 7/1/2053 <sup>(a)</sup>  | 82510 | 83891 |
| Fannie Mae Pool #FS5343 6.00% 7/1/2053 <sup>(a)</sup>  | 3495 | 3596 |
| Fannie Mae Pool #FS5517 6.00% 7/1/2053 <sup>(a)</sup>  | 2807 | 2914 |
| Fannie Mae Pool #MA5073 6.00% 7/1/2053 <sup>(a)</sup>  | 341 | 350 |
| Fannie Mae Pool #CB6766 6.50% 7/1/2053 <sup>(a)</sup>  | 9669 | 10152 |
| Fannie Mae Pool #CB6853 4.50% 8/1/2053 <sup>(a)</sup>  | 5935 | 5824 |
| Fannie Mae Pool #MA5107 5.50% 8/1/2053 <sup>(a)</sup>  | 87 | 88 |
| Fannie Mae Pool #BY8355 6.00% 8/1/2053 <sup>(a)</sup>  | 7252 | 7442 |
| Fannie Mae Pool #BY8293 6.00% 8/1/2053 <sup>(a)</sup>  | 1325 | 1360 |
| Fannie Mae Pool #CB7122 6.00% 9/1/2053 <sup>(a)</sup>  | 28904 | 29712 |
| Fannie Mae Pool #MA5139 6.00% 9/1/2053 <sup>(a)</sup>  | 854 | 878 |
| Fannie Mae Pool #DA0030 6.50% 9/1/2053 <sup>(a)</sup>  | 118 | 124 |
| Fannie Mae Pool #CB7316 4.00% 10/1/2053 <sup>(a)</sup>  | 72 | 69 |
| Fannie Mae Pool #MA5166 6.00% 10/1/2053 <sup>(a)</sup>  | 8235 | 8455 |
| Fannie Mae Pool #CB7341 6.00% 10/1/2053 <sup>(a)</sup>  | 3894 | 4036 |
| Fannie Mae Pool #CB7242 6.50% 10/1/2053 <sup>(a)</sup>  | 7588 | 7888 |
| Fannie Mae Pool #MA5167 6.50% 10/1/2053 <sup>(a)</sup>  | 1737 | 1803 |
| Fannie Mae Pool #DA3541 6.50% 10/1/2053 <sup>(a)</sup>  | 665 | 698 |
| Fannie Mae Pool #MA5207 4.00% 11/1/2053 <sup>(a)</sup>  | 9118 | 8725 |
| Fannie Mae Pool #BY1418 4.00% 11/1/2053 <sup>(a)</sup>  | 79 | 75 |
| Fannie Mae Pool #FS7252 5.00% 11/1/2053 <sup>(a)</sup>  | 23423 | 23483 |
| Fannie Mae Pool #MA5190 5.50% 11/1/2053 <sup>(a)</sup>  | 3173 | 3224 |
| Fannie Mae Pool #FS6838 5.50% 11/1/2053 <sup>(a)</sup>  | 986 | 1002 |
| Fannie Mae Pool #CB7438 6.00% 11/1/2053 <sup>(a)</sup>  | 30836 | 31706 |
| Fannie Mae Pool #CB7480 6.00% 11/1/2053 <sup>(a)</sup>  | 21268 | 21864 |
| Fannie Mae Pool #MA5191 6.00% 11/1/2053 <sup>(a)</sup>  | 6022 | 6185 |
| Fannie Mae Pool #CB7510 6.50% 11/1/2053 <sup>(a)</sup>  | 7898 | 8281 |
| Fannie Mae Pool #CB7426 6.50% 11/1/2053 <sup>(a)</sup>  | 3579 | 3726 |
| Fannie Mae Pool #DA5064 6.50% 11/1/2053 <sup>(a)</sup>  | 655 | 692 |
| Fannie Mae Pool #MA5192 6.50% 11/1/2053 <sup>(a)</sup>  | 183 | 190 |

---

U.S. Government Securities Fund — Page 8 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #FS6601 3.50% 12/1/2053 <sup>(a)</sup>  | USD928 | $860 |
| Fannie Mae Pool #MA5215 5.50% 12/1/2053 <sup>(a)</sup>  | 2288 | 2325 |
| Fannie Mae Pool #FS6668 5.50% 12/1/2053 <sup>(a)</sup>  | 236 | 240 |
| Fannie Mae Pool #MA5216 6.00% 12/1/2053 <sup>(a)</sup>  | 7382 | 7579 |
| Fannie Mae Pool #CB7617 6.00% 12/1/2053 <sup>(a)</sup>  | 4680 | 4811 |
| Fannie Mae Pool #CB7624 6.50% 12/1/2053 <sup>(a)</sup>  | 134637 | 139987 |
| Fannie Mae Pool #CB7626 6.50% 12/1/2053 <sup>(a)</sup>  | 3339 | 3504 |
| Fannie Mae Pool #CB7862 6.00% 1/1/2054 <sup>(a)</sup>  | 17936 | 18438 |
| Fannie Mae Pool #MA5247 6.00% 1/1/2054 <sup>(a)</sup>  | 11864 | 12170 |
| Fannie Mae Pool #FS6873 6.50% 1/1/2054 <sup>(a)</sup>  | 18179 | 18870 |
| Fannie Mae Pool #FS6767 6.50% 1/1/2054 <sup>(a)</sup>  | 15905 | 16650 |
| Fannie Mae Pool #FS6763 6.50% 1/1/2054 <sup>(a)</sup>  | 961 | 1008 |
| Fannie Mae Pool #FS6809 5.50% 2/1/2054 <sup>(a)</sup>  | 724 | 735 |
| Fannie Mae Pool #CB8003 6.00% 2/1/2054 <sup>(a)</sup>  | 55864 | 57441 |
| Fannie Mae Pool #CB7932 6.00% 2/1/2054 <sup>(a)</sup>  | 24876 | 25580 |
| Fannie Mae Pool #FS7031 6.00% 2/1/2054 <sup>(a)</sup>  | 6557 | 6778 |
| Fannie Mae Pool #FS7503 6.00% 2/1/2054 <sup>(a)</sup>  | 785 | 805 |
| Fannie Mae Pool #CB7933 6.50% 2/1/2054 <sup>(a)</sup>  | 18958 | 19662 |
| Fannie Mae Pool #FS7162 6.50% 2/1/2054 <sup>(a)</sup>  | 3874 | 4062 |
| Fannie Mae Pool #FS9508 4.50% 3/1/2054 <sup>(a)</sup>  | 18341 | 18020 |
| Fannie Mae Pool #CB8143 5.50% 3/1/2054 <sup>(a)</sup>  | 15502 | 15823 |
| Fannie Mae Pool #CB8148 5.50% 3/1/2054 <sup>(a)</sup>  | 10453 | 10642 |
| Fannie Mae Pool #MA5296 5.50% 3/1/2054 <sup>(a)</sup>  | 6072 | 6161 |
| Fannie Mae Pool #CB8168 6.00% 3/1/2054 <sup>(a)</sup>  | 25526 | 26229 |
| Fannie Mae Pool #CB8153 6.00% 3/1/2054 <sup>(a)</sup>  | 24189 | 25111 |
| Fannie Mae Pool #CB8163 6.00% 3/1/2054 <sup>(a)</sup>  | 7252 | 7470 |
| Fannie Mae Pool #CB8226 6.50% 3/1/2054 <sup>(a)</sup>  | 29372 | 30599 |
| Fannie Mae Pool #FS7653 6.50% 3/1/2054 <sup>(a)</sup>  | 3035 | 3182 |
| Fannie Mae Pool #CB8328 5.50% 4/1/2054 <sup>(a)</sup>  | 30630 | 31264 |
| Fannie Mae Pool #CB8337 5.50% 4/1/2054 <sup>(a)</sup>  | 6727 | 6834 |
| Fannie Mae Pool #CB8387 6.50% 4/1/2054 <sup>(a)</sup>  | 16169 | 16899 |
| Fannie Mae Pool #DB2495 6.00% 5/1/2054 <sup>(a)</sup>  | 1228 | 1260 |
| Fannie Mae Pool #CB8507 6.50% 5/1/2054 <sup>(a)</sup>  | 20353 | 21367 |
| Fannie Mae Pool #MA5388 5.50% 6/1/2054 <sup>(a)</sup>  | 16347 | 16584 |
| Fannie Mae Pool #FS8153 6.00% 6/1/2054 <sup>(a)</sup>  | 4088 | 4238 |
| Fannie Mae Pool #FS8223 6.00% 6/1/2054 <sup>(a)</sup>  | 2792 | 2869 |
| Fannie Mae Pool #FS8219 6.00% 6/1/2054 <sup>(a)</sup>  | 2290 | 2368 |
| Fannie Mae Pool #CB8755 6.00% 6/1/2054 <sup>(a)</sup>  | 2151 | 2213 |
| Fannie Mae Pool #DB6878 6.00% 6/1/2054 <sup>(a)</sup>  | 886 | 909 |
| Fannie Mae Pool #FP0128 6.50% 6/1/2054 <sup>(a)</sup>  | 12479 | 12938 |
| Fannie Mae Pool #CB8725 6.50% 6/1/2054 <sup>(a)</sup>  | 2502 | 2596 |
| Fannie Mae Pool #DB5480 6.50% 6/1/2054 <sup>(a)</sup>  | 2294 | 2381 |
| Fannie Mae Pool #BU4699 5.50% 7/1/2054 <sup>(a)</sup>  | 2704 | 2753 |
| Fannie Mae Pool #DB5213 5.50% 7/1/2054 <sup>(a)</sup>  | 1633 | 1656 |
| Fannie Mae Pool #MA5421 6.00% 7/1/2054 <sup>(a)</sup>  | 18348 | 18786 |
| Fannie Mae Pool #FS8591 6.00% 7/1/2054 <sup>(a)</sup>  | 8005 | 8292 |
| Fannie Mae Pool #CB8858 6.00% 7/1/2054 <sup>(a)</sup>  | 8010 | 8261 |
| Fannie Mae Pool #FS8318 6.00% 7/1/2054 <sup>(a)</sup>  | 5854 | 6077 |
| Fannie Mae Pool #BU4700 6.00% 7/1/2054 <sup>(a)</sup>  | 5068 | 5215 |
| Fannie Mae Pool #DB5214 6.00% 7/1/2054 <sup>(a)</sup>  | 2869 | 2939 |
| Fannie Mae Pool #DB7039 6.00% 7/1/2054 <sup>(a)</sup>  | 1975 | 2034 |
| Fannie Mae Pool #BU4707 6.00% 7/1/2054 <sup>(a)</sup>  | 1166 | 1195 |
| Fannie Mae Pool #DB6901 6.00% 7/1/2054 <sup>(a)</sup>  | 550 | 564 |
| Fannie Mae Pool #BU4791 6.00% 7/1/2054 <sup>(a)</sup>  | 345 | 353 |

---

U.S. Government Securities Fund — Page 9 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #FS8588 6.50% 7/1/2054 <sup>(a)</sup>  | USD36,519 | $38278 |
| Fannie Mae Pool #FS8619 6.50% 7/1/2054 <sup>(a)</sup>  | 25984 | 27260 |
| Fannie Mae Pool #FS8607 6.50% 7/1/2054 <sup>(a)</sup>  | 6184 | 6488 |
| Fannie Mae Pool #CB8872 6.50% 7/1/2054 <sup>(a)</sup>  | 3740 | 3895 |
| Fannie Mae Pool #CB8876 6.50% 7/1/2054 <sup>(a)</sup>  | 2550 | 2655 |
| Fannie Mae Pool #FS8786 6.50% 7/1/2054 <sup>(a)</sup>  | 2135 | 2229 |
| Fannie Mae Pool #FS8317 6.50% 7/1/2054 <sup>(a)</sup>  | 991 | 1039 |
| Fannie Mae Pool #FS8757 6.00% 8/1/2054 <sup>(a)</sup>  | 5220 | 5407 |
| Fannie Mae Pool #MA5445 6.00% 8/1/2054 <sup>(a)</sup>  | 4993 | 5116 |
| Fannie Mae Pool #DC0299 6.00% 8/1/2054 <sup>(a)</sup>  | 4944 | 5074 |
| Fannie Mae Pool #DB7692 6.00% 8/1/2054 <sup>(a)</sup>  | 4795 | 4929 |
| Fannie Mae Pool #FS8795 6.00% 8/1/2054 <sup>(a)</sup>  | 2707 | 2774 |
| Fannie Mae Pool #FS8758 6.00% 8/1/2054 <sup>(a)</sup>  | 2683 | 2757 |
| Fannie Mae Pool #BU4916 6.00% 8/1/2054 <sup>(a)</sup>  | 2476 | 2544 |
| Fannie Mae Pool #FS8792 6.00% 8/1/2054 <sup>(a)</sup>  | 2227 | 2291 |
| Fannie Mae Pool #FS8756 6.00% 8/1/2054 <sup>(a)</sup>  | 2150 | 2217 |
| Fannie Mae Pool #DB7687 6.00% 8/1/2054 <sup>(a)</sup>  | 967 | 999 |
| Fannie Mae Pool #DB7690 6.00% 8/1/2054 <sup>(a)</sup>  | 816 | 844 |
| Fannie Mae Pool #DC0296 6.00% 8/1/2054 <sup>(a)</sup>  | 753 | 781 |
| Fannie Mae Pool #DB7792 6.00% 8/1/2054 <sup>(a)</sup>  | 706 | 724 |
| Fannie Mae Pool #BU4968 6.00% 8/1/2054 <sup>(a)</sup>  | 528 | 542 |
| Fannie Mae Pool #FS8934 6.50% 8/1/2054 <sup>(a)</sup>  | 21835 | 22889 |
| Fannie Mae Pool #CB9071 6.50% 8/1/2054 <sup>(a)</sup>  | 12764 | 13316 |
| Fannie Mae Pool #MA5446 6.50% 8/1/2054 <sup>(a)</sup>  | 2130 | 2207 |
| Fannie Mae Pool #FS8762 6.50% 8/1/2054 <sup>(a)</sup>  | 2012 | 2097 |
| Fannie Mae Pool #FS8783 6.50% 8/1/2054 <sup>(a)</sup>  | 385 | 404 |
| Fannie Mae Pool #CB9210 5.50% 9/1/2054 <sup>(a)</sup>  | 14069 | 14282 |
| Fannie Mae Pool #CB9146 5.50% 9/1/2054 <sup>(a)</sup>  | 7951 | 8094 |
| Fannie Mae Pool #FS9001 5.50% 9/1/2054 <sup>(a)</sup>  | 4386 | 4495 |
| Fannie Mae Pool #FS9025 5.50% 9/1/2054 <sup>(a)</sup>  | 3998 | 4085 |
| Fannie Mae Pool #BU4946 5.50% 9/1/2054 <sup>(a)</sup>  | 105 | 106 |
| Fannie Mae Pool #DC2313 5.50% 9/1/2054 <sup>(a)</sup>  | 38 | 39 |
| Fannie Mae Pool #FS8866 6.00% 9/1/2054 <sup>(a)</sup>  | 5146 | 5307 |
| Fannie Mae Pool #BU5048 6.00% 9/1/2054 <sup>(a)</sup>  | 3882 | 4002 |
| Fannie Mae Pool #DC3262 6.00% 9/1/2054 <sup>(a)</sup>  | 1922 | 1970 |
| Fannie Mae Pool #FS9004 6.00% 9/1/2054 <sup>(a)</sup>  | 1146 | 1180 |
| Fannie Mae Pool #DC3459 6.00% 9/1/2054 <sup>(a)</sup>  | 970 | 995 |
| Fannie Mae Pool #DC1873 6.00% 9/1/2054 <sup>(a)</sup>  | 613 | 631 |
| Fannie Mae Pool #MA5472 6.50% 9/1/2054 <sup>(a)</sup>  | 6433 | 6668 |
| Fannie Mae Pool #DC1349 6.50% 9/1/2054 <sup>(a)</sup>  | 5838 | 6057 |
| Fannie Mae Pool #DC2687 4.00% 10/1/2054 <sup>(a)</sup>  | 1647 | 1570 |
| Fannie Mae Pool #DC6519 6.00% 10/1/2054 <sup>(a)</sup>  | 894 | 916 |
| Fannie Mae Pool #MA5498 6.00% 10/1/2054 <sup>(a)</sup>  | 357 | 366 |
| Fannie Mae Pool #BU5049 6.50% 10/1/2054 <sup>(a)</sup>  | 3577 | 3746 |
| Fannie Mae Pool #MA5530 5.00% 11/1/2054 <sup>(a)</sup>  | 14060 | 14050 |
| Fannie Mae Pool #BU5165 5.50% 11/1/2054 <sup>(a)</sup>  | 7788 | 7917 |
| Fannie Mae Pool #MA5531 5.50% 11/1/2054 <sup>(a)</sup>  | 4972 | 5040 |
| Fannie Mae Pool #DC5696 6.00% 11/1/2054 <sup>(a)</sup>  | 28701 | 29449 |
| Fannie Mae Pool #CB9432 6.00% 11/1/2054 <sup>(a)</sup>  | 11457 | 11802 |
| Fannie Mae Pool #MA5552 5.00% 12/1/2054 <sup>(a)</sup>  | 11284 | 11277 |
| Fannie Mae Pool #BU5361 5.00% 12/1/2054 <sup>(a)</sup>  | 6368 | 6382 |
| Fannie Mae Pool #CB9616 5.50% 12/1/2054 <sup>(a)</sup>  | 5008 | 5091 |
| Fannie Mae Pool #BU5234 5.50% 12/1/2054 <sup>(a)</sup>  | 2677 | 2721 |
| Fannie Mae Pool #BU5358 6.00% 12/1/2054 <sup>(a)</sup>  | 3264 | 3358 |

---

U.S. Government Securities Fund — Page 10 of 34

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**unaudited**

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae Pool #FA0287 6.00% 12/1/2054 <sup>(a)</sup>  | USD1,921 | $1969 |
| Fannie Mae Pool #DC7035 6.00% 12/1/2054 <sup>(a)</sup>  | 1385 | 1419 |
| Fannie Mae Pool #DC7823 6.00% 12/1/2054 <sup>(a)</sup>  | 740 | 759 |
| Fannie Mae Pool #FP0130 6.50% 12/1/2054 <sup>(a)</sup>  | 29242 | 30313 |
| Fannie Mae Pool #DC8825 6.50% 12/1/2054 <sup>(a)</sup>  | 530 | 554 |
| Fannie Mae Pool #CB9737 5.00% 1/1/2055 <sup>(a)</sup>  | 12452 | 12478 |
| Fannie Mae Pool #MA5586 5.50% 1/1/2055 <sup>(a)</sup>  | 1183 | 1199 |
| Fannie Mae Pool #CB9821 6.00% 1/1/2055 <sup>(a)</sup>  | 11736 | 12091 |
| Fannie Mae Pool #MA5587 6.00% 1/1/2055 <sup>(a)</sup>  | 9343 | 9573 |
| Fannie Mae Pool #DD0835 6.00% 1/1/2055 <sup>(a)</sup>  | 1284 | 1316 |
| Fannie Mae Pool #DC8604 6.00% 1/1/2055 <sup>(a)</sup>  | 715 | 733 |
| Fannie Mae Pool #MA5612 4.50% 2/1/2055 <sup>(a)</sup>  | 38 | 38 |
| Fannie Mae Pool #FA0608 5.50% 2/1/2055 <sup>(a)</sup>  | 1800 | 1824 |
| Fannie Mae Pool #MA5615 6.00% 2/1/2055 <sup>(a)</sup>  | 12143 | 12441 |
| Fannie Mae Pool #DD0783 6.00% 2/1/2055 <sup>(a)</sup>  | 151 | 154 |
| Fannie Mae Pool #FA0643 6.50% 2/1/2055 <sup>(a)</sup>  | 33751 | 35217 |
| Fannie Mae Pool #MA5646 5.50% 3/1/2055 <sup>(a)</sup>  | 11064 | 11213 |
| Fannie Mae Pool #MA5647 6.00% 3/1/2055 <sup>(a)</sup>  | 4071 | 4171 |
| Fannie Mae Pool #FA2843 6.50% 3/1/2055 <sup>(a)</sup>  | 16248 | 16851 |
| Fannie Mae Pool #MA5649 7.00% 3/1/2055 <sup>(a)</sup>  | 44594 | 46803 |
| Fannie Mae Pool #MA5671 4.50% 4/1/2055 <sup>(a)</sup>  | 1709 | 1674 |
| Fannie Mae Pool #MA5674 6.00% 4/1/2055 <sup>(a)</sup>  | 14979 | 15346 |
| Fannie Mae Pool #FA1162 6.00% 4/1/2055 <sup>(a)</sup>  | 2371 | 2431 |
| Fannie Mae Pool #DD4459 6.00% 4/1/2055 <sup>(a)</sup>  | 1442 | 1477 |
| Fannie Mae Pool #DD8109 6.00% 4/1/2055 <sup>(a)</sup>  | 128 | 132 |
| Fannie Mae Pool #DD6085 6.50% 4/1/2055 <sup>(a)</sup>  | 64 | 67 |
| Fannie Mae Pool #MA5699 5.00% 5/1/2055 <sup>(a)</sup>  | 2770 | 2766 |
| Fannie Mae Pool #MA5701 6.00% 5/1/2055 <sup>(a)</sup>  | 31398 | 32167 |
| Fannie Mae Pool #MA5734 5.00% 6/1/2055 <sup>(a)</sup>  | 1396 | 1394 |
| Fannie Mae Pool #DD7303 5.50% 6/1/2055 <sup>(a)</sup>  | 858 | 870 |
| Fannie Mae Pool #MA5761 6.00% 7/1/2055 <sup>(a)</sup>  | 11786 | 12076 |
| Fannie Mae Pool #DE2192 6.00% 7/1/2055 <sup>(a)</sup>  | 8166 | 8364 |
| Fannie Mae Pool #DD9889 6.00% 7/1/2055 <sup>(a)</sup>  | 78 | 80 |
| Fannie Mae Pool #FA2842 6.50% 7/1/2055 <sup>(a)</sup>  | 66899 | 69401 |
| Fannie Mae Pool #MA5792 5.50% 8/1/2055 <sup>(a)</sup>  | 52424 | 53115 |
| Fannie Mae Pool #CC0859 5.50% 8/1/2055 <sup>(a)</sup>  | 1210 | 1238 |
| Fannie Mae Pool #MA5793 6.00% 8/1/2055 <sup>(a)</sup>  | 20992 | 21501 |
| Fannie Mae Pool #CC0879 6.00% 8/1/2055 <sup>(a)</sup>  | 4808 | 4990 |
| Fannie Mae Pool #FA2203 7.00% 8/1/2055 <sup>(a)</sup>  | 28073 | 29442 |
| Fannie Mae Pool #BF0133 4.00% 8/1/2056 <sup>(a)</sup>  | 11797 | 11279 |
| Fannie Mae Pool #BF0141 5.50% 9/1/2056 <sup>(a)</sup>  | 337 | 348 |
| Fannie Mae Pool #BF0379 3.50% 4/1/2059 <sup>(a)</sup>  | 15271 | 14040 |
| Fannie Mae Pool #BM6693 3.50% 8/1/2059 <sup>(a)</sup>  | 6049 | 5560 |
| Fannie Mae Pool #BF0481 3.50% 6/1/2060 <sup>(a)</sup>  | 9881 | 9083 |
| Fannie Mae Pool #BF0480 3.50% 6/1/2060 <sup>(a)</sup>  | 6348 | 5836 |
| Fannie Mae Pool #BF0497 3.00% 7/1/2060 <sup>(a)</sup>  | 21000 | 18378 |
| Fannie Mae Pool #BF0546 2.50% 7/1/2061 <sup>(a)</sup>  | 17083 | 14184 |
| Fannie Mae Pool #BF0585 4.50% 12/1/2061 <sup>(a)</sup>  | 3991 | 3912 |
| Fannie Mae Pool #BF0762 3.00% 9/1/2063 <sup>(a)</sup>  | 7065 | 6139 |
| Fannie Mae Pool #BF0765 3.50% 9/1/2063 <sup>(a)</sup>  | 5221 | 4754 |
| Fannie Mae Pool #BF0784 3.50% 12/1/2063 <sup>(a)</sup>  | 4282 | 3899 |
| Fannie Mae Pool #BF0786 4.00% 12/1/2063 <sup>(a)</sup>  | 6983 | 6615 |
| Fannie Mae, Series 2001-25, Class ZA, 6.50% 6/25/2031 <sup>(a)</sup>  | 39 | 39 |
| Fannie Mae, Series 2006-65, Class PF, (30-day Average USD-SOFR + 0.394%) 4.466% 7/25/2036 <sup>(a)(c)</sup>  | 166 | 165 |

---

U.S. Government Securities Fund — Page 11 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Fannie Mae, Series 1999-T2, Class A1, 7.50% 1/19/2039 <sup>(a)(c)</sup>  | USD60 | $62 |
| Fannie Mae, Series 2001-T10, Class A1, 7.00% 12/25/2041 <sup>(a)</sup>  | 20 | 21 |
| Fannie Mae, Series 2006-56, Class OG, principal only, 0% 7/25/2036 <sup>(a)</sup>  | 147 | 131 |
| Fannie Mae, Series 2006-83, Class AO, principal only, 0% 9/25/2036 <sup>(a)</sup>  | 212 | 192 |
| Freddie Mac Pool #QS0124 1.50% 11/1/2030 <sup>(a)</sup>  | 219 | 209 |
| Freddie Mac Pool #ZS1044 6.50% 2/1/2036 <sup>(a)</sup>  | 1 | 1 |
| Freddie Mac Pool #ZI5486 6.50% 9/1/2036 <sup>(a)</sup>  | 2 | 2 |
| Freddie Mac Pool #C91909 4.00% 11/1/2036 <sup>(a)</sup>  | 42 | 42 |
| Freddie Mac Pool #1H1354 6.261% 11/1/2036 <sup>(a)(c)</sup>  | 36 | 37 |
| Freddie Mac Pool #SB0649 2.50% 4/1/2037 <sup>(a)</sup>  | 745 | 705 |
| Freddie Mac Pool #SB1452 6.00% 4/1/2040 <sup>(a)</sup>  | 819 | 848 |
| Freddie Mac Pool #SB8386 6.00% 5/1/2040 <sup>(a)</sup>  | 813 | 842 |
| Freddie Mac Pool #RR0004 6.00% 6/1/2040 <sup>(a)</sup>  | 1954 | 2025 |
| Freddie Mac Pool #RR0011 6.00% 7/1/2040 <sup>(a)</sup>  | 1135 | 1176 |
| Freddie Mac Pool #SC0113 2.00% 12/1/2040 <sup>(a)</sup>  | 2176 | 1894 |
| Freddie Mac Pool #G06459 5.00% 5/1/2041 <sup>(a)</sup>  | 830 | 856 |
| Freddie Mac Pool #SC0169 2.00% 6/1/2041 <sup>(a)</sup>  | 3920 | 3465 |
| Freddie Mac Pool #RB5118 2.00% 7/1/2041 <sup>(a)</sup>  | 51956 | 45763 |
| Freddie Mac Pool #RB5121 2.00% 8/1/2041 <sup>(a)</sup>  | 81035 | 71398 |
| Freddie Mac Pool #SC0175 2.00% 9/1/2041 <sup>(a)</sup>  | 7449 | 6589 |
| Freddie Mac Pool #QK1181 2.00% 11/1/2041 <sup>(a)</sup>  | 6018 | 5297 |
| Freddie Mac Pool #RB5138 2.00% 12/1/2041 <sup>(a)</sup>  | 31312 | 27539 |
| Freddie Mac Pool #RB5145 2.00% 2/1/2042 <sup>(a)</sup>  | 7730 | 6775 |
| Freddie Mac Pool #RB5148 2.00% 3/1/2042 <sup>(a)</sup>  | 16659 | 14631 |
| Freddie Mac Pool #RB5154 2.50% 4/1/2042 <sup>(a)</sup>  | 104378 | 93796 |
| Freddie Mac Pool #Q15874 4.00% 2/1/2043 <sup>(a)</sup>  | 21 | 21 |
| Freddie Mac Pool #Q17696 3.50% 4/1/2043 <sup>(a)</sup>  | 208 | 200 |
| Freddie Mac Pool #Q18236 3.50% 5/1/2043 <sup>(a)</sup>  | 279 | 268 |
| Freddie Mac Pool #Q19133 3.50% 6/1/2043 <sup>(a)</sup>  | 215 | 206 |
| Freddie Mac Pool #G61082 3.00% 7/1/2043 <sup>(a)</sup>  | 2586 | 2406 |
| Freddie Mac Pool #Q28558 3.50% 9/1/2044 <sup>(a)</sup>  | 1190 | 1136 |
| Freddie Mac Pool #RB5317 6.50% 10/1/2044 <sup>(a)</sup>  | 745 | 773 |
| Freddie Mac Pool #760012 5.149% 4/1/2045 <sup>(a)(c)</sup>  | 498 | 506 |
| Freddie Mac Pool #760013 5.153% 4/1/2045 <sup>(a)(c)</sup>  | 386 | 390 |
| Freddie Mac Pool #760014 4.64% 8/1/2045 <sup>(a)(c)</sup>  | 533 | 535 |
| Freddie Mac Pool #G60238 3.50% 10/1/2045 <sup>(a)</sup>  | 6291 | 5992 |
| Freddie Mac Pool #Z40130 3.00% 1/1/2046 <sup>(a)</sup>  | 1147 | 1068 |
| Freddie Mac Pool #G60744 3.50% 7/1/2046 <sup>(a)</sup>  | 1074 | 1019 |
| Freddie Mac Pool #G67700 3.50% 8/1/2046 <sup>(a)</sup>  | 2356 | 2236 |
| Freddie Mac Pool #760015 3.901% 1/1/2047 <sup>(a)(c)</sup>  | 1195 | 1174 |
| Freddie Mac Pool #Q47615 3.50% 4/1/2047 <sup>(a)</sup>  | 445 | 416 |
| Freddie Mac Pool #Q51622 3.50% 10/1/2047 <sup>(a)</sup>  | 447 | 417 |
| Freddie Mac Pool #Q52069 3.50% 11/1/2047 <sup>(a)</sup>  | 573 | 540 |
| Freddie Mac Pool #ZT0538 3.50% 3/1/2048 <sup>(a)</sup>  | 913 | 861 |
| Freddie Mac Pool #Q54709 3.50% 3/1/2048 <sup>(a)</sup>  | 389 | 368 |
| Freddie Mac Pool #Q54701 3.50% 3/1/2048 <sup>(a)</sup>  | 386 | 363 |
| Freddie Mac Pool #Q54700 3.50% 3/1/2048 <sup>(a)</sup>  | 317 | 298 |
| Freddie Mac Pool #Q55056 3.50% 3/1/2048 <sup>(a)</sup>  | 291 | 275 |
| Freddie Mac Pool #Q54781 3.50% 3/1/2048 <sup>(a)</sup>  | 269 | 255 |
| Freddie Mac Pool #Q54782 3.50% 3/1/2048 <sup>(a)</sup>  | 190 | 179 |
| Freddie Mac Pool #Q54699 3.50% 3/1/2048 <sup>(a)</sup>  | 162 | 152 |
| Freddie Mac Pool #Q54831 3.50% 3/1/2048 <sup>(a)</sup>  | 111 | 106 |
| Freddie Mac Pool #Q54698 3.50% 3/1/2048 <sup>(a)</sup>  | 104 | 98 |
| Freddie Mac Pool #G67711 4.00% 3/1/2048 <sup>(a)</sup>  | 14788 | 14403 |

---

U.S. Government Securities Fund — Page 12 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #Q55060 3.50% 4/1/2048 <sup>(a)</sup>  | USD93 | $87 |
| Freddie Mac Pool #Q55971 4.00% 5/1/2048 <sup>(a)</sup>  | 378 | 365 |
| Freddie Mac Pool #Q56175 4.00% 5/1/2048 <sup>(a)</sup>  | 300 | 292 |
| Freddie Mac Pool #Q55970 4.00% 5/1/2048 <sup>(a)</sup>  | 171 | 166 |
| Freddie Mac Pool #Q56590 3.50% 6/1/2048 <sup>(a)</sup>  | 207 | 196 |
| Freddie Mac Pool #Q56589 3.50% 6/1/2048 <sup>(a)</sup>  | 122 | 115 |
| Freddie Mac Pool #Q56591 3.50% 6/1/2048 <sup>(a)</sup>  | 90 | 85 |
| Freddie Mac Pool #Q56599 4.00% 6/1/2048 <sup>(a)</sup>  | 596 | 580 |
| Freddie Mac Pool #Q57242 4.50% 7/1/2048 <sup>(a)</sup>  | 264 | 263 |
| Freddie Mac Pool #Q58411 4.50% 9/1/2048 <sup>(a)</sup>  | 1063 | 1061 |
| Freddie Mac Pool #Q58436 4.50% 9/1/2048 <sup>(a)</sup>  | 502 | 500 |
| Freddie Mac Pool #Q58378 4.50% 9/1/2048 <sup>(a)</sup>  | 338 | 336 |
| Freddie Mac Pool #ZN4636 3.00% 10/1/2048 <sup>(a)</sup>  | 7718 | 7027 |
| Freddie Mac Pool #Z40273 4.50% 10/1/2048 <sup>(a)</sup>  | 570 | 569 |
| Freddie Mac Pool #ZA6700 3.50% 4/1/2049 <sup>(a)</sup>  | 4779 | 4487 |
| Freddie Mac Pool #QA0284 3.50% 6/1/2049 <sup>(a)</sup>  | 1218 | 1153 |
| Freddie Mac Pool #SD7502 3.50% 7/1/2049 <sup>(a)</sup>  | 3954 | 3714 |
| Freddie Mac Pool #QA1442 3.50% 8/1/2049 <sup>(a)</sup>  | 2261 | 2132 |
| Freddie Mac Pool #RA1339 3.00% 9/1/2049 <sup>(a)</sup>  | 1362 | 1235 |
| Freddie Mac Pool #QA2748 3.50% 9/1/2049 <sup>(a)</sup>  | 357 | 337 |
| Freddie Mac Pool #RA1580 3.50% 10/1/2049 <sup>(a)</sup>  | 3008 | 2854 |
| Freddie Mac Pool #RA1463 3.50% 10/1/2049 <sup>(a)</sup>  | 2869 | 2721 |
| Freddie Mac Pool #SD7513 3.50% 4/1/2050 <sup>(a)</sup>  | 40647 | 38124 |
| Freddie Mac Pool #QB0758 3.00% 6/1/2050 <sup>(a)</sup>  | 945 | 842 |
| Freddie Mac Pool #RA3384 3.00% 8/1/2050 <sup>(a)</sup>  | 317 | 285 |
| Freddie Mac Pool #RA3528 2.50% 9/1/2050 <sup>(a)</sup>  | 168 | 143 |
| Freddie Mac Pool #SD8106 2.00% 11/1/2050 <sup>(a)</sup>  | 11689 | 9592 |
| Freddie Mac Pool #QB5838 2.50% 11/1/2050 <sup>(a)</sup>  | 160 | 136 |
| Freddie Mac Pool #QB6579 2.00% 12/1/2050 <sup>(a)</sup>  | 4381 | 3569 |
| Freddie Mac Pool #QB7243 2.00% 1/1/2051 <sup>(a)</sup>  | 2867 | 2336 |
| Freddie Mac Pool #SD8128 2.00% 2/1/2051 <sup>(a)</sup>  | 369 | 303 |
| Freddie Mac Pool #SD8134 2.00% 3/1/2051 <sup>(a)</sup>  | 614 | 504 |
| Freddie Mac Pool #RA4982 2.00% 4/1/2051 <sup>(a)</sup>  | 4287 | 3493 |
| Freddie Mac Pool #QC1187 2.50% 4/1/2051 <sup>(a)</sup>  | 17554 | 14976 |
| Freddie Mac Pool #RA5288 2.00% 5/1/2051 <sup>(a)</sup>  | 23370 | 19308 |
| Freddie Mac Pool #RA5155 2.00% 5/1/2051 <sup>(a)</sup>  | 339 | 276 |
| Freddie Mac Pool #RA5259 2.50% 5/1/2051 <sup>(a)</sup>  | 4828 | 4152 |
| Freddie Mac Pool #RA5275 2.50% 5/1/2051 <sup>(a)</sup>  | 675 | 576 |
| Freddie Mac Pool #RA5435 2.50% 6/1/2051 <sup>(a)</sup>  | 710 | 605 |
| Freddie Mac Pool #SI2032 2.50% 6/1/2051 <sup>(a)</sup>  | 219 | 187 |
| Freddie Mac Pool #QC3551 2.50% 7/1/2051 <sup>(a)</sup>  | 3598 | 3081 |
| Freddie Mac Pool #QC4231 2.50% 7/1/2051 <sup>(a)</sup>  | 37 | 32 |
| Freddie Mac Pool #QC4305 3.00% 7/1/2051 <sup>(a)</sup>  | 5677 | 5051 |
| Freddie Mac Pool #SD7544 3.00% 7/1/2051 <sup>(a)</sup>  | 1283 | 1165 |
| Freddie Mac Pool #SD0718 2.50% 8/1/2051 <sup>(a)</sup>  | 957 | 815 |
| Freddie Mac Pool #QC5857 3.00% 8/1/2051 <sup>(a)</sup>  | 9130 | 8122 |
| Freddie Mac Pool #SD7545 2.50% 9/1/2051 <sup>(a)</sup>  | 5286 | 4609 |
| Freddie Mac Pool #QC7739 2.50% 9/1/2051 <sup>(a)</sup>  | 217 | 185 |
| Freddie Mac Pool #QC7486 3.00% 9/1/2051 <sup>(a)</sup>  | 5936 | 5278 |
| Freddie Mac Pool #RA5971 3.00% 9/1/2051 <sup>(a)</sup>  | 1691 | 1531 |
| Freddie Mac Pool #RA5995 2.50% 10/1/2051 <sup>(a)</sup>  | 1366 | 1164 |
| Freddie Mac Pool #RA6136 2.50% 10/1/2051 <sup>(a)</sup>  | 731 | 623 |
| Freddie Mac Pool #QC9123 2.50% 10/1/2051 <sup>(a)</sup>  | 500 | 426 |
| Freddie Mac Pool #QC7814 2.50% 10/1/2051 <sup>(a)</sup>  | 189 | 161 |

---

U.S. Government Securities Fund — Page 13 of 34

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**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #QC9256 2.50% 10/1/2051 <sup>(a)</sup>  | USD182 | $156 |
| Freddie Mac Pool #SD0734 3.00% 10/1/2051 <sup>(a)</sup>  | 436 | 394 |
| Freddie Mac Pool #SD0740 3.50% 10/1/2051 <sup>(a)</sup>  | 998 | 930 |
| Freddie Mac Pool #RA6406 2.00% 11/1/2051 <sup>(a)</sup>  | 4763 | 3904 |
| Freddie Mac Pool #SD1385 2.50% 11/1/2051 <sup>(a)</sup>  | 5027 | 4372 |
| Freddie Mac Pool #SD7548 2.50% 11/1/2051 <sup>(a)</sup>  | 3633 | 3160 |
| Freddie Mac Pool #SD8182 2.00% 12/1/2051 <sup>(a)</sup>  | 787 | 644 |
| Freddie Mac Pool #RA6499 2.00% 12/1/2051 <sup>(a)</sup>  | 44 | 36 |
| Freddie Mac Pool #SD0778 2.50% 12/1/2051 <sup>(a)</sup>  | 365 | 311 |
| Freddie Mac Pool #QD3209 3.00% 12/1/2051 <sup>(a)</sup>  | 7109 | 6324 |
| Freddie Mac Pool #QD3120 3.00% 12/1/2051 <sup>(a)</sup>  | 23 | 21 |
| Freddie Mac Pool #QD7144 2.00% 1/1/2052 <sup>(a)</sup>  | 38 | 31 |
| Freddie Mac Pool #SD2629 2.50% 1/1/2052 <sup>(a)</sup>  | 9635 | 8221 |
| Freddie Mac Pool #SD7552 2.50% 1/1/2052 <sup>(a)</sup>  | 2585 | 2245 |
| Freddie Mac Pool #QD6127 2.50% 1/1/2052 <sup>(a)</sup>  | 1245 | 1061 |
| Freddie Mac Pool #QD5042 3.00% 1/1/2052 <sup>(a)</sup>  | 14641 | 13041 |
| Freddie Mac Pool #QD5189 3.00% 1/1/2052 <sup>(a)</sup>  | 2941 | 2615 |
| Freddie Mac Pool #SD0813 3.00% 1/1/2052 <sup>(a)</sup>  | 815 | 736 |
| Freddie Mac Pool #QD3812 3.00% 1/1/2052 <sup>(a)</sup>  | 530 | 472 |
| Freddie Mac Pool #RA6816 2.00% 2/1/2052 <sup>(a)</sup>  | 1464 | 1193 |
| Freddie Mac Pool #RA6913 2.00% 2/1/2052 <sup>(a)</sup>  | 406 | 332 |
| Freddie Mac Pool #RA6114 2.00% 2/1/2052 <sup>(a)</sup>  | 378 | 309 |
| Freddie Mac Pool #QD6951 2.00% 2/1/2052 <sup>(a)</sup>  | 33 | 27 |
| Freddie Mac Pool #QD6848 2.50% 2/1/2052 <sup>(a)</sup>  | 189 | 161 |
| Freddie Mac Pool #QE0849 2.50% 2/1/2052 <sup>(a)</sup>  | 173 | 147 |
| Freddie Mac Pool #SD2962 2.50% 2/1/2052 <sup>(a)</sup>  | 49 | 42 |
| Freddie Mac Pool #RA6806 3.00% 2/1/2052 <sup>(a)</sup>  | 987 | 877 |
| Freddie Mac Pool #SD0873 3.50% 2/1/2052 <sup>(a)</sup>  | 18290 | 17237 |
| Freddie Mac Pool #QD7089 3.50% 2/1/2052 <sup>(a)</sup>  | 1738 | 1621 |
| Freddie Mac Pool #SD8199 2.00% 3/1/2052 <sup>(a)</sup>  | 49267 | 40352 |
| Freddie Mac Pool #RA6973 2.00% 3/1/2052 <sup>(a)</sup>  | 8885 | 7264 |
| Freddie Mac Pool #SD5343 2.00% 3/1/2052 <sup>(a)</sup>  | 1779 | 1455 |
| Freddie Mac Pool #QD8820 2.00% 3/1/2052 <sup>(a)</sup>  | 251 | 205 |
| Freddie Mac Pool #SD1450 2.50% 3/1/2052 <sup>(a)</sup>  | 2056 | 1787 |
| Freddie Mac Pool #QD9973 2.50% 3/1/2052 <sup>(a)</sup>  | 721 | 614 |
| Freddie Mac Pool #QD8807 2.50% 3/1/2052 <sup>(a)</sup>  | 220 | 188 |
| Freddie Mac Pool #SD3226 2.50% 3/1/2052 <sup>(a)</sup>  | 211 | 180 |
| Freddie Mac Pool #SD7553 3.00% 3/1/2052 <sup>(a)</sup>  | 14370 | 12990 |
| Freddie Mac Pool #QD8689 3.50% 3/1/2052 <sup>(a)</sup>  | 2872 | 2660 |
| Freddie Mac Pool #SD2494 3.50% 3/1/2052 <sup>(a)</sup>  | 1980 | 1833 |
| Freddie Mac Pool #SD8204 2.00% 4/1/2052 <sup>(a)</sup>  | 1638 | 1341 |
| Freddie Mac Pool #SD3478 2.50% 4/1/2052 <sup>(a)</sup>  | 3695 | 3148 |
| Freddie Mac Pool #SD7554 2.50% 4/1/2052 <sup>(a)</sup>  | 1164 | 1012 |
| Freddie Mac Pool #QD9868 3.50% 4/1/2052 <sup>(a)</sup>  | 24 | 22 |
| Freddie Mac Pool #SL0316 2.00% 5/1/2052 <sup>(a)</sup>  | 9967 | 8155 |
| Freddie Mac Pool #8D0226 2.545% 5/1/2052 <sup>(a)(c)</sup>  | 5372 | 4994 |
| Freddie Mac Pool #SD8213 3.00% 5/1/2052 <sup>(a)</sup>  | 56427 | 50349 |
| Freddie Mac Pool #QE4101 3.50% 5/1/2052 <sup>(a)</sup>  | 47 | 43 |
| Freddie Mac Pool #QE2358 3.50% 5/1/2052 <sup>(a)</sup>  | 40 | 37 |
| Freddie Mac Pool #QE1719 4.00% 5/1/2052 <sup>(a)</sup>  | 597 | 571 |
| Freddie Mac Pool #SD6496 2.00% 6/1/2052 <sup>(a)</sup>  | 2876 | 2355 |
| Freddie Mac Pool #SD8219 2.50% 6/1/2052 <sup>(a)</sup>  | 229 | 196 |
| Freddie Mac Pool #SD8220 3.00% 6/1/2052 <sup>(a)</sup>  | 20414 | 18184 |
| Freddie Mac Pool #SD6203 3.00% 6/1/2052 <sup>(a)</sup>  | 1421 | 1263 |

---

U.S. Government Securities Fund — Page 14 of 34

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**unaudited**

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #QE5303 3.50% 6/1/2052 <sup>(a)</sup>  | USD61 | $56 |
| Freddie Mac Pool #SD1124 3.50% 6/1/2052 <sup>(a)</sup>  | 59 | 55 |
| Freddie Mac Pool #RA7510 3.50% 6/1/2052 <sup>(a)</sup>  | 36 | 33 |
| Freddie Mac Pool #QE3824 3.50% 6/1/2052 <sup>(a)</sup>  | 22 | 21 |
| Freddie Mac Pool #RA7556 4.50% 6/1/2052 <sup>(a)</sup>  | 12601 | 12399 |
| Freddie Mac Pool #SL2621 2.50% 7/1/2052 <sup>(a)</sup>  | 35840 | 30532 |
| Freddie Mac Pool #SD5368 2.50% 7/1/2052 <sup>(a)</sup>  | 338 | 288 |
| Freddie Mac Pool #SD8225 3.00% 7/1/2052 <sup>(a)</sup>  | 29961 | 26688 |
| Freddie Mac Pool #QE8971 3.50% 7/1/2052 <sup>(a)</sup>  | 123 | 114 |
| Freddie Mac Pool #QE4998 4.00% 7/1/2052 <sup>(a)</sup>  | 85 | 81 |
| Freddie Mac Pool #SD1502 4.00% 7/1/2052 <sup>(a)</sup>  | 47 | 45 |
| Freddie Mac Pool #SD1406 2.00% 8/1/2052 <sup>(a)</sup>  | 1603 | 1309 |
| Freddie Mac Pool #SD8235 3.00% 8/1/2052 <sup>(a)</sup>  | 479 | 427 |
| Freddie Mac Pool #SD7346 3.00% 8/1/2052 <sup>(a)</sup>  | 81 | 72 |
| Freddie Mac Pool #QE8105 3.50% 8/1/2052 <sup>(a)</sup>  | 1777 | 1646 |
| Freddie Mac Pool #SD1343 4.00% 8/1/2052 <sup>(a)</sup>  | 478 | 458 |
| Freddie Mac Pool #QE8992 4.00% 8/1/2052 <sup>(a)</sup>  | 322 | 310 |
| Freddie Mac Pool #SD1441 4.00% 8/1/2052 <sup>(a)</sup>  | 183 | 175 |
| Freddie Mac Pool #SD1382 4.00% 8/1/2052 <sup>(a)</sup>  | 53 | 51 |
| Freddie Mac Pool #QE6678 4.00% 8/1/2052 <sup>(a)</sup>  | 26 | 25 |
| Freddie Mac Pool #QE8579 4.50% 8/1/2052 <sup>(a)</sup>  | 2288 | 2258 |
| Freddie Mac Pool #SD8251 5.50% 8/1/2052 <sup>(a)</sup>  | 736 | 749 |
| Freddie Mac Pool #QE9618 4.00% 9/1/2052 <sup>(a)</sup>  | 2456 | 2355 |
| Freddie Mac Pool #QE9610 4.00% 9/1/2052 <sup>(a)</sup>  | 2301 | 2205 |
| Freddie Mac Pool #QE9349 4.00% 9/1/2052 <sup>(a)</sup>  | 872 | 837 |
| Freddie Mac Pool #QF0105 4.00% 9/1/2052 <sup>(a)</sup>  | 622 | 596 |
| Freddie Mac Pool #QE9564 4.00% 9/1/2052 <sup>(a)</sup>  | 467 | 448 |
| Freddie Mac Pool #QF0666 4.00% 9/1/2052 <sup>(a)</sup>  | 295 | 282 |
| Freddie Mac Pool #QF1655 4.00% 9/1/2052 <sup>(a)</sup>  | 52 | 50 |
| Freddie Mac Pool #QE9805 4.00% 9/1/2052 <sup>(a)</sup>  | 29 | 27 |
| Freddie Mac Pool #QF0212 4.50% 9/1/2052 <sup>(a)</sup>  | 10193 | 10032 |
| Freddie Mac Pool #SD8245 4.50% 9/1/2052 <sup>(a)</sup>  | 3558 | 3504 |
| Freddie Mac Pool #QE9497 4.50% 9/1/2052 <sup>(a)</sup>  | 2345 | 2314 |
| Freddie Mac Pool #SD1608 4.50% 9/1/2052 <sup>(a)</sup>  | 1477 | 1453 |
| Freddie Mac Pool #RA7938 5.00% 9/1/2052 <sup>(a)</sup>  | 47255 | 47478 |
| Freddie Mac Pool #SD8256 4.00% 10/1/2052 <sup>(a)</sup>  | 4973 | 4763 |
| Freddie Mac Pool #QF1730 4.00% 10/1/2052 <sup>(a)</sup>  | 542 | 520 |
| Freddie Mac Pool #QF1221 4.00% 10/1/2052 <sup>(a)</sup>  | 400 | 384 |
| Freddie Mac Pool #QF1575 4.00% 10/1/2052 <sup>(a)</sup>  | 235 | 225 |
| Freddie Mac Pool #QF1925 4.00% 10/1/2052 <sup>(a)</sup>  | 227 | 218 |
| Freddie Mac Pool #QF1236 4.50% 10/1/2052 <sup>(a)</sup>  | 14686 | 14452 |
| Freddie Mac Pool #SD2465 4.50% 10/1/2052 <sup>(a)</sup>  | 1003 | 987 |
| Freddie Mac Pool #SD8258 5.00% 10/1/2052 <sup>(a)</sup>  | 13671 | 13717 |
| Freddie Mac Pool #QF2443 4.00% 11/1/2052 <sup>(a)</sup>  | 1951 | 1870 |
| Freddie Mac Pool #QF4190 4.00% 11/1/2052 <sup>(a)</sup>  | 437 | 419 |
| Freddie Mac Pool #QF3165 4.00% 11/1/2052 <sup>(a)</sup>  | 270 | 259 |
| Freddie Mac Pool #QF3906 4.00% 11/1/2052 <sup>(a)</sup>  | 224 | 215 |
| Freddie Mac Pool #SD1895 4.50% 11/1/2052 <sup>(a)</sup>  | 16853 | 16913 |
| Freddie Mac Pool #SD2948 5.50% 11/1/2052 <sup>(a)</sup>  | 24334 | 24756 |
| Freddie Mac Pool #QF4668 4.00% 12/1/2052 <sup>(a)</sup>  | 494 | 472 |
| Freddie Mac Pool #QF5391 4.00% 12/1/2052 <sup>(a)</sup>  | 30 | 29 |
| Freddie Mac Pool #SD8276 5.00% 12/1/2052 <sup>(a)</sup>  | 19631 | 19696 |
| Freddie Mac Pool #QF4188 5.50% 12/1/2052 <sup>(a)</sup>  | 783 | 796 |
| Freddie Mac Pool #QF4136 5.50% 12/1/2052 <sup>(a)</sup>  | 270 | 274 |

---

U.S. Government Securities Fund — Page 15 of 34

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**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #SD8281 6.50% 12/1/2052 <sup>(a)</sup>  | USD51,339 | $53458 |
| Freddie Mac Pool #QF5422 4.00% 1/1/2053 <sup>(a)</sup>  | 1060 | 1015 |
| Freddie Mac Pool #SD8288 5.00% 1/1/2053 <sup>(a)</sup>  | 188453 | 189064 |
| Freddie Mac Pool #SD8290 6.00% 1/1/2053 <sup>(a)</sup>  | 137959 | 141936 |
| Freddie Mac Pool #QF6121 6.00% 1/1/2053 <sup>(a)</sup>  | 417 | 430 |
| Freddie Mac Pool #SD2238 4.00% 2/1/2053 <sup>(a)</sup>  | 1795 | 1715 |
| Freddie Mac Pool #QF7852 4.00% 2/1/2053 <sup>(a)</sup>  | 1713 | 1638 |
| Freddie Mac Pool #QF7144 5.50% 2/1/2053 <sup>(a)</sup>  | 8599 | 8744 |
| Freddie Mac Pool #SD8301 6.00% 2/1/2053 <sup>(a)</sup>  | 8858 | 9114 |
| Freddie Mac Pool #RJ0150 4.00% 3/1/2053 <sup>(a)</sup>  | 595 | 570 |
| Freddie Mac Pool #QF8351 5.50% 3/1/2053 <sup>(a)</sup>  | 1577 | 1607 |
| Freddie Mac Pool #RA8748 6.00% 3/1/2053 <sup>(a)</sup>  | 10475 | 10874 |
| Freddie Mac Pool #QG1221 4.00% 4/1/2053 <sup>(a)</sup>  | 2219 | 2125 |
| Freddie Mac Pool #SD2738 4.00% 4/1/2053 <sup>(a)</sup>  | 900 | 863 |
| Freddie Mac Pool #QG2329 4.00% 4/1/2053 <sup>(a)</sup>  | 53 | 51 |
| Freddie Mac Pool #SD2716 5.00% 4/1/2053 <sup>(a)</sup>  | 6377 | 6417 |
| Freddie Mac Pool #SD8315 5.00% 4/1/2053 <sup>(a)</sup>  | 435 | 436 |
| Freddie Mac Pool #SD8316 5.50% 4/1/2053 <sup>(a)</sup>  | 10738 | 10909 |
| Freddie Mac Pool #QG1653 6.00% 4/1/2053 <sup>(a)</sup>  | 9676 | 9955 |
| Freddie Mac Pool #QG0259 6.00% 4/1/2053 <sup>(a)</sup>  | 5106 | 5254 |
| Freddie Mac Pool #SD3450 3.50% 5/1/2053 <sup>(a)</sup>  | 22 | 20 |
| Freddie Mac Pool #RA8647 4.50% 5/1/2053 <sup>(a)</sup>  | 1012 | 995 |
| Freddie Mac Pool #SD8323 5.00% 5/1/2053 <sup>(a)</sup>  | 6412 | 6432 |
| Freddie Mac Pool #SD8324 5.50% 5/1/2053 <sup>(a)</sup>  | 14431 | 14679 |
| Freddie Mac Pool #SD3369 5.50% 5/1/2053 <sup>(a)</sup>  | 4731 | 4795 |
| Freddie Mac Pool #QG3365 5.50% 5/1/2053 <sup>(a)</sup>  | 4500 | 4591 |
| Freddie Mac Pool #QG2197 5.50% 5/1/2053 <sup>(a)</sup>  | 4033 | 4132 |
| Freddie Mac Pool #QG1875 5.50% 5/1/2053 <sup>(a)</sup>  | 1 | 1 |
| Freddie Mac Pool #SD8325 6.00% 5/1/2053 <sup>(a)</sup>  | 83160 | 85429 |
| Freddie Mac Pool #QG3763 6.00% 5/1/2053 <sup>(a)</sup>  | 9773 | 10061 |
| Freddie Mac Pool #SD8329 5.00% 6/1/2053 <sup>(a)</sup>  | 150 | 151 |
| Freddie Mac Pool #SD8331 5.50% 6/1/2053 <sup>(a)</sup>  | 62234 | 63261 |
| Freddie Mac Pool #QG4632 5.50% 6/1/2053 <sup>(a)</sup>  | 32959 | 33511 |
| Freddie Mac Pool #QG5136 5.50% 6/1/2053 <sup>(a)</sup>  | 506 | 519 |
| Freddie Mac Pool #QG4732 5.50% 6/1/2053 <sup>(a)</sup>  | 38 | 39 |
| Freddie Mac Pool #SD8332 6.00% 6/1/2053 <sup>(a)</sup>  | 202850 | 208065 |
| Freddie Mac Pool #QG5227 6.00% 6/1/2053 <sup>(a)</sup>  | 9607 | 9872 |
| Freddie Mac Pool #RA9279 6.00% 6/1/2053 <sup>(a)</sup>  | 4928 | 5109 |
| Freddie Mac Pool #RA9283 6.00% 6/1/2053 <sup>(a)</sup>  | 4442 | 4567 |
| Freddie Mac Pool #RA9281 6.00% 6/1/2053 <sup>(a)</sup>  | 2899 | 2996 |
| Freddie Mac Pool #RA9284 6.00% 6/1/2053 <sup>(a)</sup>  | 2449 | 2552 |
| Freddie Mac Pool #SD3240 6.00% 6/1/2053 <sup>(a)</sup>  | 2038 | 2096 |
| Freddie Mac Pool #RA9294 6.50% 6/1/2053 <sup>(a)</sup>  | 9255 | 9660 |
| Freddie Mac Pool #RA9292 6.50% 6/1/2053 <sup>(a)</sup>  | 8167 | 8524 |
| Freddie Mac Pool #RA9288 6.50% 6/1/2053 <sup>(a)</sup>  | 7595 | 8015 |
| Freddie Mac Pool #RA9289 6.50% 6/1/2053 <sup>(a)</sup>  | 7599 | 8008 |
| Freddie Mac Pool #RA9287 6.50% 6/1/2053 <sup>(a)</sup>  | 5295 | 5594 |
| Freddie Mac Pool #RA9290 6.50% 6/1/2053 <sup>(a)</sup>  | 4168 | 4387 |
| Freddie Mac Pool #RA9295 6.50% 6/1/2053 <sup>(a)</sup>  | 2619 | 2791 |
| Freddie Mac Pool #RA9291 6.50% 6/1/2053 <sup>(a)</sup>  | 2523 | 2623 |
| Freddie Mac Pool #SD8341 5.00% 7/1/2053 <sup>(a)</sup>  | 129 | 130 |
| Freddie Mac Pool #SD8342 5.50% 7/1/2053 <sup>(a)</sup>  | 238544 | 242420 |
| Freddie Mac Pool #SD3386 5.50% 7/1/2053 <sup>(a)</sup>  | 8716 | 8874 |
| Freddie Mac Pool #SD3356 6.00% 7/1/2053 <sup>(a)</sup>  | 22524 | 23144 |

---

U.S. Government Securities Fund — Page 16 of 34

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---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #SD3432 6.00% 7/1/2053 <sup>(a)</sup>  | USD135 | $140 |
| Freddie Mac Pool #RA9381 6.50% 7/1/2053 <sup>(a)</sup>  | 18150 | 19079 |
| Freddie Mac Pool #SL0707 3.50% 8/1/2053 <sup>(a)</sup>  | 48 | 45 |
| Freddie Mac Pool #SD3620 5.50% 8/1/2053 <sup>(a)</sup>  | 13497 | 13883 |
| Freddie Mac Pool #SD8350 6.00% 8/1/2053 <sup>(a)</sup>  | 227723 | 233853 |
| Freddie Mac Pool #QG9159 6.00% 8/1/2053 <sup>(a)</sup>  | 9557 | 9874 |
| Freddie Mac Pool #RA9636 6.00% 8/1/2053 <sup>(a)</sup>  | 3433 | 3527 |
| Freddie Mac Pool #SD3512 6.00% 8/1/2053 <sup>(a)</sup>  | 1081 | 1111 |
| Freddie Mac Pool #SD8362 5.50% 9/1/2053 <sup>(a)</sup>  | 17406 | 17678 |
| Freddie Mac Pool #RA9857 6.00% 9/1/2053 <sup>(a)</sup>  | 20763 | 21326 |
| Freddie Mac Pool #QH0857 6.50% 9/1/2053 <sup>(a)</sup>  | 45 | 47 |
| Freddie Mac Pool #SL1763 3.00% 10/1/2053 <sup>(a)</sup>  | 2070 | 1843 |
| Freddie Mac Pool #SD4053 6.00% 10/1/2053 <sup>(a)</sup>  | 55043 | 56491 |
| Freddie Mac Pool #SD4546 6.00% 10/1/2053 <sup>(a)</sup>  | 22083 | 22701 |
| Freddie Mac Pool #RJ0108 6.50% 10/1/2053 <sup>(a)</sup>  | 32523 | 34143 |
| Freddie Mac Pool #SD8370 4.50% 11/1/2053 <sup>(a)</sup>  | 8991 | 8819 |
| Freddie Mac Pool #SD4977 5.00% 11/1/2053 <sup>(a)</sup>  | 14639 | 14676 |
| Freddie Mac Pool #SD8373 6.00% 11/1/2053 <sup>(a)</sup>  | 10137 | 10402 |
| Freddie Mac Pool #RJ0326 6.50% 11/1/2053 <sup>(a)</sup>  | 5331 | 5546 |
| Freddie Mac Pool #SD8374 6.50% 11/1/2053 <sup>(a)</sup>  | 296 | 307 |
| Freddie Mac Pool #RJ0325 6.50% 11/1/2053 <sup>(a)</sup>  | 62 | 64 |
| Freddie Mac Pool #QH7176 6.50% 12/1/2053 <sup>(a)</sup>  | 68 | 70 |
| Freddie Mac Pool #SD6284 2.00% 1/1/2054 <sup>(a)</sup>  | 2952 | 2412 |
| Freddie Mac Pool #SD4699 6.00% 1/1/2054 <sup>(a)</sup>  | 45540 | 46821 |
| Freddie Mac Pool #SD8396 6.00% 1/1/2054 <sup>(a)</sup>  | 15024 | 15406 |
| Freddie Mac Pool #SD4730 6.00% 1/1/2054 <sup>(a)</sup>  | 6013 | 6242 |
| Freddie Mac Pool #SD4614 6.50% 1/1/2054 <sup>(a)</sup>  | 4349 | 4560 |
| Freddie Mac Pool #RJ0854 6.50% 1/1/2054 <sup>(a)</sup>  | 4251 | 4422 |
| Freddie Mac Pool #SD4693 6.50% 1/1/2054 <sup>(a)</sup>  | 3861 | 4017 |
| Freddie Mac Pool #QH8689 6.50% 1/1/2054 <sup>(a)</sup>  | 2675 | 2796 |
| Freddie Mac Pool #QI0001 4.00% 2/1/2054 <sup>(a)</sup>  | 1973 | 1882 |
| Freddie Mac Pool #SD8401 5.50% 2/1/2054 <sup>(a)</sup>  | 1940 | 1969 |
| Freddie Mac Pool #SD4906 6.00% 2/1/2054 <sup>(a)</sup>  | 15014 | 15464 |
| Freddie Mac Pool #RJ0940 6.00% 2/1/2054 <sup>(a)</sup>  | 12021 | 12357 |
| Freddie Mac Pool #SD4975 6.00% 2/1/2054 <sup>(a)</sup>  | 3709 | 3803 |
| Freddie Mac Pool #SD4964 6.00% 2/1/2054 <sup>(a)</sup>  | 3260 | 3380 |
| Freddie Mac Pool #SD8402 6.00% 2/1/2054 <sup>(a)</sup>  | 2788 | 2859 |
| Freddie Mac Pool #SL2362 6.50% 2/1/2054 <sup>(a)</sup>  | 59192 | 62176 |
| Freddie Mac Pool #RJ0856 6.50% 2/1/2054 <sup>(a)</sup>  | 17194 | 17875 |
| Freddie Mac Pool #SD8408 5.50% 3/1/2054 <sup>(a)</sup>  | 24473 | 24831 |
| Freddie Mac Pool #RJ1066 5.50% 3/1/2054 <sup>(a)</sup>  | 16085 | 16390 |
| Freddie Mac Pool #SD5117 6.00% 3/1/2054 <sup>(a)</sup>  | 36935 | 38134 |
| Freddie Mac Pool #RJ1076 6.00% 3/1/2054 <sup>(a)</sup>  | 1730 | 1776 |
| Freddie Mac Pool #RJ1015 6.50% 3/1/2054 <sup>(a)</sup>  | 4838 | 5024 |
| Freddie Mac Pool #RJ1216 5.50% 4/1/2054 <sup>(a)</sup>  | 7384 | 7537 |
| Freddie Mac Pool #RJ1215 5.50% 4/1/2054 <sup>(a)</sup>  | 1209 | 1227 |
| Freddie Mac Pool #SD5303 6.00% 4/1/2054 <sup>(a)</sup>  | 1588 | 1639 |
| Freddie Mac Pool #QI3333 6.00% 4/1/2054 <sup>(a)</sup>  | 1048 | 1088 |
| Freddie Mac Pool #RJ1348 6.00% 4/1/2054 <sup>(a)</sup>  | 854 | 881 |
| Freddie Mac Pool #SD5221 6.50% 4/1/2054 <sup>(a)</sup>  | 4519 | 4739 |
| Freddie Mac Pool #QI4365 6.50% 4/1/2054 <sup>(a)</sup>  | 2052 | 2132 |
| Freddie Mac Pool #RJ1419 5.50% 5/1/2054 <sup>(a)</sup>  | 6511 | 6609 |
| Freddie Mac Pool #RJ1429 6.00% 5/1/2054 <sup>(a)</sup>  | 7555 | 7779 |
| Freddie Mac Pool #SD5692 6.00% 5/1/2054 <sup>(a)</sup>  | 1520 | 1578 |

---

U.S. Government Securities Fund — Page 17 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #SD8432 6.00% 5/1/2054 <sup>(a)</sup>  | USD9 | $9 |
| Freddie Mac Pool #SD5404 6.50% 5/1/2054 <sup>(a)</sup>  | 27147 | 28336 |
| Freddie Mac Pool #RJ1535 6.50% 5/1/2054 <sup>(a)</sup>  | 13687 | 14368 |
| Freddie Mac Pool #SD5419 6.50% 5/1/2054 <sup>(a)</sup>  | 3633 | 3781 |
| Freddie Mac Pool #RJ1855 5.00% 6/1/2054 <sup>(a)</sup>  | 7611 | 7630 |
| Freddie Mac Pool #RJ1857 5.50% 6/1/2054 <sup>(a)</sup>  | 1854 | 1890 |
| Freddie Mac Pool #RJ1785 6.00% 6/1/2054 <sup>(a)</sup>  | 3855 | 3977 |
| Freddie Mac Pool #RJ1779 6.00% 6/1/2054 <sup>(a)</sup>  | 2740 | 2844 |
| Freddie Mac Pool #QI7562 6.00% 6/1/2054 <sup>(a)</sup>  | 123 | 127 |
| Freddie Mac Pool #SD8439 6.00% 6/1/2054 <sup>(a)</sup>  | 4 | 4 |
| Freddie Mac Pool #RJ1797 6.50% 6/1/2054 <sup>(a)</sup>  | 54724 | 56818 |
| Freddie Mac Pool #RJ1792 6.50% 6/1/2054 <sup>(a)</sup>  | 31821 | 33477 |
| Freddie Mac Pool #RJ1726 6.50% 6/1/2054 <sup>(a)</sup>  | 12138 | 12640 |
| Freddie Mac Pool #RJ1725 6.50% 6/1/2054 <sup>(a)</sup>  | 7312 | 7696 |
| Freddie Mac Pool #SD5701 6.50% 6/1/2054 <sup>(a)</sup>  | 4409 | 4625 |
| Freddie Mac Pool #QI9079 6.50% 6/1/2054 <sup>(a)</sup>  | 2060 | 2143 |
| Freddie Mac Pool #SD8446 5.50% 7/1/2054 <sup>(a)</sup>  | 14942 | 15143 |
| Freddie Mac Pool #QI8872 5.50% 7/1/2054 <sup>(a)</sup>  | 1341 | 1365 |
| Freddie Mac Pool #RJ1964 6.00% 7/1/2054 <sup>(a)</sup>  | 18058 | 18801 |
| Freddie Mac Pool #RJ1975 6.00% 7/1/2054 <sup>(a)</sup>  | 12352 | 12746 |
| Freddie Mac Pool #SD5949 6.00% 7/1/2054 <sup>(a)</sup>  | 12384 | 12725 |
| Freddie Mac Pool #SD5813 6.00% 7/1/2054 <sup>(a)</sup>  | 5382 | 5560 |
| Freddie Mac Pool #SD8447 6.00% 7/1/2054 <sup>(a)</sup>  | 5386 | 5518 |
| Freddie Mac Pool #SD5873 6.00% 7/1/2054 <sup>(a)</sup>  | 3854 | 3959 |
| Freddie Mac Pool #QI8874 6.00% 7/1/2054 <sup>(a)</sup>  | 2108 | 2166 |
| Freddie Mac Pool #SD5896 6.00% 7/1/2054 <sup>(a)</sup>  | 2092 | 2151 |
| Freddie Mac Pool #QJ0957 6.00% 7/1/2054 <sup>(a)</sup>  | 715 | 733 |
| Freddie Mac Pool #RJ1986 6.50% 7/1/2054 <sup>(a)</sup>  | 73929 | 76757 |
| Freddie Mac Pool #SD8448 6.50% 7/1/2054 <sup>(a)</sup>  | 33228 | 34440 |
| Freddie Mac Pool #SD5905 6.50% 7/1/2054 <sup>(a)</sup>  | 3622 | 3800 |
| Freddie Mac Pool #RJ2200 5.50% 8/1/2054 <sup>(a)</sup>  | 5158 | 5242 |
| Freddie Mac Pool #SD6286 5.50% 8/1/2054 <sup>(a)</sup>  | 4123 | 4208 |
| Freddie Mac Pool #RJ2206 5.50% 8/1/2054 <sup>(a)</sup>  | 3269 | 3321 |
| Freddie Mac Pool #RJ2243 5.50% 8/1/2054 <sup>(a)</sup>  | 3006 | 3053 |
| Freddie Mac Pool #RJ2203 5.50% 8/1/2054 <sup>(a)</sup>  | 547 | 557 |
| Freddie Mac Pool #RJ2210 6.00% 8/1/2054 <sup>(a)</sup>  | 37190 | 38224 |
| Freddie Mac Pool #RJ2216 6.00% 8/1/2054 <sup>(a)</sup>  | 16849 | 17313 |
| Freddie Mac Pool #SD8454 6.00% 8/1/2054 <sup>(a)</sup>  | 3391 | 3474 |
| Freddie Mac Pool #SD6029 6.00% 8/1/2054 <sup>(a)</sup>  | 3218 | 3318 |
| Freddie Mac Pool #RJ2212 6.00% 8/1/2054 <sup>(a)</sup>  | 1571 | 1630 |
| Freddie Mac Pool #QJ3296 6.00% 8/1/2054 <sup>(a)</sup>  | 1104 | 1133 |
| Freddie Mac Pool #SD6530 6.50% 8/1/2054 <sup>(a)</sup>  | 48353 | 50824 |
| Freddie Mac Pool #SD8455 6.50% 8/1/2054 <sup>(a)</sup>  | 36810 | 38153 |
| Freddie Mac Pool #RJ2222 6.50% 8/1/2054 <sup>(a)</sup>  | 26054 | 27132 |
| Freddie Mac Pool #RJ2247 6.50% 8/1/2054 <sup>(a)</sup>  | 9565 | 9970 |
| Freddie Mac Pool #SD6034 6.50% 8/1/2054 <sup>(a)</sup>  | 8865 | 9231 |
| Freddie Mac Pool #RJ2228 6.50% 8/1/2054 <sup>(a)</sup>  | 5058 | 5262 |
| Freddie Mac Pool #SD6047 6.50% 8/1/2054 <sup>(a)</sup>  | 3303 | 3459 |
| Freddie Mac Pool #SD6035 6.50% 8/1/2054 <sup>(a)</sup>  | 2303 | 2416 |
| Freddie Mac Pool #QJ1576 6.50% 8/1/2054 <sup>(a)</sup>  | 844 | 876 |
| Freddie Mac Pool #RJ2422 5.50% 9/1/2054 <sup>(a)</sup>  | 8301 | 8436 |
| Freddie Mac Pool #SD6328 5.50% 9/1/2054 <sup>(a)</sup>  | 7669 | 7850 |
| Freddie Mac Pool #RJ2415 5.50% 9/1/2054 <sup>(a)</sup>  | 3435 | 3515 |
| Freddie Mac Pool #RJ2408 5.50% 9/1/2054 <sup>(a)</sup>  | 3139 | 3188 |

---

U.S. Government Securities Fund — Page 18 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #SD8462 5.50% 9/1/2054 <sup>(a)</sup>  | USD1,014 | $1028 |
| Freddie Mac Pool #QJ3044 5.50% 9/1/2054 <sup>(a)</sup>  | 218 | 221 |
| Freddie Mac Pool #RJ2314 6.00% 9/1/2054 <sup>(a)</sup>  | 11358 | 11670 |
| Freddie Mac Pool #RJ2312 6.00% 9/1/2054 <sup>(a)</sup>  | 6130 | 6321 |
| Freddie Mac Pool #RJ2308 6.00% 9/1/2054 <sup>(a)</sup>  | 5724 | 5942 |
| Freddie Mac Pool #RJ2306 6.00% 9/1/2054 <sup>(a)</sup>  | 5509 | 5723 |
| Freddie Mac Pool #RJ2309 6.00% 9/1/2054 <sup>(a)</sup>  | 3350 | 3442 |
| Freddie Mac Pool #SD6578 6.00% 9/1/2054 <sup>(a)</sup>  | 2536 | 2632 |
| Freddie Mac Pool #SD6271 6.50% 9/1/2054 <sup>(a)</sup>  | 22904 | 23885 |
| Freddie Mac Pool #SL2445 6.50% 9/1/2054 <sup>(a)</sup>  | 16279 | 16916 |
| Freddie Mac Pool #RJ2474 6.50% 9/1/2054 <sup>(a)</sup>  | 7800 | 8104 |
| Freddie Mac Pool #SD8464 6.50% 9/1/2054 <sup>(a)</sup>  | 5887 | 6101 |
| Freddie Mac Pool #RJ2411 6.50% 9/1/2054 <sup>(a)</sup>  | 5132 | 5341 |
| Freddie Mac Pool #RJ2320 6.50% 9/1/2054 <sup>(a)</sup>  | 3197 | 3334 |
| Freddie Mac Pool #RJ2470 6.50% 9/1/2054 <sup>(a)</sup>  | 2328 | 2421 |
| Freddie Mac Pool #QJ3334 6.50% 9/1/2054 <sup>(a)</sup>  | 2056 | 2131 |
| Freddie Mac Pool #RJ2325 6.50% 9/1/2054 <sup>(a)</sup>  | 1617 | 1683 |
| Freddie Mac Pool #QJ4693 6.50% 9/1/2054 <sup>(a)</sup>  | 166 | 174 |
| Freddie Mac Pool #QJ4654 6.50% 9/1/2054 <sup>(a)</sup>  | 13 | 14 |
| Freddie Mac Pool #QJ6847 4.00% 10/1/2054 <sup>(a)</sup>  | 778 | 741 |
| Freddie Mac Pool #RJ2664 5.00% 10/1/2054 <sup>(a)</sup>  | 176 | 177 |
| Freddie Mac Pool #RJ2625 5.50% 10/1/2054 <sup>(a)</sup>  | 13185 | 13415 |
| Freddie Mac Pool #SD8469 5.50% 10/1/2054 <sup>(a)</sup>  | 5057 | 5127 |
| Freddie Mac Pool #SD6686 6.00% 10/1/2054 <sup>(a)</sup>  | 361 | 370 |
| Freddie Mac Pool #SD6733 6.50% 10/1/2054 <sup>(a)</sup>  | 7714 | 8015 |
| Freddie Mac Pool #SD8484 4.00% 11/1/2054 <sup>(a)</sup>  | 6096 | 5811 |
| Freddie Mac Pool #RJ2851 4.50% 11/1/2054 <sup>(a)</sup>  | 7893 | 7735 |
| Freddie Mac Pool #RJ2860 5.00% 11/1/2054 <sup>(a)</sup>  | 4718 | 4717 |
| Freddie Mac Pool #RJ2836 5.00% 11/1/2054 <sup>(a)</sup>  | 258 | 258 |
| Freddie Mac Pool #SD8475 5.50% 11/1/2054 <sup>(a)</sup>  | 42821 | 43403 |
| Freddie Mac Pool #RJ2917 5.50% 11/1/2054 <sup>(a)</sup>  | 11054 | 11223 |
| Freddie Mac Pool #QX0310 5.50% 11/1/2054 <sup>(a)</sup>  | 1271 | 1288 |
| Freddie Mac Pool #RJ3017 5.00% 12/1/2054 <sup>(a)</sup>  | 10993 | 11004 |
| Freddie Mac Pool #RJ3163 5.00% 12/1/2054 <sup>(a)</sup>  | 8319 | 8349 |
| Freddie Mac Pool #QX1743 5.00% 12/1/2054 <sup>(a)</sup>  | 5534 | 5546 |
| Freddie Mac Pool #RJ3012 5.00% 12/1/2054 <sup>(a)</sup>  | 3540 | 3554 |
| Freddie Mac Pool #SD8491 5.00% 12/1/2054 <sup>(a)</sup>  | 3370 | 3368 |
| Freddie Mac Pool #QX2834 5.00% 12/1/2054 <sup>(a)</sup>  | 1832 | 1836 |
| Freddie Mac Pool #SD8493 5.50% 12/1/2054 <sup>(a)</sup>  | 2436 | 2469 |
| Freddie Mac Pool #QX1414 5.50% 12/1/2054 <sup>(a)</sup>  | 1717 | 1741 |
| Freddie Mac Pool #QX1881 6.00% 12/1/2054 <sup>(a)</sup>  | 2970 | 3055 |
| Freddie Mac Pool #QX0923 6.50% 12/1/2054 <sup>(a)</sup>  | 3848 | 3991 |
| Freddie Mac Pool #SD8494 5.50% 1/1/2055 <sup>(a)</sup>  | 9959 | 10092 |
| Freddie Mac Pool #RJ3240 6.00% 1/1/2055 <sup>(a)</sup>  | 44849 | 46288 |
| Freddie Mac Pool #SD8496 6.00% 1/1/2055 <sup>(a)</sup>  | 41939 | 42972 |
| Freddie Mac Pool #RJ3305 6.00% 1/1/2055 <sup>(a)</sup>  | 12825 | 13239 |
| Freddie Mac Pool #QX4065 6.00% 1/1/2055 <sup>(a)</sup>  | 820 | 840 |
| Freddie Mac Pool #SL2928 7.00% 1/1/2055 <sup>(a)</sup>  | 10041 | 10542 |
| Freddie Mac Pool #RJ3264 4.50% 2/1/2055 <sup>(a)</sup>  | 19002 | 18616 |
| Freddie Mac Pool #SD8506 5.50% 2/1/2055 <sup>(a)</sup>  | 11 | 11 |
| Freddie Mac Pool #SD8507 6.00% 2/1/2055 <sup>(a)</sup>  | 33020 | 33829 |
| Freddie Mac Pool #QX7714 6.00% 2/1/2055 <sup>(a)</sup>  | 188 | 192 |
| Freddie Mac Pool #QX6647 6.00% 2/1/2055 <sup>(a)</sup>  | 152 | 156 |
| Freddie Mac Pool #QX6698 6.50% 2/1/2055 <sup>(a)</sup>  | 279 | 291 |

---

U.S. Government Securities Fund — Page 19 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Pool #QX6697 6.50% 2/1/2055 <sup>(a)</sup>  | USD25 | $26 |
| Freddie Mac Pool #SD8515 5.50% 3/1/2055 <sup>(a)</sup>  | 378 | 383 |
| Freddie Mac Pool #SD8516 6.00% 3/1/2055 <sup>(a)</sup>  | 10394 | 10649 |
| Freddie Mac Pool #SL0673 6.50% 3/1/2055 <sup>(a)</sup>  | 57060 | 59864 |
| Freddie Mac Pool #SD8517 6.50% 3/1/2055 <sup>(a)</sup>  | 20282 | 21022 |
| Freddie Mac Pool #QX8785 6.50% 3/1/2055 <sup>(a)</sup>  | 138 | 144 |
| Freddie Mac Pool #SL1094 5.00% 4/1/2055 <sup>(a)</sup>  | 1199 | 1200 |
| Freddie Mac Pool #SD8525 6.00% 4/1/2055 <sup>(a)</sup>  | 43983 | 45060 |
| Freddie Mac Pool #SL0796 6.00% 4/1/2055 <sup>(a)</sup>  | 2412 | 2470 |
| Freddie Mac Pool #SL1416 6.00% 4/1/2055 <sup>(a)</sup>  | 265 | 271 |
| Freddie Mac Pool #QY2186 6.50% 4/1/2055 <sup>(a)</sup>  | 1898 | 1967 |
| Freddie Mac Pool #SD8532 5.00% 5/1/2055 <sup>(a)</sup>  | 2516 | 2512 |
| Freddie Mac Pool #SD8534 6.00% 5/1/2055 <sup>(a)</sup>  | 48006 | 49192 |
| Freddie Mac Pool #QY2990 6.00% 5/1/2055 <sup>(a)</sup>  | 776 | 795 |
| Freddie Mac Pool #RQ0012 5.00% 6/1/2055 <sup>(a)</sup>  | 9302 | 9290 |
| Freddie Mac Pool #RQ0027 5.50% 7/1/2055 <sup>(a)</sup>  | 15604 | 15810 |
| Freddie Mac Pool #RQ0028 6.00% 7/1/2055 <sup>(a)</sup>  | 221291 | 226671 |
| Freddie Mac Pool #QY7784 6.00% 7/1/2055 <sup>(a)</sup>  | 9318 | 9550 |
| Freddie Mac Pool #QY7786 6.00% 7/1/2055 <sup>(a)</sup>  | 1307 | 1340 |
| Freddie Mac Pool #RQ0041 6.00% 8/1/2055 <sup>(a)</sup>  | 15240 | 15616 |
| Freddie Mac Pool #RQ0050 6.00% 9/1/2055 <sup>(a)</sup>  | 3087 | 3164 |
| Freddie Mac Pool #SL2781 6.50% 9/1/2055 <sup>(a)</sup>  | 35431 | 37146 |
| Freddie Mac Pool #SL2647 6.50% 9/1/2055 <sup>(a)</sup>  | 22726 | 23846 |
| Freddie Mac Pool #RQ0056 5.50% 10/1/2055 <sup>(a)</sup>  | 331 | 335 |
| Freddie Mac, Series K058, Class A2, 2.653% 8/25/2026 <sup>(a)</sup>  | 3507 | 3472 |
| Freddie Mac, Series 3156, Class PF, (30-day Average USD-SOFR + 0.364%) 4.507% 5/15/2036 <sup>(a)(c)</sup>  | 318 | 315 |
| Freddie Mac, Series K065, Class A2, Multi Family, 3.243% 4/25/2027 <sup>(a)</sup>  | 1370 | 1359 |
| Freddie Mac, Series K074, Class A2, Multi Family, 3.60% 1/25/2028 <sup>(a)</sup>  | 560 | 557 |
| Freddie Mac, Series K751, Class A2, Multi Family, 4.412% 3/25/2030 <sup>(a)</sup>  | 50000 | 50869 |
| Freddie Mac, Series 3146, Class PO, principal only, 0% 4/15/2036 <sup>(a)</sup>  | 115 | 103 |
| Freddie Mac, Series 3156, Class PO, principal only, 0% 5/15/2036 <sup>(a)</sup>  | 268 | 237 |
| Freddie Mac, Series 3213, Class OG, principal only, 0% 9/15/2036 <sup>(a)</sup>  | 88 | 82 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 3.00% 1/25/2056 <sup>(a)</sup>  | 12017 | 11481 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT, 3.00% 7/25/2056 <sup>(a)</sup>  | 8494 | 7550 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT, 3.25% 7/25/2056 <sup>(a)</sup>  | 1702 | 1540 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 8/25/2056 <sup>(a)</sup>  | 13685 | 12999 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 3.00% 8/25/2056 <sup>(a)(c)</sup>  | 13521 | 12904 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT, 3.00% 5/25/2057 <sup>(a)</sup>  | 8920 | 7809 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 3.25% 6/25/2057 <sup>(a)(c)</sup>  | 9179 | 8430 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 6/25/2057 <sup>(a)</sup>  | 5181 | 4755 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50% 8/25/2057 <sup>(a)(c)</sup>  | 2717 | 2648 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 11/25/2057 <sup>(a)</sup>  | 10001 | 9069 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA, 3.50% 11/25/2057 <sup>(a)</sup>  | 2129 | 2080 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MT, 3.50% 3/25/2058 <sup>(a)</sup>  | 1451 | 1309 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT, 3.50% 7/25/2058 <sup>(a)</sup>  | 7383 | 6676 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50% 7/25/2058 <sup>(a)</sup>  | 2532 | 2470 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MT, 3.50% 8/25/2058 <sup>(a)</sup>  | 8483 | 7658 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50% 8/26/2058 <sup>(a)</sup>  | 15242 | 14825 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT, 3.50% 10/25/2058 <sup>(a)</sup>  | 3738 | 3387 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MA, 3.50% 10/25/2058 <sup>(a)</sup>  | 339 | 330 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA, 3.00% 2/25/2059 <sup>(a)</sup>  | 9313 | 8779 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-1, Class A1, 3.50% 6/25/2028 <sup>(a)</sup>  | 9104 | 8915 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-2, Class A1, 3.50% 11/25/2028 <sup>(a)</sup>  | 45823 | 45131 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2019-2, Class A1C, 2.75% 9/25/2029 <sup>(a)</sup>  | 29926 | 28847 |

---

U.S. Government Securities Fund — Page 20 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2019-3, Class A1C, 2.75% 11/25/2029 <sup>(a)</sup>  | USD16,011 | $15437 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2020-1, Class A1D, 2.00% 7/25/2030 <sup>(a)</sup>  | 11238 | 10467 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2020-1, Class A2D, 2.00% 7/25/2030 <sup>(a)</sup>  | 4381 | 3963 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2022-1, Class A1, 3.50% 5/25/2032 <sup>(a)</sup>  | 41900 | 40968 |
| Government National Mortgage Assn. 3.50% 12/1/2055 <sup>(a)(d)</sup>  | 27680 | 25380 |
| Government National Mortgage Assn. Pool #754335 6.50% 8/20/2029 <sup>(a)</sup>  | 41 | 42 |
| Government National Mortgage Assn. Pool #754334 6.50% 10/20/2032 <sup>(a)</sup>  | 138 | 142 |
| Government National Mortgage Assn. Pool #AH5901 3.75% 11/20/2034 <sup>(a)</sup>  | 594 | 583 |
| Government National Mortgage Assn. Pool #754319 6.50% 1/20/2037 <sup>(a)</sup>  | 56 | 58 |
| Government National Mortgage Assn. Pool #782365 6.00% 7/15/2038 <sup>(a)</sup>  | 83 | 87 |
| Government National Mortgage Assn. Pool #004182 5.50% 7/20/2038 <sup>(a)</sup>  | 10 | 10 |
| Government National Mortgage Assn. Pool #700778 5.50% 10/15/2038 <sup>(a)</sup>  | 32 | 32 |
| Government National Mortgage Assn. Pool #738836 6.50% 11/20/2038 <sup>(a)</sup>  | 55 | 57 |
| Government National Mortgage Assn. Pool #754287 6.50% 11/20/2038 <sup>(a)</sup>  | 50 | 51 |
| Government National Mortgage Assn. Pool #AA4873 6.50% 12/20/2038 <sup>(a)</sup>  | 41 | 41 |
| Government National Mortgage Assn. Pool #754314 6.50% 1/20/2039 <sup>(a)</sup>  | 351 | 369 |
| Government National Mortgage Assn. Pool #741910 4.00% 2/15/2039 <sup>(a)</sup>  | 88 | 86 |
| Government National Mortgage Assn. Pool #004367 4.00% 2/20/2039 <sup>(a)</sup>  | 10 | 10 |
| Government National Mortgage Assn. Pool #698406 5.00% 7/15/2039 <sup>(a)</sup>  | 171 | 176 |
| Government National Mortgage Assn. Pool #783690 6.00% 9/20/2039 <sup>(a)</sup>  | 489 | 518 |
| Government National Mortgage Assn. Pool #004636 4.50% 2/20/2040 <sup>(a)</sup>  | 306 | 309 |
| Government National Mortgage Assn. Pool #783689 5.50% 2/20/2040 <sup>(a)</sup>  | 738 | 764 |
| Government National Mortgage Assn. Pool #736089 5.00% 6/15/2040 <sup>(a)</sup>  | 118 | 119 |
| Government National Mortgage Assn. Pool #736084 5.00% 6/15/2040 <sup>(a)</sup>  | 94 | 96 |
| Government National Mortgage Assn. Pool #005040 5.00% 4/20/2041 <sup>(a)</sup>  | 25 | 25 |
| Government National Mortgage Assn. Pool #783688 5.00% 6/20/2041 <sup>(a)</sup>  | 1375 | 1406 |
| Government National Mortgage Assn. Pool #005112 6.50% 7/20/2041 <sup>(a)</sup>  | 44 | 45 |
| Government National Mortgage Assn. Pool #005157 4.00% 8/20/2041 <sup>(a)</sup>  | 78 | 74 |
| Government National Mortgage Assn. Pool #005187 5.50% 9/20/2041 <sup>(a)</sup>  | 59 | 59 |
| Government National Mortgage Assn. Pool #754636 3.50% 11/20/2041 <sup>(a)</sup>  | 402 | 371 |
| Government National Mortgage Assn. Pool #783687 4.50% 12/20/2041 <sup>(a)</sup>  | 3099 | 3078 |
| Government National Mortgage Assn. Pool #754591 4.00% 1/20/2042 <sup>(a)</sup>  | 850 | 824 |
| Government National Mortgage Assn. Pool #754637 4.00% 1/20/2042 <sup>(a)</sup>  | 346 | 335 |
| Government National Mortgage Assn. Pool #AA2589 3.50% 3/20/2043 <sup>(a)</sup>  | 518 | 473 |
| Government National Mortgage Assn. Pool #MA5332 5.00% 7/20/2048 <sup>(a)</sup>  | 9 | 9 |
| Government National Mortgage Assn. Pool #MA6042 5.00% 7/20/2049 <sup>(a)</sup>  | 17 | 17 |
| Government National Mortgage Assn. Pool #MA6994 2.00% 11/20/2050 <sup>(a)</sup>  | 9445 | 7872 |
| Government National Mortgage Assn. Pool #BZ3978 2.50% 11/20/2050 <sup>(a)</sup>  | 4141 | 3588 |
| Government National Mortgage Assn. Pool #MA7051 2.00% 12/20/2050 <sup>(a)</sup>  | 10702 | 8919 |
| Government National Mortgage Assn. Pool #MA7534 2.50% 8/20/2051 <sup>(a)</sup>  | 23842 | 20715 |
| Government National Mortgage Assn. Pool #785575 2.50% 8/20/2051 <sup>(a)</sup>  | 4101 | 3524 |
| Government National Mortgage Assn. Pool #785659 2.50% 10/20/2051 <sup>(a)</sup>  | 7960 | 6857 |
| Government National Mortgage Assn. Pool #786706 2.50% 12/20/2051 <sup>(a)</sup>  | 43193 | 37128 |
| Government National Mortgage Assn. Pool #785847 2.50% 1/20/2052 <sup>(a)</sup>  | 15813 | 13622 |
| Government National Mortgage Assn. Pool #786502 2.50% 2/20/2052 <sup>(a)</sup>  | 36958 | 32032 |
| Government National Mortgage Assn. Pool #MA7881 2.50% 2/20/2052 <sup>(a)</sup>  | 5026 | 4367 |
| Government National Mortgage Assn. Pool #786647 2.50% 3/20/2052 <sup>(a)</sup>  | 19264 | 16761 |
| Government National Mortgage Assn. Pool #786701 2.50% 3/20/2052 <sup>(a)</sup>  | 11529 | 10018 |
| Government National Mortgage Assn. Pool #785998 2.50% 3/20/2052 <sup>(a)</sup>  | 9255 | 7984 |
| Government National Mortgage Assn. Pool #MA7937 3.00% 3/20/2052 <sup>(a)</sup>  | 4710 | 4254 |
| Government National Mortgage Assn. Pool #MA7988 3.00% 4/20/2052 <sup>(a)</sup>  | 3559 | 3215 |
| Government National Mortgage Assn. Pool #MA8044 3.50% 5/20/2052 <sup>(a)</sup>  | 23910 | 22194 |
| Government National Mortgage Assn. Pool #MA8147 2.50% 7/20/2052 <sup>(a)</sup>  | 273 | 238 |
| Government National Mortgage Assn. Pool #MA8199 3.50% 8/20/2052 <sup>(a)</sup>  | 4418 | 4080 |

---

U.S. Government Securities Fund — Page 21 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Government National Mortgage Assn. Pool #MA8266 3.50% 9/20/2052 <sup>(a)</sup>  | USD23,616 | $21979 |
| Government National Mortgage Assn. Pool #MA8346 4.00% 10/20/2052 <sup>(a)</sup>  | 38252 | 36599 |
| Government National Mortgage Assn. Pool #MA8567 4.00% 1/20/2053 <sup>(a)</sup>  | 4439 | 4246 |
| Government National Mortgage Assn. Pool #MA8723 4.00% 3/20/2053 <sup>(a)</sup>  | 2812 | 2690 |
| Government National Mortgage Assn. Pool #MA9015 4.50% 7/20/2053 <sup>(a)</sup>  | 33333 | 32795 |
| Government National Mortgage Assn. Pool #MA9104 4.50% 8/20/2053 <sup>(a)</sup>  | 36735 | 36057 |
| Government National Mortgage Assn. Pool #MA9169 4.50% 9/20/2053 <sup>(a)</sup>  | 14225 | 13956 |
| Government National Mortgage Assn. Pool #MA9776 4.00% 7/20/2054 <sup>(a)</sup>  | 13857 | 13219 |
| Government National Mortgage Assn. Pool #MB0024 4.50% 11/20/2054 <sup>(a)</sup>  | 16566 | 16222 |
| Government National Mortgage Assn. Pool #MB0144 4.00% 1/20/2055 <sup>(a)</sup>  | 43503 | 41285 |
| Government National Mortgage Assn. Pool #MB0147 5.50% 1/20/2055 <sup>(a)</sup>  | 6284 | 6356 |
| Government National Mortgage Assn. Pool #MB0205 5.50% 2/20/2055 <sup>(a)</sup>  | 2138 | 2162 |
| Government National Mortgage Assn. Pool #MB0424 5.50% 6/20/2055 <sup>(a)</sup>  | 18836 | 19043 |
| Government National Mortgage Assn. Pool #MB0485 5.50% 7/20/2055 <sup>(a)</sup>  | 21358 | 21604 |
| Government National Mortgage Assn. Pool #892950 4.722% 7/20/2060 <sup>(a)(c)</sup>  | 15 | 16 |
| Government National Mortgage Assn. Pool #710074 4.72% 4/20/2061 <sup>(a)</sup>  | 2 | 2 |
| Government National Mortgage Assn. Pool #710077 4.70% 5/20/2061 <sup>(a)</sup>  | 10 | 10 |
| Government National Mortgage Assn. Pool #751409 4.95% 7/20/2061 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #795471 5.197% 2/20/2062 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Government National Mortgage Assn. Pool #759735 4.756% 3/20/2062 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Government National Mortgage Assn. Pool #767610 4.592% 11/20/2062 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Government National Mortgage Assn. Pool #767641 4.393% 5/20/2063 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Government National Mortgage Assn. Pool #795533 4.817% 5/20/2063 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Government National Mortgage Assn. Pool #894475 6.672% 10/20/2063 <sup>(a)(c)</sup>  | 181 | 185 |
| Government National Mortgage Assn. Pool #AG8068 4.817% 1/20/2064 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #894482 6.463% 2/20/2064 <sup>(a)(c)</sup>  | 320 | 328 |
| Government National Mortgage Assn. Pool #AG8149 4.339% 6/20/2064 <sup>(a)(c)</sup>  | 20 | 20 |
| Government National Mortgage Assn. Pool #AG8156 4.78% 7/20/2064 <sup>(a)(c)</sup>  | 4 | 4 |
| Government National Mortgage Assn. Pool #AG8150 4.881% 7/20/2064 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #AG8155 5.198% 7/20/2064 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #AG8171 5.20% 7/20/2064 <sup>(a)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| Government National Mortgage Assn. Pool #AG8194 4.228% 9/20/2064 <sup>(a)</sup>  | 4 | 4 |
| Government National Mortgage Assn. Pool #AG8189 5.197% 9/20/2064 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn. Pool #AL7438 4.694% 1/20/2065 <sup>(a)</sup>  | 1 | 1 |
| Government National Mortgage Assn., Series 2003-46, Class NB, 5.00% 6/20/2033 <sup>(a)</sup>  | 31 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Assn., Series 2012-H12, Class FT, (1-year UST Yield Curve Rate T Note Constant <br> Maturity + 0.70%) 4.34% 5/20/2062 <sup>(a)(c)</sup>  | 67 | 67 |
| Government National Mortgage Assn., Series 2012-H20, Class PT, 4.708% 7/20/2062 <sup>(a)(c)</sup>  | 64 | 64 |
| Government National Mortgage Assn., Series 2012-H23, Class FI, interest only, 0.866% 10/20/2062 <sup>(a)(c)</sup>  | 63 | 1 |
| Government National Mortgage Assn., Series 2021-2, Class AH, 1.50% 6/16/2063 <sup>(a)</sup>  | 5388 | 4041 |
| Uniform Mortgage-Backed Security 2.00% 12/1/2040 <sup>(a)(d)</sup>  | 29100 | 26910 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2040 <sup>(a)(d)</sup>  | 15421 | 14584 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2040 <sup>(a)(d)</sup>  | 16000 | 15784 |
| Uniform Mortgage-Backed Security 5.00% 12/1/2040 <sup>(a)(d)</sup>  | 10000 | 10115 |
| Uniform Mortgage-Backed Security 2.00% 12/1/2055 <sup>(a)(d)</sup>  | 47338 | 38530 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2055 <sup>(a)(d)</sup>  | 94204 | 80165 |
| Uniform Mortgage-Backed Security 3.00% 12/1/2055 <sup>(a)(d)</sup>  | 10851 | 9639 |
| Uniform Mortgage-Backed Security 3.50% 12/1/2055 <sup>(a)(d)</sup>  | 44194 | 40883 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2055 <sup>(a)(d)</sup>  | 28473 | 27123 |
| Uniform Mortgage-Backed Security 4.50% 12/1/2055 <sup>(a)(d)</sup>  | 120253 | 117738 |
| Uniform Mortgage-Backed Security 5.50% 12/1/2055 <sup>(a)(d)</sup>  | 60342 | 61112 |
| Uniform Mortgage-Backed Security 6.00% 12/1/2055 <sup>(a)(d)</sup>  | 125211 | 128216 |
| Uniform Mortgage-Backed Security 6.50% 12/1/2055 <sup>(a)(d)</sup>  | 466102 | 482910 |
| Uniform Mortgage-Backed Security 7.00% 12/1/2055 <sup>(a)(d)</sup>  | 65090 | 68279 |

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U.S. Government Securities Fund — Page 22 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)**<br> **Federal agency mortgage-backed obligations (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| Uniform Mortgage-Backed Security 2.00% 1/1/2056 <sup>(a)(d)</sup>  | USD181,559 | $147806 |
| Uniform Mortgage-Backed Security 3.50% 1/1/2056 <sup>(a)(d)</sup>  | 49989 | 46228 |
| Uniform Mortgage-Backed Security 5.50% 1/1/2056 <sup>(a)(d)</sup>  | 67604 | 68409 |
| Uniform Mortgage-Backed Security 7.00% 1/1/2056 <sup>(a)(d)</sup>  | 68558 | 71965 |
|  |  | 10523949 |
| **Collateralized mortgage-backed obligations 0.04%** |  |  |
| FARM Mortgage Trust, Series 2024-1, Class A, 4.684% 10/1/2053 <sup>(a)(c)(e)</sup>  | 10909 | 10671 |
| **Total mortgage-backed obligations** |  | 10534620 |
| **U.S. Treasury bonds & notes 42.80%**<br> **U.S. Treasury 38.80%**<br>|  |  |
| Federal National Mortgage Association 7.125% 1/15/2030  | 5000 | 5670 |
| U.S. Treasury 4.25% 12/31/2025  | 235000 | 235092 |
| U.S. Treasury 4.25% 1/31/2026  | 114000 | 114067 |
| U.S. Treasury 4.625% 2/28/2026  | 130000 | 130249 |
| U.S. Treasury 4.50% 3/31/2026  | 20000 | 20045 |
| U.S. Treasury 0.75% 4/30/2026  | 11220 | 11081 |
| U.S. Treasury 4.875% 4/30/2026  | 130000 | 130604 |
| U.S. Treasury 4.375% 7/31/2026 <sup>(f)</sup>  | 595000 | 597510 |
| U.S. Treasury 1.375% 8/31/2026  | 2500 | 2458 |
| U.S. Treasury 4.625% 9/15/2026  | 51444 | 51828 |
| U.S. Treasury 0.875% 9/30/2026  | 400 | 391 |
| U.S. Treasury 3.50% 9/30/2026  | 136000 | 135817 |
| U.S. Treasury 1.125% 10/31/2026  | 27500 | 26879 |
| U.S. Treasury 2.00% 11/15/2026  | 50000 | 49230 |
| U.S. Treasury 4.625% 11/15/2026  | 27500 | 27753 |
| U.S. Treasury 4.375% 12/15/2026  | 85815 | 86478 |
| U.S. Treasury 1.25% 12/31/2026  | 35000 | 34130 |
| U.S. Treasury 4.25% 12/31/2026  | 32704 | 32920 |
| U.S. Treasury 1.50% 1/31/2027  | 13500 | 13179 |
| U.S. Treasury 4.125% 1/31/2027  | 51000 | 51303 |
| U.S. Treasury 4.125% 2/15/2027  | 6600 | 6642 |
| U.S. Treasury 1.875% 2/28/2027  | 18463 | 18082 |
| U.S. Treasury 4.50% 4/15/2027  | 65261 | 66072 |
| U.S. Treasury 3.75% 4/30/2027  | 45034 | 45150 |
| U.S. Treasury 2.375% 5/15/2027  | 48800 | 47996 |
| U.S. Treasury 2.625% 5/31/2027  | 30980 | 30568 |
| U.S. Treasury 3.875% 5/31/2027  | 56788 | 57056 |
| U.S. Treasury 0.50% 6/30/2027  | 14000 | 13354 |
| U.S. Treasury 3.25% 6/30/2027  | 176919 | 176159 |
| U.S. Treasury 3.75% 6/30/2027  | 418582 | 419923 |
| U.S. Treasury 4.375% 7/15/2027  | 10360 | 10497 |
| U.S. Treasury 2.75% 7/31/2027  | 56000 | 55294 |
| U.S. Treasury 3.875% 7/31/2027  | 28432 | 28586 |
| U.S. Treasury 0.50% 8/31/2027  | 33320 | 31629 |
| U.S. Treasury 3.625% 8/31/2027  | 44546 | 44624 |
| U.S. Treasury 3.375% 9/15/2027  | 80000 | 79803 |
| U.S. Treasury 0.375% 9/30/2027  | 45000 | 42519 |
| U.S. Treasury 4.125% 9/30/2027  | 3100 | 3133 |
| U.S. Treasury 3.875% 10/15/2027  | 2427 | 2443 |
| U.S. Treasury 0.50% 10/31/2027  | 18790 | 17752 |
| U.S. Treasury 4.125% 11/15/2027  | 5057 | 5116 |
| U.S. Treasury 0.625% 11/30/2027  | 3100 | 2930 |

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U.S. Government Securities Fund — Page 23 of 34

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)**<br> **U.S. Treasury (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| U.S. Treasury 3.375% 11/30/2027  | USD7,625 | $7608 |
| U.S. Treasury 3.875% 11/30/2027  | 44000 | 44317 |
| U.S. Treasury 3.875% 12/31/2027  | 166000 | 167271 |
| U.S. Treasury 4.25% 1/15/2028  | 7682 | 7799 |
| U.S. Treasury 4.25% 2/15/2028 <sup>(f)</sup>  | 605000 | 614642 |
| U.S. Treasury 4.00% 2/29/2028  | 46435 | 46944 |
| U.S. Treasury 1.25% 3/31/2028  | 390 | 371 |
| U.S. Treasury 2.875% 5/15/2028  | 20000 | 19713 |
| U.S. Treasury 1.25% 5/31/2028  | 6300 | 5966 |
| U.S. Treasury 3.625% 5/31/2028  | 53200 | 53380 |
| U.S. Treasury 1.25% 6/30/2028  | 59360 | 56110 |
| U.S. Treasury 4.00% 6/30/2028  | 84653 | 85733 |
| U.S. Treasury 4.125% 7/31/2028  | 224000 | 227605 |
| U.S. Treasury 1.125% 8/31/2028  | 19110 | 17936 |
| U.S. Treasury 4.375% 8/31/2028  | 16000 | 16367 |
| U.S. Treasury 3.50% 11/15/2028  | 5238 | 5239 |
| U.S. Treasury 4.375% 11/30/2028  | 220840 | 226292 |
| U.S. Treasury 1.75% 1/31/2029  | 25000 | 23690 |
| U.S. Treasury 4.00% 1/31/2029  | 1417 | 1438 |
| U.S. Treasury 2.625% 2/15/2029  | 40000 | 38936 |
| U.S. Treasury 4.625% 4/30/2029  | 12620 | 13065 |
| U.S. Treasury 4.50% 5/31/2029  | 208643 | 215293 |
| U.S. Treasury 3.25% 6/30/2029  | 25000 | 24762 |
| U.S. Treasury 2.625% 7/31/2029  | 63533 | 61560 |
| U.S. Treasury 4.00% 7/31/2029  | 188000 | 190952 |
| U.S. Treasury 3.875% 9/30/2029  | 9600 | 9711 |
| U.S. Treasury 4.125% 10/31/2029  | 99341 | 101410 |
| U.S. Treasury 4.125% 11/30/2029  | 128106 | 130808 |
| U.S. Treasury 3.875% 12/31/2029  | 6000 | 6071 |
| U.S. Treasury 4.375% 12/31/2029  | 294852 | 303928 |
| U.S. Treasury 3.50% 1/31/2030  | 74905 | 74726 |
| U.S. Treasury 4.00% 2/28/2030  | 126000 | 128131 |
| U.S. Treasury 4.00% 3/31/2030  | 32613 | 33170 |
| U.S. Treasury 3.875% 4/30/2030  | 20426 | 20676 |
| U.S. Treasury 0.625% 5/15/2030  | 30880 | 27155 |
| U.S. Treasury 3.75% 5/31/2030  | 35000 | 35246 |
| U.S. Treasury 4.00% 5/31/2030  | 3549 | 3611 |
| U.S. Treasury 4.00% 7/31/2030  | 23355 | 23763 |
| U.S. Treasury 0.625% 8/15/2030  | 14510 | 12660 |
| U.S. Treasury 4.625% 9/30/2030  | 193819 | 202526 |
| U.S. Treasury 4.875% 10/31/2030  | 119277 | 126043 |
| U.S. Treasury 3.50% 11/30/2030  | 6449 | 6419 |
| U.S. Treasury 4.375% 11/30/2030  | 24897 | 25755 |
| U.S. Treasury 3.75% 12/31/2030  | 1956 | 1968 |
| U.S. Treasury 4.25% 2/28/2031  | 8000 | 8236 |
| U.S. Treasury 1.625% 5/15/2031  | 29550 | 26612 |
| U.S. Treasury 4.25% 6/30/2031  | 120000 | 123544 |
| U.S. Treasury 4.125% 10/31/2031  | 1112 | 1137 |
| U.S. Treasury 1.375% 11/15/2031  | 56000 | 49074 |
| U.S. Treasury 4.125% 11/30/2031  | 42310 | 43269 |
| U.S. Treasury 4.50% 12/31/2031  | 4814 | 5019 |
| U.S. Treasury 4.375% 1/31/2032  | 20000 | 20716 |
| U.S. Treasury 1.875% 2/15/2032  | 16949 | 15219 |
| U.S. Treasury 4.125% 2/29/2032  | 40000 | 40881 |

---

U.S. Government Securities Fund — Page 24 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)**<br> **U.S. Treasury (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| U.S. Treasury 4.00% 4/30/2032  | USD5,100 | $5176 |
| U.S. Treasury 4.125% 5/31/2032  | 137460 | 140445 |
| U.S. Treasury 4.00% 6/30/2032  | 215000 | 218065 |
| U.S. Treasury 4.00% 7/31/2032  | 15000 | 15207 |
| U.S. Treasury 2.75% 8/15/2032  | 7514 | 7062 |
| U.S. Treasury 3.75% 11/30/2032  | 4798 | 4785 |
| U.S. Treasury 3.875% 8/15/2033  | 44841 | 44934 |
| U.S. Treasury 4.00% 2/15/2034  | 34006 | 34287 |
| U.S. Treasury 4.375% 5/15/2034  | 36116 | 37349 |
| U.S. Treasury 3.875% 8/15/2034  | 26014 | 25912 |
| U.S. Treasury 4.25% 11/15/2034  | 170978 | 174865 |
| U.S. Treasury 4.25% 5/15/2035  | 6887 | 7031 |
| U.S. Treasury 4.25% 8/15/2035  | 67000 | 68319 |
| U.S. Treasury 4.00% 11/15/2035  | 3600 | 3594 |
| U.S. Treasury 5.00% 5/15/2037  | 1500 | 1626 |
| U.S. Treasury 4.625% 2/15/2040  | 580 | 596 |
| U.S. Treasury 1.125% 5/15/2040  | 3660 | 2370 |
| U.S. Treasury 1.125% 8/15/2040  | 33890 | 21716 |
| U.S. Treasury, interest only, 0% 11/15/2040 <sup>(f)</sup>  | 15000 | 7476 |
| U.S. Treasury 1.375% 11/15/2040  | 33948 | 22485 |
| U.S. Treasury 1.875% 2/15/2041  | 22549 | 16070 |
| U.S. Treasury 4.75% 2/15/2041  | 6330 | 6552 |
| U.S. Treasury 2.25% 5/15/2041  | 34863 | 26174 |
| U.S. Treasury 1.75% 8/15/2041  | 93380 | 64301 |
| U.S. Treasury 3.125% 11/15/2041  | 100 | 84 |
| U.S. Treasury 3.25% 5/15/2042  | 39623 | 33704 |
| U.S. Treasury 3.375% 8/15/2042  | 2850 | 2458 |
| U.S. Treasury 2.75% 11/15/2042  | 30021 | 23555 |
| U.S. Treasury 3.875% 2/15/2043  | 11970 | 10990 |
| U.S. Treasury 2.875% 5/15/2043  | 10880 | 8624 |
| U.S. Treasury 3.875% 5/15/2043  | 19985 | 18305 |
| U.S. Treasury 4.375% 8/15/2043  | 9360 | 9128 |
| U.S. Treasury 4.50% 2/15/2044  | 78000 | 77098 |
| U.S. Treasury 3.375% 5/15/2044  | 5278 | 4453 |
| U.S. Treasury 4.625% 11/15/2044  | 3317 | 3319 |
| U.S. Treasury 2.50% 2/15/2045  | 60100 | 43572 |
| U.S. Treasury 4.75% 2/15/2045  | 2482 | 2522 |
| U.S. Treasury 3.00% 5/15/2045  | 3350 | 2638 |
| U.S. Treasury 5.00% 5/15/2045  | 101555 | 106490 |
| U.S. Treasury 4.875% 8/15/2045  | 4549 | 4692 |
| U.S. Treasury 4.625% 11/15/2045  | 2298 | 2297 |
| U.S. Treasury 2.50% 2/15/2046  | 8997 | 6421 |
| U.S. Treasury 2.25% 8/15/2046  | 15360 | 10370 |
| U.S. Treasury 3.00% 2/15/2047  | 20802 | 16060 |
| U.S. Treasury 2.75% 8/15/2047  | 14222 | 10431 |
| U.S. Treasury 2.75% 11/15/2047  | 7375 | 5392 |
| U.S. Treasury 3.00% 2/15/2048  | 15529 | 11864 |
| U.S. Treasury 3.125% 5/15/2048  | 6500 | 5068 |
| U.S. Treasury 3.00% 8/15/2048  | 27802 | 21129 |
| U.S. Treasury 2.25% 8/15/2049  | 13076 | 8442 |
| U.S. Treasury 2.375% 11/15/2049  | 17921 | 11855 |
| U.S. Treasury 2.00% 2/15/2050  | 61360 | 37123 |
| U.S. Treasury 1.25% 5/15/2050  | 124750 | 61927 |
| U.S. Treasury 1.375% 8/15/2050  | 71480 | 36388 |

---

U.S. Government Securities Fund — Page 25 of 34

------

**unaudited**

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)**<br> **U.S. Treasury (continued)**<br>| Principal amount<br> (000)<br>| Value<br> (000)<br>|
| U.S. Treasury 1.625% 11/15/2050 <sup>(f)</sup>  | USD292,196 | $158699 |
| U.S. Treasury 1.875% 2/15/2051  | 42054 | 24299 |
| U.S. Treasury 2.375% 5/15/2051  | 100450 | 65355 |
| U.S. Treasury 2.00% 8/15/2051  | 72004 | 42662 |
| U.S. Treasury 1.875% 11/15/2051  | 20830 | 11914 |
| U.S. Treasury 2.25% 2/15/2052  | 500 | 313 |
| U.S. Treasury 2.875% 5/15/2052  | 29000 | 20907 |
| U.S. Treasury 4.00% 11/15/2052  | 19214 | 17156 |
| U.S. Treasury 3.625% 2/15/2053  | 7855 | 6555 |
| U.S. Treasury 4.125% 8/15/2053  | 36908 | 33665 |
| U.S. Treasury 4.75% 11/15/2053  | 70653 | 71382 |
| U.S. Treasury 4.25% 2/15/2054  | 4300 | 4006 |
| U.S. Treasury 4.625% 5/15/2054  | 40042 | 39707 |
| U.S. Treasury 4.25% 8/15/2054  | 18662 | 17385 |
| U.S. Treasury 4.50% 11/15/2054  | 6580 | 6392 |
| U.S. Treasury 4.625% 2/15/2055  | 90000 | 89276 |
| U.S. Treasury 4.75% 5/15/2055  | 1998 | 2023 |
| U.S. Treasury 4.75% 8/15/2055 <sup>(f)</sup>  | 343995 | 348350 |
| U.S. Treasury 4.625% 11/15/2055  | 30936 | 30714 |
|  |  | 9286041 |
| **U.S. Treasury inflation-protected securities 4.00%** |  |  |
| U.S. Treasury Inflation-Protected Security 0.625% 1/15/2026 <sup>(g)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| U.S. Treasury Inflation-Protected Security 0.125% 4/15/2026 <sup>(g)</sup>  | 44110 | 43848 |
| U.S. Treasury Inflation-Protected Security 0.125% 10/15/2026 <sup>(g)</sup>  | 99313 | 98503 |
| U.S. Treasury Inflation-Protected Security 0.125% 4/15/2027 <sup>(g)</sup>  | 47161 | 46347 |
| U.S. Treasury Inflation-Protected Security 1.625% 10/15/2029 <sup>(g)</sup>  | 458275 | 465404 |
| U.S. Treasury Inflation-Protected Security 0.125% 1/15/2032 <sup>(g)</sup>  | 61615 | 56799 |
| U.S. Treasury Inflation-Protected Security 1.875% 7/15/2034 <sup>(g)</sup>  | 88701 | 90060 |
| U.S. Treasury Inflation-Protected Security 0.625% 2/15/2043 <sup>(g)</sup>  | 47873 | 36398 |
| U.S. Treasury Inflation-Protected Security 0.25% 2/15/2050 <sup>(g)</sup>  | 1977 | 1173 |
| U.S. Treasury Inflation-Protected Security 0.125% 2/15/2051 <sup>(g)</sup>  | —<br> <sup>(b)</sup><br>| — <br><sup>(b)</sup><br>|
| U.S. Treasury Inflation-Protected Security 2.125% 2/15/2054 <sup>(g)</sup>  | 13660 | 12614 |
| U.S. Treasury Inflation-Protected Security 2.375% 2/15/2055 <sup>(g)</sup>  | 108957 | 106344 |
|  |  | 957490 |
| **Total U.S. Treasury bonds & notes** |  | 10243531 |
| **Federal agency bonds & notes 0.80%** |  |  |
| Export-Import Bank of the United States-Guaranteed, Ethiopian Leasing 2012, LLC 2.646% 5/12/2026  | 92 | 91 |
| Fannie Mae 0.75% 10/8/2027  | 21700 | 20622 |
| Fannie Mae 0.875% 8/5/2030 <sup>(f)</sup>  | 63500 | 56081 |
| Federal Home Loan Bank 3.25% 11/16/2028  | 56500 | 56220 |
| Federal Home Loan Bank 5.50% 7/15/2036  | 1000 | 1108 |
| Tennessee Valley Authority 2.875% 2/1/2027  | 5000 | 4960 |
| Tennessee Valley Authority 4.875% 5/15/2035  | 30000 | 31355 |
| Tennessee Valley Authority 4.65% 6/15/2035  | 4480 | 4608 |
| Tennessee Valley Authority 5.88% 4/1/2036  | 3625 | 4099 |
| Tennessee Valley Authority, Series 2008, Class A, 4.875% 1/15/2048  | 3300 | 3239 |
| Tennessee Valley Authority, Southaven Combined Cycle Generation, LLC, 3.846% 8/15/2033  | 1162 | 1130 |
| U.S. Department of Housing and Urban Development, Series 2015-A-12, 3.10% 8/1/2026  | 747 | 742 |
| U.S. Department of Housing and Urban Development, Series 2015-A-13, 3.15% 8/1/2027  | 3430 | 3387 |
| U.S. Department of Housing and Urban Development, Series 2015-A-14, 3.25% 8/1/2028  | 990 | 978 |
| U.S. Department of Housing and Urban Development, Series 2015-A-15, 3.35% 8/1/2029  | 650 | 640 |

---

U.S. Government Securities Fund — Page 26 of 34

------

**unaudited**

---

| | | | |
|:---|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Federal agency bonds & notes (continued)**<br>|  | Principal amount<br> (000)<br>| Value<br> (000)<br>|
| U.S. Department of Housing and Urban Development, Series 2015-A-16, 3.50% 8/1/2030  | U.S. Department of Housing and Urban Development, Series 2015-A-16, 3.50% 8/1/2030  | USD585 | $572 |
| U.S. Department of Housing and Urban Development, Series 2015-A-17, 3.55% 8/1/2031  | U.S. Department of Housing and Urban Development, Series 2015-A-17, 3.55% 8/1/2031  | 705 | 683 |
| U.S. Department of Housing and Urban Development, Series 2015-A-18, 3.60% 8/1/2032  | U.S. Department of Housing and Urban Development, Series 2015-A-18, 3.60% 8/1/2032  | 720 | 688 |
| U.S. Department of Housing and Urban Development, Series 2015-A-19, 3.65% 8/1/2033  | U.S. Department of Housing and Urban Development, Series 2015-A-19, 3.65% 8/1/2033  | 545 | 518 |
|  |  |  | 191721 |
| **Total bonds, notes & other debt instruments** (cost: $21,191,941,000) |  |  | 20969872 |
| Short-term securities 18.26%<br> **U.S. Treasury bills 11.64%**<br>| Weighted<br> average yield<br> at acquisition<br>|  |  |
| U.S. Treasury 12/4/2025  | 4.075<br> %<br>| 350000 | 349887 |
| U.S. Treasury 12/9/2025  | 3.631 | 150000 | 149871 |
| U.S. Treasury 12/18/2025  | 4.102 | 500000 | 499080 |
| U.S. Treasury 12/30/2025  | 3.626 | 200000 | 199378 |
| U.S. Treasury 1/29/2026  | 3.646 | 300000 | 298131 |
| U.S. Treasury 2/5/2026  | 3.718 | 500000 | 496569 |
| U.S. Treasury 2/19/2026  | 3.727 | 300000 | 297533 |
| U.S. Treasury 3/17/2026  | 3.739 | 100000 | 98909 |
| U.S. Treasury 3/24/2026  | 3.605 | 400000 | 395339 |
|  |  |  | 2784697 |
| **Money market investments 6.62%** |  | Shares |  |
| Capital Group Central Cash Fund 3.94% <sup>(h)(i)</sup>  | Capital Group Central Cash Fund 3.94% <sup>(h)(i)</sup>  | 15852947 | 1585136 |
| **Total short-term securities** (cost: $4,369,707,000) |  |  | 4369833 |
| Options purchased (equity style) 0.00% |  |  |  |
| Options purchased (equity style)\* |  |  | 808 |
| **Total options purchased (equity style)** (cost: $6,139,000) |  |  | 808 |
| **Total investment securities 105.87%** (cost: $25,567,787,000) |  |  | 25340513 |
| **Total options written**<sup>†</sup> **0.00%** (premium received: $324,000) |  |  | (238)<br>|
| Other assets less liabilities (5.87)% |  |  | (1404728)<br>|
| **Net assets 100.00%** |  |  | $23935547 |

---

<sup>\*</sup>Options purchased (equity style)

------

**Options on futures** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of <br>contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exercise <br>price<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>|
| **Call** |  |  |  |  |  |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD96.50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD329,500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $8 |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97.00 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97.50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98.00 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2537500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96.63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 731000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 421 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $509 |

---

U.S. Government Securities Fund — Page 27 of 34

------

**unaudited**

<sup>\*</sup>Options purchased (equity style) (continued)

------

**Options on futures (continued)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of<br> contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration<br> date<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exercise<br> price<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional<br> amount<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value at<br> 11/30/2025<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>|
| **Put** |  |  |  |  |  |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12/12/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD95.69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD11,960,000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $299 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $808 |

---

<sup>†</sup>Options written (equity style)

------

**Options on futures** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of <br>contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exercise <br>price<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>|
| **Call** |  |  |  |  |  |
| 3 Month SOFR Futures Option | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD96.81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD(731,000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(238)<br>|

---

Futures contracts

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Contracts | Type | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Number of <br>contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value and <br>unrealized <br>appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(depreciation) <br>at 11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(000)<br>|
| 30 Day Federal Funds Futures | Long | 246 | 2/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; USD98,761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $10 |
| 30 Day Federal Funds Futures | Long | 233 | 3/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| 3 Month SOFR Futures | Short | 23 | 3/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5535)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2)<br>|
| 3 Month SOFR Futures | Long | 193 | 6/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (258)<br>|
| 3 Month SOFR Futures | Long | 1104 | 9/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (248)<br>|
| 3 Month SOFR Futures | Short | 766 | 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (185410)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27)<br>|
| 2 Year U.S. Treasury Note Futures | Long | 74544 | 4/6/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15569214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1656 |
| 5 Year U.S. Treasury Note Futures | Long | 30927 | 4/6/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3394722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4455 |
| 10 Year Ultra U.S. Treasury Note Futures | Short | 3384 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (393232)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1964)<br>|
| 10 Year U.S. Treasury Note Futures | Short | 10472 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1186936)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1342 |
| 20 Year U.S. Treasury Bond Futures | Long | 2766 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 864 |
| 30 Year Ultra U.S. Treasury Bond Futures | Long | 5466 | 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5099 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $10977 |

---

U.S. Government Securities Fund — Page 28 of 34

------

**unaudited**

Swap contracts

------

**Interest rate swaps**

**Centrally cleared interest rate swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | Receive | Pay | Pay | &nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Upfront <br>premium <br>paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(received) <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Unrealized <br>appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(depreciation) <br>at 11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) |
| Rate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment <br>frequency<br>| Rate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment <br>frequency<br>| &nbsp;&nbsp;&nbsp;&nbsp; Expiration <br>date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional <br>amount <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Value at <br>11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Upfront <br>premium <br>paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(received) <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Unrealized <br>appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(depreciation) <br>at 11/30/2025 <br>&nbsp;&nbsp;&nbsp;&nbsp;(000) |
| 4.2035% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/10/2026 | USD51,352 | &nbsp;&nbsp;&nbsp;&nbsp; $12 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $12 |
| 4.184% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/10/2026 | 51352 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| 4.2045% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/10/2026 | 13496 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| 4.27% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/16/2026 | 118860 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| 4.265% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/16/2026 | 58987 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| 4.3035% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/17/2026 | 35408 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| 4.2515% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/17/2026 | 35065 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| 4.2675% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/17/2026 | 34181 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| 4.3005% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/17/2026 | 24555 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| 4.288% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/17/2026 | 24945 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| 4.56% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 3/1/2026 | 375000 | &nbsp;&nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 616 |
| 4.568% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 3/1/2026 | 368500 | &nbsp;&nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 612 |
| 4.6275% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 3/20/2026 | 680000 | &nbsp;&nbsp;&nbsp;&nbsp; 1520 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1520 |
| 4.9005% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/17/2026 | 197200 | &nbsp;&nbsp;&nbsp;&nbsp; 781 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 781 |
| 4.815% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/6/2026 | 439800 | &nbsp;&nbsp;&nbsp;&nbsp; 1868 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1868 |
| 4.723% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/7/2026 | 425655 | &nbsp;&nbsp;&nbsp;&nbsp; 1654 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1654 |
| 4.659% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/17/2026 | 560900 | &nbsp;&nbsp;&nbsp;&nbsp; 2206 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2206 |
| SOFR | Annual | 3.848% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 11/15/2026 | 49153 | &nbsp;&nbsp;&nbsp;&nbsp; (146)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (146)<br>|
| SOFR | Annual | 3.8045% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 12/15/2026 | 25400 | &nbsp;&nbsp;&nbsp;&nbsp; (79)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (79)<br>|
| 3.5405% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/23/2027 | 160200 | &nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| 3.535% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/23/2027 | 173500 | &nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| 3.53% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/23/2027 | 96800 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| SOFR | Annual | 4.186% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/18/2027 | 682600 | &nbsp;&nbsp;&nbsp;&nbsp; (5965)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5965)<br>|
| 3.7645% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/20/2027 | 320800 | &nbsp;&nbsp;&nbsp;&nbsp; 1216 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1216 |
| 3.761% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/20/2027 | 160600 | &nbsp;&nbsp;&nbsp;&nbsp; 602 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 602 |
| 4.5895% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/6/2027 | 316985 | &nbsp;&nbsp;&nbsp;&nbsp; 5256 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5256 |
| SOFR | Annual | 3.2465% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 9/15/2027 | 211200 | &nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| SOFR | Annual | 3.249% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 9/15/2027 | 211170 | &nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 218 |
| 3.45% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/1/2028 | 166200 | &nbsp;&nbsp;&nbsp;&nbsp; 586 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 586 |
| 3.47% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/2/2028 | 43700 | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| 3.6475% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/27/2028 | 268700 | &nbsp;&nbsp;&nbsp;&nbsp; 2318 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2318 |
| 3.16% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/2028 | 39600 | &nbsp;&nbsp;&nbsp;&nbsp; (101)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (101)<br>|
| U.S. EFFR | Annual | 2.32625% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/18/2029 | 60500 | &nbsp;&nbsp;&nbsp;&nbsp; 1697 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1697 |
| SOFR | Annual | 3.528% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/29/2030 | 52400 | &nbsp;&nbsp;&nbsp;&nbsp; (514)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (514)<br>|
| SOFR | Annual | 3.529% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/29/2030 | 64000 | &nbsp;&nbsp;&nbsp;&nbsp; (630)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (630)<br>|
| SOFR | Annual | 3.5485% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/29/2030 | 69600 | &nbsp;&nbsp;&nbsp;&nbsp; (738)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (738)<br>|
| U.S. EFFR | Annual | 0.5385% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 3/26/2030 | 233200 | &nbsp;&nbsp;&nbsp;&nbsp; 25180 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 25180 |
| 3.18% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/17/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; (141)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (141)<br>|
| 3.275% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/18/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; (13)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (13)<br>|
| 3.353% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/19/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| 3.342% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/19/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| 3.344% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/20/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| 3.128% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/28/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; (214)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (214)<br>|
| 3.285% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/1/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; (1)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1)<br>|
| 3.259% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/1/2030 | 33100 | &nbsp;&nbsp;&nbsp;&nbsp; (36)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (36)<br>|
| 3.186% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/9/2030 | 33100 | &nbsp;&nbsp;&nbsp;&nbsp; (137)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (137)<br>|
| 3.215% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/10/2030 | 33200 | &nbsp;&nbsp;&nbsp;&nbsp; (98)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (98)<br>|
| 3.29% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/19/2030 | 39700 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4 |

---

U.S. Government Securities Fund — Page 29 of 34

------

**unaudited**

Swap contracts (continued)

------

**Interest rate swaps (continued)**

**Centrally cleared interest rate swaps (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | Receive | Pay | Pay | &nbsp;&nbsp;&nbsp;&nbsp; Expiration<br> date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional<br> amount<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Value at<br> 11/30/2025<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Upfront<br> premium<br> paid<br> &nbsp;&nbsp;&nbsp;&nbsp;(received)<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Unrealized<br> appreciation<br> &nbsp;&nbsp;&nbsp;&nbsp;(depreciation)<br> at 11/30/2025<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) |
| Rate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment<br> frequency<br>| Rate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment<br> frequency<br>| &nbsp;&nbsp;&nbsp;&nbsp; Expiration<br> date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional<br> amount<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Value at<br> 11/30/2025<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Upfront<br> premium<br> paid<br> &nbsp;&nbsp;&nbsp;&nbsp;(received)<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) | &nbsp;&nbsp;&nbsp;&nbsp; Unrealized<br> appreciation<br> &nbsp;&nbsp;&nbsp;&nbsp;(depreciation)<br> at 11/30/2025<br> &nbsp;&nbsp;&nbsp;&nbsp;(000) |
| SOFR | Annual | 3.3615% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/31/2030 | 194690 | &nbsp;&nbsp;&nbsp;&nbsp; $(647)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(647)<br>|
| 3.31% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 6/9/2030 | 203200 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| U.S. EFFR | Annual | 0.666% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 11/19/2030 | 111300 | &nbsp;&nbsp;&nbsp;&nbsp; 13163 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 13163 |
| SOFR | Annual | 3.326% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 9/19/2032 | 137995 | &nbsp;&nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 717 |
| SOFR | Annual | 3.4225% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 9/22/2032 | 138970 | &nbsp;&nbsp;&nbsp;&nbsp; (90)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (90)<br>|
| SOFR | Annual | 4.1615% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/15/2033 | 4500 | &nbsp;&nbsp;&nbsp;&nbsp; (210)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (210)<br>|
| SOFR | Annual | 4.15% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/15/2033 | 10800 | &nbsp;&nbsp;&nbsp;&nbsp; (495)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (495)<br>|
| SOFR | Annual | 3.10% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/2033 | 21400 | &nbsp;&nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 512 |
| 4.0135% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 8/21/2033 | 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 554 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 554 |
| SOFR | Annual | 3.6038% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/8/2034 | 61600 | &nbsp;&nbsp;&nbsp;&nbsp; (486)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (486)<br>|
| SOFR | Annual | 3.7175% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 8/8/2035 | 14824 | &nbsp;&nbsp;&nbsp;&nbsp; (154)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (154)<br>|
| SOFR | Annual | 3.6965% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 11/5/2035 | 36438 | &nbsp;&nbsp;&nbsp;&nbsp; (281)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (281)<br>|
| SOFR | Annual | 3.175% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/1/2038 | 92000 | &nbsp;&nbsp;&nbsp;&nbsp; 4843 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4843 |
| 3.065% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/7/2040 | 16700 | &nbsp;&nbsp;&nbsp;&nbsp; (1429)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1429)<br>|
| 3.616% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 8/5/2044 | 69500 | &nbsp;&nbsp;&nbsp;&nbsp; (3109)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3109)<br>|
| 3.561% | Annual | SOFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 8/9/2044 | 59700 | &nbsp;&nbsp;&nbsp;&nbsp; (3113)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3113)<br>|
| SOFR | Annual | 3.41% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 7/28/2045 | 172600 | &nbsp;&nbsp;&nbsp;&nbsp; 13240 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 13240 |
| SOFR | Annual | 3.01413% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/12/2053 | 17216 | &nbsp;&nbsp;&nbsp;&nbsp; 2772 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2772 |
| SOFR | Annual | 3.02% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 1/12/2053 | 17200 | &nbsp;&nbsp;&nbsp;&nbsp; 2752 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2752 |
| SOFR | Annual | 2.974% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/17/2053 | 10400 | &nbsp;&nbsp;&nbsp;&nbsp; 1751 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1751 |
| SOFR | Annual | 3.044% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/18/2053 | 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 1645 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1645 |
| SOFR | Annual | 3.0875% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/19/2053 | 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 1568 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1568 |
| SOFR | Annual | 3.1035% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/19/2053 | 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 1540 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1540 |
| SOFR | Annual | 3.0895% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/20/2053 | 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 1565 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1565 |
| SOFR | Annual | 2.9405% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 4/28/2053 | 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 1846 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1846 |
| SOFR | Annual | 3.0535% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/1/2053 | 21100 | &nbsp;&nbsp;&nbsp;&nbsp; 3273 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3273 |
| SOFR | Annual | 3.085% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/9/2053 | 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 1589 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1589 |
| SOFR | Annual | 3.1135% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/10/2053 | 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 1538 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1538 |
| SOFR | Annual | 3.1605% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 5/19/2053 | 12800 | &nbsp;&nbsp;&nbsp;&nbsp; 1756 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1756 |
| SOFR | Annual | 3.6765% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/20/2054 | 28973 | &nbsp;&nbsp;&nbsp;&nbsp; 1456 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1456 |
| SOFR | Annual | 3.6815% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/20/2054 | 27800 | &nbsp;&nbsp;&nbsp;&nbsp; 1373 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1373 |
| SOFR | Annual | 3.7205% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 2/21/2054 | 23227 | &nbsp;&nbsp;&nbsp;&nbsp; 993 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 993 |
| SOFR | Annual | 3.47875% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 8/5/2054 | 53000 | &nbsp;&nbsp;&nbsp;&nbsp; 4466 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4466 |
| SOFR | Annual | 3.415% | Annual | &nbsp;&nbsp;&nbsp;&nbsp; 8/9/2054 | 45400 | &nbsp;&nbsp;&nbsp;&nbsp; 4324 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4324 |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $98156 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $98156 |

---

Investments in affiliates <sup>(i)</sup>

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Value at <br>9/1/2025 <br>(000)<br>| Additions <br>(000)<br>| Reductions <br>(000)<br>| Net <br>realized <br>gain (loss) <br>(000)<br>| Net <br>unrealized <br>appreciation <br>(depreciation) <br>(000)<br>| Value at <br>11/30/2025 <br>(000)<br>| Dividend <br>or interest <br>income <br>(000)<br>|
| **Short-term securities 6.62%** | **Short-term securities 6.62%** | **Short-term securities 6.62%** | **Short-term securities 6.62%** | **Short-term securities 6.62%** | **Short-term securities 6.62%** | **Short-term securities 6.62%** | **Short-term securities 6.62%** |
| **Money market investments 6.62%** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Group Central Cash Fund 3.94% <sup>(h)</sup> <br>| $1572898 | &nbsp;&nbsp; $2429606 | &nbsp;&nbsp; $2417063 | &nbsp;&nbsp; $44 | &nbsp;&nbsp; $(349)<br>| &nbsp;&nbsp; $1585136 | &nbsp;&nbsp; $16637 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

U.S. Government Securities Fund — Page 30 of 34

------

**unaudited**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.

<sup>(b)</sup> Amount less than one thousand.

<sup>(c)</sup> Coupon rate may change periodically. Reference rate and spread are as of the most recent information available. Some coupon rates are determined by the issuer or agent based on current market conditions; therefore, the reference rate and spread are not available. 

<sup>(d)</sup> Represents securities transacted on a TBA basis.

<sup>(e)</sup> Acquired in a transaction exempt from registration under Rule 144A or, for commercial paper, Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $10,671,000, which represented 0.04% of the net assets of the fund. 

<sup>(f)</sup> All or a portion of this security was pledged as collateral. The total value of pledged collateral was $206,862,000, which represented 0.86% of the net assets of the fund. 

<sup>(g)</sup> Index-linked bond whose principal amount moves with a government price index. 

<sup>(h)</sup> Rate represents the seven-day yield at 11/30/2025.

<sup>(i)</sup> Affiliate of the fund or part of the same "group of investment companies" as the fund, as defined under the Investment Company Act of 1940, as amended.

U.S. Government Securities Fund — Page 31 of 34

------

**unaudited**

Valuation disclosures

------

Capital Research and Management Company ("CRMC"), the fund's investment adviser, values the fund's investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value per share is calculated once daily as of the close of regular trading on the New York Stock Exchange, normally 4 p.m. New York time, each day the New York Stock Exchange is open. Security transactions are recorded by the fund as of the date the trades are executed with brokers.

**Methods and inputs** — The fund's investment adviser uses the following methods and inputs to establish the fair value of the fund's assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.

Fixed-income securities, including short-term securities, are generally valued at evaluated prices obtained from third-party pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.

---

| | |
|:---|:---|
| **Fixed-income class** | **Examples of standard inputs** |
| &nbsp;&nbsp;&nbsp;&nbsp; All | &nbsp;&nbsp;&nbsp; Benchmark yields, transactions, bids, offers, quotations from dealers and <br> trading systems, new issues, spreads and other relationships observed in <br> the markets among comparable securities; and proprietary pricing <br> models such as yield measures calculated using factors such as cash flows, <br> financial or collateral performance and other reference data (collectively <br> referred to as "standard inputs")<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; Bonds & notes of governments & government agencies | Standard inputs and interest rate volatilities |
| &nbsp;&nbsp;&nbsp;&nbsp; Mortgage-backed; asset-backed obligations | &nbsp;&nbsp;&nbsp; Standard inputs and cash flows, prepayment information, default rates, <br> delinquency and loss assumptions, collateral characteristics, credit <br> enhancements and specific deal information<br>|

---

The Capital Group Central Cash Fund ("CCF"), a fund within the Capital Group Central Fund Series ("Central Funds"), is valued based upon a floating net asset value, which fluctuates with changes in the value of CCF's portfolio securities. The underlying securities are valued based on the policies and procedures in CCF's statement of additional information. Exchange-traded options and futures are generally valued at the official closing price for options and official settlement price for futures on the exchange or market on which such instruments are traded, as of the close of business on the day such instruments are being valued. The average month-end notional amount of options on futures while held was $13,962,167,000. The average month-end notional amount of futures contracts while held was $23,902,276,000. Swaps are generally valued using evaluated prices obtained from third-party pricing vendors who calculate these values based on market inputs that may include the yields of the indices referenced in the instrument and the relevant curve, dealer quotes, default probabilities and recovery rates, and terms of the contract. The average month-end notional amounts of interest rate swaps while held were $9,576,101,000.

U.S. Government Securities Fund — Page 32 of 34

------

**unaudited**

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund's investment adviser are fair valued as determined in good faith under fair valuation guidelines adopted by the fund's investment adviser and approved by the board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security, restrictions on resale of the security, relevant financial or business developments of the issuer, actively traded similar or related securities, dealer or broker quotes, conversion or exchange rights on the security, related corporate actions, significant events occurring after the close of trading in the security, and changes in overall market conditions. In addition, the closing prices of equity securities that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of the fund is determined. Fair valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

**Processes and structure** — The fund's board of trustees has designated the fund's investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the "Committee") to administer, implement and oversee the fair valuation process and to make fair value decisions. The Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser's valuation team. The Committee reviews changes in fair value measurements from period to period, pricing vendor information and market data, and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews facilitated by the investment adviser's global risk management group. The Committee reports changes to the fair valuation guidelines to the board of trustees. The fund's board and audit committee also regularly review reports that describe fair value determinations and methods.

**Classifications** — The fund's investment adviser classifies the fund's assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser's determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The fund's valuation levels as of November 30, 2025, were as follows (dollars in thousands):

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Investment securities | Investment securities | Investment securities | Investment securities |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bonds, notes & other debt instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage-backed obligations | $— | $10534620 | $— | $10534620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury bonds & notes |  | 10243531 |  | 10243531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal agency bonds & notes |  | 191721 |  | 191721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-term securities  | 1585136 | 2784697 |  | 4369833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options purchased on futures (equity style) | 808 |  |  | 808 |
| Total | $1585944 | $23754569 | $— | $25340513 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Other investments\* | Other investments\* | Other investments\* | Other investments\* |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts | $13476 | $— | $— | $13476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared interest rate swaps |  | 116983 |  | 116983 |
| **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value of options written (equity style)  | (238)<br>|  |  | (238)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts | (2499)<br>|  |  | (2499)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared interest rate swaps |  | (18827)<br>|  | (18827)<br>|
| Total  | $10739 | $98156 | $— | $108895 |

---

\*

Options written, futures contracts and interest rate swaps are not included in the fund's investment portfolio.

U.S. Government Securities Fund — Page 33 of 34

------

**unaudited**

---

| |
|:---|
| **Key to abbreviation(s)** |
| Assn. = Association |
| EFFR = Effective Federal Funds Rate |
| SOFR = Secured Overnight Financing Rate |
| TBA = To be announced |
| USD = U.S. dollars |
| UST = U.S. Treasury |

---

**Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.**

**Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the Capital Group website at capitalgroup.com.**

All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.

Capital Client Group, Inc., member FINRA.© 2026 Capital Group. All rights reserved.

MFGEFP1-022-0126

U.S. Government Securities Fund — Page 34 of 34

------

## 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:** 2026-08-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $26253916691.62

**Total Liabilities:** $2404973917.14

**Net Assets:** $23848942774.48

**Cash Not Reported:** $12863011.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -164.162513400000 | **1-Year:** -20969.290000000000 | **5-Year:** -53386.400000000000 | **10-Year:** -27278.500000000000 | **30-Year:** -1910.890000000000

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

- **3-Month:** -1615.490000000000 | **1-Year:** -21955.330000000000 | **5-Year:** -26919.740000000000 | **10-Year:** -10127.390000000000 | **30-Year:** -1023.970000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025132 | 0.65%                | 0.50%                | 0.65%                |
| Class ID C000025133 | 0.60%                | 0.44%                | 0.51%                |
| Class ID C000025134 | 0.60%                | 0.44%                | 0.60%                |
| Class ID C000025135 | 0.63%                | 0.56%                | 0.55%                |
| Class ID C000025136 | 0.65%                | 0.58%                | 0.57%                |
| Class ID C000025137 | 0.76%                | 0.52%                | 0.60%                |
| Class ID C000025139 | 0.59%                | 0.44%                | 0.51%                |
| Class ID C000025140 | 0.65%                | 0.49%                | 0.56%                |
| Class ID C000025141 | 0.65%                | 0.49%                | 0.65%                |
| Class ID C000025143 | 0.59%                | 0.52%                | 0.51%                |
| Class ID C000025144 | 0.72%                | 0.48%                | 0.55%                |
| Class ID C000025145 | 0.66%                | 0.51%                | 0.58%                |
| Class ID C000068600 | 0.67%                | 0.52%                | 0.67%                |
| Class ID C000077855 | 0.68%                | 0.53%                | 0.60%                |
| Class ID C000148357 | 0.62%                | 0.46%                | 0.54%                |
| Class ID C000164800 | 0.67%                | 0.52%                | 0.59%                |
| Class ID C000179952 | 0.68%                | 0.61%                | 0.60%                |
| Class ID C000189432 | 0.67%                | 0.51%                | 0.59%                |
| Class ID C000189433 | 0.67%                | 0.52%                | 0.59%                |
| Class ID C000224557 | 0.67%                | 0.60%                | 0.59%                |
| Class ID C000224558 | 0.68%                | 0.61%                | 0.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11985793.13             | $73886058.10                               |
| Month 2  | $11084332.18             | $43840665.26                               |
| Month 3  | $-1636932.96             | $39527764.90                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QI8872 07-01-54                                      | CUSIP: 3133WF2D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1340675 | PA      | $1364961.22    | 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        |   2107731 | PA      | $2166213.92    | 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        |   3740064 | PA      | $3894753.09    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |    985836 | PA      | $1001819.68    | 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        |   1081442 | PA      | $1111231.43    | 0.00%             | 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        |  54724462 | PA      | $56818383.60   | 0.24%             | 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        |   3854410 | PA      | $3959396.93    | 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        |   7482523 | PA      | $7783410.26    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | 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        |   4838210 | PA      | $5023808.47    | 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        |   2293955 | PA      | $2381253.68    | 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        |  25983854 | PA      | $27260284.32   | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5949 07-01-54                                      | CUSIP: 3132DTTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12383584 | PA      | $12724665.21   | 0.05%             | 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        |   6184265 | PA      | $6488072.82    | 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        |   3621877 | PA      | $3799805.84    | 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        |  73929434 | PA      | $76757234.38   | 0.32%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5498 10-01-54                                      | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    356869 | PA      | $365851.69     | 0.00%             | 2054-10-01      | 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        |   3812948 | PA      | $3248204.37    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC9123 10-01-51                                      | CUSIP: 3133AUD47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    499950 | PA      | $425905.99     | 0.00%             | 2051-10-01      | 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        |    154321 | PA      | $131652.38     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | 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        |    155071 | PA      | $132293.48     | 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        |    172898 | PA      | $147299.11     | 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        |    422807 | PA      | $360507.43     | 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        |     48962 | PA      | $41835.97      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | 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        |  17554053 | PA      | $14975959.39   | 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        |     23880 | PA      | $20372.90      | 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        |    151646 | PA      | $129369.81     | 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        |    147864 | PA      | $126182.95     | 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        |    710311 | PA      | $605111.60     | 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        |    675484 | PA      | $576273.79     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS5125 10-01-51                                      | CUSIP: 3140XLVT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28617269 | PA      | $24378879.52   | 0.10%             | 2051-10-01      | 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        |    159690 | PA      | $136271.74     | 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        |   3695253 | PA      | $3147960.33    | 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        |    730793 | PA      | $622557.02     | 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        |    364913 | PA      | $311387.61     | 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        |    440065 | PA      | $375429.33     | 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        |     37064 | PA      | $31573.59      | 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        |    217280 | PA      | $185656.07     | 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        |    430513 | PA      | $369101.69     | 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        |    731079 | PA      | $623694.81     | 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        |    210798 | PA      | $179833.66     | 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        |   1014100 | PA      | $1028328.60    | 0.00%             | 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        |    219231 | PA      | $187036.44     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | 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        |    167930 | PA      | $143305.88     | 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        |   9634582 | PA      | $8220668.13    | 0.03%             | 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        |   2339584 | PA      | $1993101.12    | 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        |    219769 | PA      | $188014.23     | 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        |    179371 | PA      | $152803.32     | 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        |   7065070 | PA      | $6138783.23    | 0.03%             | 2063-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8934 08-01-54                                      | CUSIP: 3140XQ4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21835107 | PA      | $22888956.87   | 0.10%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |   7714322 | PA      | $8015380.75    | 0.03%             | 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        |  29372098 | PA      | $30598764.46   | 0.13%             | 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        |  48353128 | PA      | $50823489.64   | 0.21%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |  32523083 | PA      | $34143415.48   | 0.14%             | 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        |  18150071 | PA      | $19079064.74   | 0.08%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU5165 11-01-54                                      | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7787955 | PA      | $7917468.36    | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8507 05-01-54                                      | CUSIP: 3140QUNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20352903 | PA      | $21366639.89   | 0.09%             | 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        |  31820700 | PA      | $33477285.82   | 0.14%             | 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        |  13686736 | PA      | $14368444.60   | 0.06%             | 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        |  14059540 | PA      | $14050218.22   | 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        |  11457052 | PA      | $11802241.85   | 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        |   7892576 | PA      | $7734929.76    | 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        |   4718332 | PA      | $4717194.49    | 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        |  11053596 | PA      | $11222549.74   | 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        |   2436439 | PA      | $2469224.08    | 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        |      8747 | PA      | $8958.19       | 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        |    365201 | PA      | $349664.20     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | 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        |   6096240 | PA      | $5811295.30    | 0.02%             | 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        |    741619 | PA      | $631786.08     | 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        |     71474 | PA      | $68507.48      | 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        |   7587901 | PA      | $7887843.09    | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | 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        |  10992748 | PA      | $11003532.34   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | 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        |   1832398 | PA      | $1836209.18    | 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        |   1985137 | PA      | $1618629.41    | 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        |   2034203 | PA      | $1662724.92    | 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        |    609830 | PA      | $496865.46     | 0.00%             | 2051-02-01      | 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        |   2381196 | PA      | $1940970.18    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM8827 10-01-51                                      | CUSIP: 3140XCYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $81473.62      | 0.00%             | 2051-10-01      | 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        |   1602551 | PA      | $1309274.59    | 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        |   2186897 | PA      | $1794884.39    | 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        |  16004971 | PA      | $13073932.33   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS0490 01-01-52                                      | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48667 | PA      | $39650.16      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD6951 02-01-52                                      | CUSIP: 3133B4WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32697 | PA      | $26639.28      | 0.00%             | 2052-02-01      | 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        |   9343337 | PA      | $9573407.38    | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6816 02-01-52                                      | CUSIP: 3133KNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1463999 | PA      | $1192750.88    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |     38410 | PA      | $37630.72      | 0.00%             | 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        |  19001940 | PA      | $18616485.65   | 0.08%             | 2055-02-01      | Fixed         | 4.50%                 | 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        |   2055741 | PA      | $2130750.77    | 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        |   2675426 | PA      | $2796379.66    | 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        |   2060186 | PA      | $2143195.42    | 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        |     67766 | PA      | $70381.15      | 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        |    967987 | PA      | $1004666.31    | 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        |    745232 | PA      | $773463.32     | 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        |   2194431 | PA      | $2279952.62    | 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        |  14979461 | PA      | $15346307.52   | 0.06%             | 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        |    176312 | PA      | $176646.16     | 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        |    257918 | PA      | $257609.59     | 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        |  43982737 | PA      | $45059874.15   | 0.19%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC7823 12-01-54                                      | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    740281 | PA      | $758683.31     | 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        |    745184 | PA      | $704945.79     | 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        |   1170096 | PA      | $1106912.91    | 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        |   1733274 | PA      | $1640644.31    | 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        |    152226 | PA      | $144005.89     | 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        |    909080 | PA      | $860202.75     | 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        |    146703 | PA      | $138946.53     | 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        |   2439384 | PA      | $2339503.38    | 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        |   1177878 | PA      | $1130012.27    | 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        |   1800202 | PA      | $1824333.21    | 0.01%             | 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        |   2226984 | PA      | $2290789.12    | 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        |   2769635 | PA      | $2765533.21    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY7786 07-01-55                                      | CUSIP: 31426SUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1306970 | PA      | $1339603.48    | 0.01%             | 2055-07-01      | 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        |   9318042 | PA      | $9550229.23    | 0.04%             | 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        |    181853 | PA      | $155837.48     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | 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        |    742485 | PA      | $632530.40     | 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        |    894040 | PA      | $916321.80     | 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        |    775757 | PA      | $794826.77     | 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        |    150740 | PA      | $154450.79     | 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        |    152216 | PA      | $156049.15     | 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        |  15239887 | PA      | $15616327.27   | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5792 08-01-55                                      | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  52424127 | PA      | $53114658.03   | 0.22%             | 2055-08-01      | Fixed         | 5.50%                 | 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        |   1103971 | PA      | $1132693.31    | 0.00%             | 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        |    970443 | PA      | $994567.24     | 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        |   1921692 | PA      | $1969584.87    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | 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        |   8165535 | PA      | $8364267.64    | 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        |   1210299 | PA      | $1238371.75    | 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        |   4808001 | PA      | $4990186.21    | 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        |    938115 | PA      | $834188.50     | 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        |     44163 | PA      | $39335.56      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | 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        |  14640726 | PA      | $13041328.89   | 0.05%             | 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        |   5935712 | PA      | $5278130.46    | 0.02%             | 2051-09-01      | 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        |     21523 | PA      | $19179.76      | 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        |    945440 | PA      | $842259.37     | 0.00%             | 2050-06-01      | 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        |   6048545 | PA      | $5560300.33    | 0.02%             | 2059-08-01      | Fixed         | 3.50%                 | 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        |    777922 | PA      | $692690.67     | 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        |   2069872 | PA      | $1842707.42    | 0.01%             | 2053-10-01      | Fixed         | 3.00%                 | 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        |  34751797 | PA      | $31487108.63   | 0.13%             | 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        |   5285953 | PA      | $4609472.56    | 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        |  11506180 | PA      | $10009571.24   | 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        |   2560489 | PA      | $2218735.05    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | 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        |   2824366 | PA      | $2514352.63    | 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        |     20862 | PA      | $18565.71      | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | 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        |   1237170 | PA      | $1071364.80    | 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        |   5938739 | PA      | $5177208.13    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | 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        |  13334499 | PA      | $11869477.31   | 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        |    690742 | PA      | $615037.92     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |   5407820 | PA      | $4722351.37    | 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        |    962301 | PA      | $835114.09     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | 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        |    993365 | PA      | $883540.87     | 0.00%             | 2053-03-01      | 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        |    983517 | PA      | $875968.41     | 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        |    984809 | PA      | $881413.68     | 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        |   5957273 | PA      | $5303921.34    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | 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        |   1690996 | PA      | $1531228.83    | 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        |    962211 | PA      | $834400.19     | 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        |    108543 | PA      | $99958.86      | 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        |    103333 | PA      | $95257.32      | 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        |    336611 | PA      | $348121.40     | 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        |  16949993 | PA      | $15265350.25   | 0.06%             | 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        |   7730216 | PA      | $6774846.63    | 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        |  16658865 | PA      | $14630914.36   | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | 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        |      2576 | PA      | $2664.74       | 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        |   1366450 | PA      | $1164071.62    | 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        |    720577 | PA      | $613838.49     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | 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        |    286114 | PA      | $274190.89     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | 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        |    467239 | PA      | $447863.83     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | 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        |    621751 | PA      | $595814.71     | 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        |     86088 | PA      | $82612.01      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | 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        |    294574 | PA      | $282145.70     | 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        |    438078 | PA      | $419415.72     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | 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        |  13671476 | PA      | $13717152.31   | 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        |  20413521 | PA      | $18183609.22   | 0.08%             | 2052-06-01      | Fixed         | 3.00%                 | 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        |    986762 | PA      | $877432.91     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |     60639 | PA      | $58124.56      | 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        |    715144 | PA      | $685320.04     | 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        |   2456281 | PA      | $2354615.43    | 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        |   2940820 | PA      | $2615001.04    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | 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        |    542344 | PA      | $520135.35     | 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        |    227005 | PA      | $217544.21     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | 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        |     23159 | PA      | $20628.66      | 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        |    735911 | PA      | $749094.41     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8225 07-01-52                                      | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29960584 | PA      | $26687839.25   | 0.11%             | 2052-07-01      | Fixed         | 3.00%                 | 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        |  11190743 | PA      | $11403221.46   | 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        |     26342 | PA      | $23449.85      | 0.00%             | 2052-10-01      | Fixed         | 3.00%                 | 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        |    689031 | PA      | $660608.23     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | 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        |    628565 | PA      | $594623.78     | 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        |   4283331 | PA      | $4514206.66    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8324 05-01-53                                      | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14430813 | PA      | $14679037.79   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |   6412490 | PA      | $6432266.25    | 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        |  12328012 | PA      | $12362850.83   | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | 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        |   9705088 | PA      | $9872024.73    | 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      | $50868600.00   | 0.21%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR2095 07-01-51                                      | CUSIP: 3140L0KH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16574025 | PA      | $14221392.05   | 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        |   9155004 | PA      | $9427878.48    | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | 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        | 117391810 | PA      | $120926594.46  | 0.51%             | 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        |  83160324 | PA      | $85428522.19   | 0.36%             | 2053-05-01      | Fixed         | 6.00%                 | 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        |  87727137 | PA      | $77294187.20   | 0.32%             | 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        |  11672422 | PA      | $10302429.53   | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | 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        |   7449261 | PA      | $6588782.09    | 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        |   7981482 | PA      | $7012626.23    | 0.03%             | 2041-08-01      | Fixed         | 2.00%                 | 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        |   3920454 | PA      | $3465147.98    | 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        |   4613042 | PA      | $4077306.36    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | 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        |   2320977 | PA      | $2075663.22    | 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        |   2175624 | PA      | $1893800.05    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5040 06-01-53                                      | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  52268518 | PA      | $53683896.94   | 0.23%             | 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        |    165053 | PA      | $165663.73     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8332 06-01-53                                      | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 202850136 | PA      | $208064804.20  | 0.87%             | 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        |  45709565 | PA      | $46473326.52   | 0.19%             | 2053-06-01      | Fixed         | 5.50%                 | 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        |  23406230 | PA      | $24466860.17   | 0.10%             | 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        |   6502186 | PA      | $6792859.65    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | 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        |   8493912 | PA      | $8830737.56    | 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        |  21837686 | PA      | $22461064.39   | 0.09%             | 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        |  16235668 | PA      | $16781998.59   | 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        |  35118875 | PA      | $36091878.12   | 0.15%             | 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        |   5294775 | PA      | $5594358.40    | 0.02%             | 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        |   4928374 | PA      | $5109457.34    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9288 06-01-53                                      | CUSIP: 3133KRJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7595425 | PA      | $8015004.35    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9289 06-01-53                                      | CUSIP: 3133KRKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7598564 | PA      | $8008141.78    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9292 06-01-53                                      | CUSIP: 3133KRKD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8166565 | PA      | $8524203.63    | 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        |   4441809 | PA      | $4566867.79    | 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        |   9254660 | PA      | $9659939.68    | 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        |   2448953 | PA      | $2552129.97    | 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        |   2619052 | PA      | $2791172.96    | 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        | 238544284 | PA      | $242419913.27  | 1.02%             | 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        |  62233667 | PA      | $63261268.90   | 0.27%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5072 07-01-53                                      | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  82509754 | PA      | $83890967.39   | 0.35%             | 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        |  10738439 | PA      | $10909104.53   | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4979 04-01-53                                      | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33105175 | PA      | $33682264.07   | 0.14%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD2948 11-01-52                                      | CUSIP: 3132DQHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24334334 | PA      | $24755974.78   | 0.10%             | 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        |    129464 | PA      | $129796.16     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | 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        |    317060 | PA      | $284615.12     | 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        |    316426 | PA      | $284144.77     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | 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        |   5105750 | PA      | $5253908.67    | 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        |   9607091 | PA      | $9872362.24    | 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        |   9207186 | PA      | $9464039.10    | 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        |  10843884 | PA      | $11244782.48   | 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        |   5726059 | PA      | $5883909.73    | 0.02%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG3763 05-01-53                                      | CUSIP: 3133C4FC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9772660 | PA      | $10061197.91   | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | 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        |     47624 | PA      | $45534.16      | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | 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        |    863745 | PA      | $824877.29     | 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        |   6022215 | PA      | $6184790.70    | 0.03%             | 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        |  20762925 | PA      | $21325911.50   | 0.09%             | 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        |   3432969 | PA      | $3526946.88    | 0.01%             | 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        |  10137149 | PA      | $10402468.57   | 0.04%             | 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        |   9556839 | PA      | $9873581.12    | 0.04%             | 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        |   1324646 | PA      | $1360063.16    | 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        |   5676592 | PA      | $5050600.02    | 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        |    217246 | PA      | $185069.24     | 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        |   9130364 | PA      | $8121705.04    | 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        |   1633918 | PA      | $1335224.36    | 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        |   4543633 | PA      | $3701984.07    | 0.02%             | 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        |  15881166 | PA      | $13529085.67   | 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        |   6870803 | PA      | $7102012.38    | 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        |   3138703 | PA      | $3084764.64    | 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        |    228185 | PA      | $194387.10     | 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        |   1956184 | PA      | $1850622.59    | 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        |     86626 | PA      | $87948.99      | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5192 11-01-53                                      | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183227 | PA      | $190138.77     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |   1737026 | PA      | $1803395.67    | 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        |    295756 | PA      | $306591.46     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |   7718042 | PA      | $7026536.48    | 0.03%             | 2048-10-01      | Fixed         | 3.00%                 | 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        |   7382288 | PA      | $7579114.53    | 0.03%             | 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        |   8235080 | PA      | $8454816.32    | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | 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        |   3173387 | PA      | $3223900.85    | 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        |  55042671 | PA      | $56491338.71   | 0.24%             | 2053-10-01      | Fixed         | 6.00%                 | 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        |  13496927 | PA      | $13883344.16   | 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        |   2289833 | PA      | $1876948.30    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | 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        |   2490993 | PA      | $2034485.79    | 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        |   1208749 | PA      | $988113.39     | 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        |   7178130 | PA      | $5874459.69    | 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        |  16346725 | PA      | $16584259.39   | 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        |   5220799 | PA      | $4753918.81    | 0.02%             | 2063-09-01      | Fixed         | 3.50%                 | 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        |   1897722 | PA      | $1967074.39    | 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        |    276959 | PA      | $225654.28     | 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        |   4287387 | PA      | $3493131.32    | 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        |   2651606 | PA      | $2168101.93    | 0.01%             | 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        |   2135347 | PA      | $2229140.16    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8517 03-01-55                                      | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20282069 | PA      | $21022120.70   | 0.09%             | 2055-03-01      | 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        |    117714 | PA      | $124216.91     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | 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        |   4380529 | PA      | $3569058.00    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | 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        |   3368019 | PA      | $2745350.05    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | 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        |   1977442 | PA      | $1611124.89    | 0.01%             | 2050-12-01      | 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        |    249829 | PA      | $203887.45     | 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        |  20832985 | PA      | $16973695.52   | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT2052 03-01-52                                      | CUSIP: 3140LQH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    109757 | PA      | $89421.78      | 0.00%             | 2052-03-01      | 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        |     64320 | PA      | $66657.13      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | 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        |     81001 | PA      | $72074.85      | 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        |    297037 | PA      | $264583.20     | 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        |    138328 | PA      | $144289.50     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |   1420811 | PA      | $1263398.26    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | 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        |   1443230 | PA      | $1283328.46    | 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        |    115558 | PA      | $102755.34     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FA0643 02-01-55                                      | CUSIP: 3140W0WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33750710 | PA      | $35217144.57   | 0.15%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2362 02-01-54                                      | CUSIP: 31427PTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  59192125 | PA      | $62175645.05   | 0.26%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FP0130 12-01-54                                      | CUSIP: 3140XTEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29241834 | PA      | $30313020.66   | 0.13%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ7059 01-01-52                                      | CUSIP: 3140KSZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32269 | PA      | $26372.30      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS7057 07-01-52                                      | CUSIP: 3140XNZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28280 | PA      | $24091.11      | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 FA2203 08-01-55                                      | CUSIP: 3140W2NV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28072891 | PA      | $29442454.68   | 0.12%             | 2055-08-01      | Fixed         | 7.00%                 | 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        |     20501 | PA      | $21014.20      | 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        |   6172831 | PA      | $5734652.67    | 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        |     10498 | PA      | $10301.57      | 0.00%             | 2039-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.228 AG8194 09-20-64                                         | CUSIP: 36182DC78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4055 | PA      | $4026.76       | 0.00%             | 2064-09-20      | Fixed         | 4.23%                 | 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        |     63160 | PA      | $771.50        | 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        |     30978 | PA      | $30890.71      | 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        |     82620 | PA      | $87280.19      | 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        |     31588 | PA      | $32479.21      | 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        |    170924 | PA      | $176105.66     | 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        |    305721 | PA      | $309283.62     | 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        |     87963 | PA      | $86140.55      | 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        |     94160 | PA      | $96050.84      | 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        |    117711 | PA      | $119395.21     | 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        |      8548 | PA      | $8717.09       | 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        |     16791 | PA      | $17124.63      | 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        |     55446 | PA      | $56968.95      | 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        |     49741 | PA      | $51108.72      | 0.00%             | 2038-11-20      | 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        |    138290 | PA      | $142239.39     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | 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        |     41008 | PA      | $41802.69      | 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        |     25087 | PA      | $25459.09      | 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        |     10328 | PA      | $10347.61      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | 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        |  13857060 | PA      | $13219316.12   | 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        |  16566369 | PA      | $16222119.82   | 0.07%             | 2054-11-20      | Fixed         | 4.50%                 | 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        |  43502666 | PA      | $41284769.46   | 0.17%             | 2055-01-20      | Fixed         | 4.00%                 | 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        |  21357677 | PA      | $21603931.16   | 0.09%             | 2055-07-20      | Fixed         | 5.50%                 | 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        |   6283700 | PA      | $6356037.95    | 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        |   2138389 | PA      | $2162283.21    | 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        |  18835565 | PA      | $19043471.93   | 0.08%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 TBA 12-01-55                                              | CUSIP: 21H0326C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27680313 | PA      | $25380466.51   | 0.11%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                   | SCRT 2017-1 HA 3.0% 01-25-56                                       | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12017492 | PA      | $11480490.69   | 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        |  13521471 | PA      | $12903580.18   | 0.05%             | 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        |  13684981 | PA      | $12999349.30   | 0.05%             | 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        |   5180520 | PA      | $4755386.18    | 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        |   9179186 | PA      | $8430210.42    | 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        |  10000952 | PA      | $9068813.14    | 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        |   9103940 | PA      | $8915306.38    | 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        |  45822599 | PA      | $45131090.42   | 0.19%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 2019-2 MA 3.5% 08-26-58                                       | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15242498 | PA      | $14825478.82   | 0.06%             | 2058-08-26      | 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        |   2531735 | PA      | $2469892.52    | 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        |  29926473 | PA      | $28847324.33   | 0.12%             | 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        |   9313509 | PA      | $8779136.96    | 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        |  16011125 | PA      | $15437029.93   | 0.06%             | 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        |   3738450 | PA      | $3387364.73    | 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% 08-25-58                                       | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8482849 | PA      | $7658129.45    | 0.03%             | 2058-08-25      | 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        |    338886 | PA      | $330148.10     | 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        |   7382520 | PA      | $6675806.14    | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | 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        |  11238414 | PA      | $10467301.12   | 0.04%             | 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      | $3962903.65    | 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        |  41899851 | PA      | $40967914.40   | 0.17%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.0 UMBS TBA 12-01-55                                         | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 125210746 | PA      | $128216429.96  | 0.54%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.0 UMBS TBA 12-01-55                                         | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  47337778 | PA      | $38529779.66   | 0.16%             | 2055-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.5 UMBS TBA 12-01-55                                         | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  94203540 | PA      | $80164857.45   | 0.34%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 7.0 UMBS TBA 12-01-55                                         | CUSIP: 01F0706C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  65090370 | PA      | $68279472.68   | 0.29%             | 2055-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.5 UMBS TBA 12-01-55                                         | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  44194442 | PA      | $40883394.41   | 0.17%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.5 UMBS TBA 12-01-55                                         | CUSIP: 01F0626C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 466101785 | PA      | $482910347.57  | 2.02%             | 2055-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.0 UMBS TBA 12-01-55                                         | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  28473095 | PA      | $27122616.10   | 0.11%             | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.0 UMBS TBA 12-01-40                                         | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  29100000 | PA      | $26909904.90   | 0.11%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 5.0 UMBS TBA 12-01-40                                         | CUSIP: 01F0504C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $10114910.00   | 0.04%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.5 UMBS TBA 12-01-40                                         | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15420776 | PA      | $14583952.17   | 0.06%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 4.0 UMBS TBA 12-01-40                                         | CUSIP: 01F0404C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16000000 | PA      | $15783568.00   | 0.07%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 7.0 UMBS TBA 01-01-56                                         | CUSIP: 01F070617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  68558103 | PA      | $71965303.60   | 0.30%             | 2056-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.5 UMBS TBA 01-01-56                                         | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  49988675 | PA      | $46227927.00   | 0.19%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 5.5 UMBS TBA 01-01-56                                         | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  67604054 | PA      | $68408745.05   | 0.29%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.0 UMBS TBA 01-01-56                                         | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 181559497 | PA      | $147805589.35  | 0.62%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                           | CAPITAL GROUP CENTRAL CASH FUND                                    | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |  15733976 | NS      | $1573240285.24 | 6.60%             |  |  |  | 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      | $-102647.16    | -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      | $519795.30     | 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      | $4897178.40    | 0.02%             |  |  |  | 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      | $-41202.88     | -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      | $3293169.84    | 0.01%             |  |  |  | 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      | $-5929.52      | -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        |      6633 | PA      | $6738.65       | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | 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      | $1598793.76    | 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      | $-142286.97    | -0.00%            |  |  |  | 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      | $3387165.47    | 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      | $742050.90     | 0.00%             | 2026-08-01      | Fixed         | 3.10%                 | 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      | $-103149.08    | -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      | $1548133.18    | 0.01%             |  |  |  | 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      | $688316.40     | 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      | $640381.11     | 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      | $978331.27     | 0.00%             | 2028-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 19 3.65% 08-01-33                                         | CUSIP: 911759MQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    545000 | PA      | $518343.51     | 0.00%             | 2033-08-01      | Fixed         | 3.65%                 | 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      | $1768736.00    | 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      | $-2699.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.0135% 08-21-23/08-21-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $547894.50     | 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      | $-208142.10    | -0.00%            |  |  |  | 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      | $-491367.60    | -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      | $-458525.76    | -0.00%            |  |  |  | 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      | $683290.23     | 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      | $571938.71     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | 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      | $11451.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.2035% 01-10-24/01-10-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $12653.07      | 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      | $3341.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6765% 02-20-24/02-20-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1486633.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-4                   | SCRT 2018-4 MT 3.5% 03-25-58                                       | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1451195 | PA      | $1308829.64    | 0.01%             | 2058-03-25      | 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        |     91726 | PA      | $91399.84      | 0.00%             | 2026-05-12      | Fixed         | 2.65%                 | 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      | $1402729.62    | 0.01%             |  |  |  | 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      | $1017403.60    | 0.00%             |  |  |  | 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      | $1129416.09    | 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      | $31354749.00   | 0.13%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FANNIE MAE 7.125% 01-15-30                                         | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5669852.00    | 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      | $56220002.95   | 0.24%             | 2028-11-16      | Fixed         | 3.25%                 | 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      | $614768.55     | 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      | $56081180.70   | 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      | $20621557.74   | 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      | $1107617.40    | 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      | $3238598.88    | 0.01%             | 2048-01-15      | Fixed         | 4.88%                 | 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      | $44933734.12   | 0.19%             | 2033-08-15      | Fixed         | 3.88%                 | 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      | $16366875.20   | 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      | $202526240.20  | 0.85%             | 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        |  27500000 | PA      | $27752978.00   | 0.12%             | 2026-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 11-15-53                         | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70653000 | PA      | $71381856.35   | 0.30%             | 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      | $226291987.50  | 0.95%             | 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      | $235091791.00  | 0.99%             | 2025-12-31      | Fixed         | 4.25%                 | 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      | $1967766.51    | 0.01%             | 2030-12-31      | Fixed         | 3.75%                 | 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      | $114066792.60  | 0.48%             | 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      | $1437682.93    | 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      | $34287509.66   | 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      | $6641765.46    | 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      | $4006045.12    | 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      | $77098125.00   | 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      | $130248833.00  | 0.55%             | 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      | $8235624.80    | 0.03%             | 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        |  13660665 | PA      | $12613697.60   | 0.05%             | 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        |  20000000 | PA      | $20045312.00   | 0.08%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 04-15-27                          | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65261000 | PA      | $66071665.62   | 0.28%             | 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      | $130604292.00  | 0.55%             | 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      | $13064658.13   | 0.05%             | 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      | $37349228.74   | 0.16%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 05-15-54                        | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40042200 | PA      | $39707471.23   | 0.17%             | 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      | $215293495.63  | 0.90%             | 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      | $123543744.00  | 0.52%             | 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      | $10496582.10   | 0.04%             | 2027-07-15      | Fixed         | 4.38%                 | 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      | $190952182.80  | 0.80%             | 2029-07-31      | Fixed         | 4.00%                 | 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      | $597510186.00  | 2.51%             | 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        |  88708927 | PA      | $90060330.30   | 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      | $25911985.68   | 0.11%             | 2034-08-15      | Fixed         | 3.88%                 | 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      | $17385192.00   | 0.07%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 09-15-27                        | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $79803128.00   | 0.33%             | 2027-09-15      | Fixed         | 3.38%                 | 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      | $135816712.80  | 0.57%             | 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      | $2442636.99    | 0.01%             | 2027-10-15      | Fixed         | 3.88%                 | 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        | 108966080 | PA      | $106344084.73  | 0.45%             | 2055-02-15      | Fixed         | 2.38%                 | 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      | $31628620.16   | 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      | $42518848.50   | 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      | $17752145.62   | 0.07%             | 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      | $2929560.45    | 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      | $370690.44     | 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      | $11081502.56   | 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      | $26612313.35   | 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      | $65355281.25   | 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      | $5965804.53    | 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      | $56110271.50   | 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      | $42662073.75   | 0.18%             | 2051-08-15      | Fixed         | 2.00%                 | 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        |  19110000 | PA      | $17935780.32   | 0.08%             | 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      | $49074373.60   | 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      | $11913899.55   | 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      | $20907274.50   | 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      | $46943792.94   | 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      | $23762799.32   | 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      | $9127706.37    | 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      | $51827818.54   | 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      | $126042776.67  | 0.53%             | 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        |  24897000 | PA      | $25754778.83   | 0.11%             | 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      | $115250350.84  | 0.48%             | 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        |    267930 | PA      | $237357.86     | 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        |    114978 | PA      | $102683.22     | 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        |   2249223 | PA      | $2237855.56    | 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        |   2318753 | PA      | $2306249.95    | 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        |   2570459 | PA      | $2560081.75    | 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        |   1202347 | PA      | $1196857.81    | 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        |   4539981 | PA      | $4516391.67    | 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        |    261313 | PA      | $259907.67     | 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        |     41908 | PA      | $41732.73      | 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        |      6270 | PA      | $6247.52       | 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        |    147077 | PA      | $131339.31     | 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        |    212481 | PA      | $192189.72     | 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        |     87769 | PA      | $82456.98      | 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        |     38805 | PA      | $39249.16      | 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        |    318181 | PA      | $314742.47     | 0.00%             | 2036-05-15      | Variable      | 4.51%                 | 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        |    165911 | PA      | $164492.32     | 0.00%             | 2036-07-25      | Variable      | 4.47%                 | 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        |   5188894 | PA      | $4743235.36    | 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      | $3471716.07    | 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        |   1074027 | PA      | $1018920.71    | 0.00%             | 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        |    533128 | PA      | $534488.68     | 0.00%             | 2045-08-01      | Variable      | 4.64%                 | 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        |     10489 | PA      | $10893.17      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | 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        |     21424 | PA      | $22342.53      | 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        |     12002 | PA      | $12372.73      | 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        |     25904 | PA      | $27235.91      | 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      | $1358568.72    | 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        |     28927 | PA      | $30410.79      | 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        |   7142056 | PA      | $6714567.95    | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | 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      | $557408.32     | 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        |     23661 | PA      | $24481.04      | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | 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        |   1362330 | PA      | $1234762.84    | 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        |   3954496 | PA      | $3713655.33    | 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        |   1287297 | PA      | $1217651.27    | 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        |   1036445 | PA      | $975517.31     | 0.00%             | 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        |   2260594 | PA      | $2131769.66    | 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        |   1744324 | PA      | $1644482.57    | 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        |   1804419 | PA      | $1635472.63    | 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        |   4827772 | PA      | $4528435.67    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | 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        |   5789549 | PA      | $5239466.99    | 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        |  40647180 | PA      | $38124127.99   | 0.16%             | 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        |   2071725 | PA      | $2063311.39    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                   | SCRT 2018-2 MA 3.5% 11-25-57                                       | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2129175 | PA      | $2079597.22    | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | 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        |  49266602 | PA      | $40352450.63   | 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        |   2867463 | PA      | $2336242.50    | 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        |    786710 | PA      | $644200.15     | 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        |       171 | PA      | $178.83        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI3510 06-01-41                                      | CUSIP: 3138AG3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    231352 | PA      | $238485.66     | 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        |    460584 | PA      | $474784.41     | 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        |    211418 | PA      | $217927.44     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ5391 11-01-41                                      | CUSIP: 3138AW7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    119050 | PA      | $122720.04     | 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        |    829733 | PA      | $856282.04     | 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        |    369115 | PA      | $302857.90     | 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        |    614117 | PA      | $503783.14     | 0.00%             | 2051-03-01      | 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        |   1626790 | PA      | $1331939.01    | 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        |   1638386 | PA      | $1341431.55    | 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        |  12601421 | PA      | $12399193.13   | 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        |   2055627 | PA      | $1786526.96    | 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        |  23369765 | PA      | $19307749.16   | 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        |   6272195 | PA      | $5145350.98    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | 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        |   5145927 | PA      | $5306536.78    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | 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        |  11797133 | PA      | $11279227.10   | 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        |  17083070 | PA      | $14184124.65   | 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        |  14942295 | PA      | $15142581.82   | 0.06%             | 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        |   7800099 | PA      | $8104107.46    | 0.03%             | 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        |   2327686 | PA      | $2421300.51    | 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        |   5132312 | PA      | $5341197.57    | 0.02%             | 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        |   8300727 | PA      | $8436219.33    | 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        |   3434984 | PA      | $3514795.57    | 0.01%             | 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        |   3139007 | PA      | $3188478.13    | 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        |   7951188 | PA      | $8094404.62    | 0.03%             | 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        |  14068892 | PA      | $14281951.23   | 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        |   4123038 | PA      | $4208384.84    | 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        |    612877 | PA      | $631069.48     | 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        |   4281874 | PA      | $3898945.75    | 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        |   2951663 | PA      | $2411968.76    | 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        |   6982596 | PA      | $6615108.91    | 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        |   1939878 | PA      | $1968710.03    | 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        |    844380 | PA      | $876259.68     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8464 09-01-54                                      | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5886647 | PA      | $6101433.42    | 0.03%             | 2054-09-01      | 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        |      3724 | PA      | $3815.14       | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8362 09-01-53                                      | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17405592 | PA      | $17677519.57   | 0.07%             | 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        |   8990596 | PA      | $8819379.13    | 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        |  15024058 | PA      | $15406390.18   | 0.06%             | 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        |    854388 | PA      | $877536.63     | 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        |  11863804 | PA      | $12170352.82   | 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        |   2788086 | PA      | $2858923.18    | 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        |  30836091 | PA      | $31706100.83   | 0.13%             | 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        |  28903533 | PA      | $29712166.95   | 0.12%             | 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        |  21268077 | PA      | $21863519.82   | 0.09%             | 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        |  17935709 | PA      | $18438249.25   | 0.08%             | 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        |  17193558 | PA      | $17874972.91   | 0.07%             | 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        |  24875813 | PA      | $25579972.75   | 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        |  18957889 | PA      | $19662004.23   | 0.08%             | 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        |  12020547 | PA      | $12356990.08   | 0.05%             | 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        |   4680054 | PA      | $4811086.03    | 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        |  55863713 | PA      | $57441471.34   | 0.24%             | 2054-02-01      | Fixed         | 6.00%                 | 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        |  23422884 | PA      | $23483057.03   | 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        | 134637031 | PA      | $139986564.23  | 0.59%             | 2053-12-01      | Fixed         | 6.50%                 | 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        |  27147138 | PA      | $28336073.81   | 0.12%             | 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        |  12137824 | PA      | $12639844.36   | 0.05%             | 2054-06-01      | Fixed         | 6.50%                 | 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        |   5453161 | PA      | $4462070.92    | 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        |   1778965 | PA      | $1455040.74    | 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        |   1597876 | PA      | $1307948.05    | 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        |   2740223 | PA      | $2843639.42    | 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        |   3855001 | PA      | $3977200.25    | 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        |   2150587 | PA      | $2212887.07    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |   7611388 | PA      | $7629769.27    | 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        |   1854062 | PA      | $1889924.77    | 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        |   4087865 | PA      | $4238020.14    | 0.02%             | 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        |   6556917 | PA      | $6777570.59    | 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        |    785385 | PA      | $805400.02     | 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        |   5385744 | PA      | $5517629.86    | 0.02%             | 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        |  18348100 | PA      | $18786197.97   | 0.08%             | 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        |   1588000 | PA      | $1638803.37    | 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        |   2704357 | PA      | $2753346.00    | 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        |   5068254 | PA      | $5215400.53    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |   2502138 | PA      | $2596481.48    | 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        |  18058157 | PA      | $18800943.56   | 0.08%             | 2054-07-01      | 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        |   2550002 | PA      | $2654819.71    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |   5853883 | PA      | $6077044.51    | 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        |  12351971 | PA      | $12745912.63   | 0.05%             | 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        |   8010184 | PA      | $8261031.20    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |    990538 | PA      | $1039196.80    | 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        |   3390733 | PA      | $3473744.80    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5445 08-01-54                                      | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4993242 | PA      | $5115521.86    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6878 06-01-54                                      | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    886305 | PA      | $908554.05     | 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        |    549699 | PA      | $563495.54     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |   4349146 | PA      | $4560114.44    | 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        |   3874177 | PA      | $4062113.56    | 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        |    960936 | PA      | $1008137.93    | 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        |   7898329 | PA      | $8281453.51    | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |   1799170 | PA      | $1885765.97    | 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        |   1632592 | PA      | $1656220.63    | 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        |    265106 | PA      | $268891.63     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |    748656 | PA      | $638681.84     | 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        |     92925 | PA      | $79393.84      | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | 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        |   1871663 | PA      | $1594448.87    | 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        |    723089 | PA      | $616871.75     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | 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        |     21575 | PA      | $19999.29      | 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        |    928207 | PA      | $859754.12     | 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        |     62284 | PA      | $59720.83      | 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        |   1794604 | PA      | $1715040.00    | 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        |    477565 | PA      | $457960.19     | 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        |   2219225 | PA      | $2125200.49    | 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        |   7739099 | PA      | $7397209.05    | 0.03%             | 2035-02-01      | Fixed         | 2.50%                 | 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        |  22903641 | PA      | $23885382.69   | 0.10%             | 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        |    384821 | PA      | $403726.07     | 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        |    166292 | PA      | $174229.78     | 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        |   2011522 | PA      | $2097166.37    | 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        |   2052230 | PA      | $2132430.73    | 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        |   3339169 | PA      | $3503900.17    | 0.01%             | 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        |   3578845 | PA      | $3725781.72    | 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        |   3632969 | PA      | $3780746.77    | 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        |  13184680 | PA      | $13414620.35   | 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        |   7668630 | PA      | $7850001.20    | 0.03%             | 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        |   4386024 | PA      | $4494499.30    | 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        |   2876016 | PA      | $2354634.47    | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | 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      | $4608081.41    | 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      | $4098902.41    | 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      | $4960157.00    | 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      | $38935936.00   | 0.16%             | 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      | $7475700.00    | 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      | $11854703.39   | 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      | $37122800.00   | 0.16%             | 2050-02-15      | Fixed         | 2.00%                 | 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        |   1977522 | PA      | $1172763.46    | 0.00%             | 2050-02-15      | Fixed         | 0.25%                 | 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      | $27155100.00   | 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      | $61926673.45   | 0.26%             | 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      | $2370135.85    | 0.01%             | 2040-05-15      | Fixed         | 1.12%                 | 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      | $21716074.87   | 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      | $158698789.56  | 0.67%             | 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      | $22484982.38   | 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      | $24299326.88   | 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      | $16069684.65   | 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        |       374 | PA      | $208.50        | 0.00%             | 2051-02-15      | Fixed         | 0.12%                 | 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      | $17155707.14   | 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      | $44317108.00   | 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      | $167270929.20  | 0.70%             | 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      | $6070781.40    | 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      | $74726516.37   | 0.31%             | 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      | $6554795.99    | 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      | $10990323.50   | 0.05%             | 2043-02-15      | Fixed         | 3.88%                 | 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      | $128131176.60  | 0.54%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 05-15-43                        | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19984700 | PA      | $18304736.16   | 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      | $35246092.00   | 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      | $53379757.48   | 0.22%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 06-30-28                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  84653100 | PA      | $85732765.64   | 0.36%             | 2028-06-30      | Fixed         | 4.00%                 | 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      | $227605011.20  | 0.95%             | 2028-07-31      | Fixed         | 4.12%                 | 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      | $33664565.01   | 0.14%             | 2053-08-15      | Fixed         | 4.12%                 | 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      | $40881248.00   | 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      | $33170120.52   | 0.14%             | 2030-03-31      | Fixed         | 4.00%                 | 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      | $5176007.83    | 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      | $45150102.16   | 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      | $20676031.01   | 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      | $2022717.71    | 0.01%             | 2055-05-15      | Fixed         | 4.75%                 | 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      | $140445212.87  | 0.59%             | 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      | $3610904.00    | 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      | $349887370.00  | 1.47%             | 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      | $499080050.00  | 2.09%             | 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      | $419922760.00  | 1.76%             | 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      | $218065427.00  | 0.91%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-32                          | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15207421.50   | 0.06%             | 2032-07-31      | Fixed         | 4.00%                 | 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      | $28586224.97   | 0.12%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 01-29-26                          | CUSIP: 912797RK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $298130430.00  | 1.25%             | 2026-01-29      | Fixed         | 0.00%                 | 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      | $68319002.20   | 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        | 343995300 | PA      | $348350452.50  | 1.46%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 02-05-26                          | CUSIP: 912797RL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 500000000 | PA      | $496569350.00  | 2.08%             | 2026-02-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 12-09-25                          | CUSIP: 912797RW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 150000000 | PA      | $149870760.00  | 0.63%             | 2025-12-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 08-15-45                        | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4549000 | PA      | $4691866.80    | 0.02%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.62% 08-31-27                         | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44546300 | PA      | $44623734.83   | 0.19%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 12-30-25                          | CUSIP: 912797RZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 200000000 | PA      | $199377700.00  | 0.84%             | 2025-12-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-55                        | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29784378.00   | 0.12%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 03-17-26                          | CUSIP: 912797SZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $98908480.00   | 0.41%             | 2026-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 03-24-26                          | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 400000000 | PA      | $395339280.00  | 1.66%             | 2026-03-24      | Fixed         | 0.00%                 | 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        |       273 | PA      | $272.80        | 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      | $10370399.23   | 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      | $16059638.62   | 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      | $49230470.00   | 0.21%             | 2026-11-15      | Fixed         | 2.00%                 | 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      | $1626328.20    | 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      | $6420906.08    | 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      | $21129520.00   | 0.09%             | 2048-08-15      | 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      | $8442321.63    | 0.04%             | 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      | $2458007.75    | 0.01%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.5% 01-31-27                          | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | PA      | $13178847.15   | 0.06%             | 2027-01-31      | Fixed         | 1.50%                 | 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      | $13353593.40   | 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      | $36387787.50   | 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      | $12660542.34   | 0.05%             | 2030-08-15      | Fixed         | 0.62%                 | 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        |     27875 | PA      | $28299.85      | 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        |     35786 | PA      | $36924.77      | 0.00%             | 2036-11-01      | Variable      | 6.26%                 | 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        |    100950 | PA      | $106050.44     | 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        |    312039 | PA      | $295200.77     | 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        |   1147261 | PA      | $1068150.52    | 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        |   2585575 | PA      | $2406197.72    | 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        |    269283 | PA      | $263385.46     | 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        |    224049 | PA      | $217722.59     | 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        |      3939 | PA      | $3951.97       | 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        |    913287 | PA      | $861454.52     | 0.00%             | 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        |    133474 | PA      | $132078.83     | 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        |   1194968 | PA      | $1174246.77    | 0.00%             | 2047-01-01      | Variable      | 3.90%                 | 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        |       274 | PA      | $288.62        | 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        |    497610 | PA      | $505577.22     | 0.00%             | 2045-04-01      | Variable      | 5.15%                 | 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        |    386031 | PA      | $390452.95     | 0.00%             | 2045-04-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                   | SCRT 2018-3 MA FRN 08-25-57                                        | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2717386 | PA      | $2647834.73    | 0.01%             | 2057-08-25      | Variable      | 3.50%                 | 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        |   8596537 | PA      | $7780183.87    | 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        |     17620 | PA      | $16970.40      | 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        |   2742560 | PA      | $2618763.58    | 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        |  14788272 | PA      | $14402904.43   | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1580 10-01-49                                      | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3008403 | PA      | $2854095.83    | 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        |   1217781 | PA      | $1152712.71    | 0.00%             | 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        |     27650 | PA      | $28501.43      | 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        |    256027 | PA      | $244093.87     | 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        |     34149 | PA      | $33220.14      | 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        |     24928 | PA      | $25694.96      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BK9761 08-01-48                                      | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     87772 | PA      | $88381.17      | 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        |    386209 | PA      | $363222.78     | 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        |    573247 | PA      | $540063.23     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ8411 08-01-49                                      | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    827823 | PA      | $783592.51     | 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        |     52130 | PA      | $53673.57      | 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        |    711972 | PA      | $692614.53     | 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        |    303973 | PA      | $287727.33     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    172315 | PA      | $167460.75     | 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        |     55760 | PA      | $52726.24      | 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        |   1024346 | PA      | $1001815.52    | 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        |    105286 | PA      | $100022.71     | 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        |   2383979 | PA      | $2256596.23    | 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        |   3175240 | PA      | $3012372.04    | 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        |     20052 | PA      | $19447.06      | 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        |     12089 | PA      | $11442.40      | 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        |     10624 | PA      | $10939.44      | 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        |     59834 | PA      | $56793.83      | 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        |     89801 | PA      | $84580.77      | 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        |      1405 | PA      | $1439.02       | 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        |    316802 | PA      | $298093.51     | 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        |    215332 | PA      | $205624.01     | 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        |    419215 | PA      | $407816.98     | 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        |    300056 | PA      | $292237.25     | 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        |    213672 | PA      | $204046.93     | 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        |    290639 | PA      | $275231.25     | 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        |   2869010 | PA      | $2720900.09    | 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        |    268929 | PA      | $254574.43     | 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        |    161855 | PA      | $152447.57     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54831 03-01-48                                          | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    111360 | PA      | $105694.44     | 0.00%             | 2048-03-01      | 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        |    876396 | PA      | $719173.29     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | 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        |    219272 | PA      | $209075.33     | 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        |    201257 | PA      | $179273.02     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI6 3.0 BF0497 07-01-60                                         | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21000178 | PA      | $18378032.97   | 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        |   9880829 | PA      | $9083159.98    | 0.04%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0379 04-01-59                                         | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15270814 | PA      | $14040017.37   | 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        |  26721580 | PA      | $24332484.14   | 0.10%             | 2051-04-01      | Fixed         | 3.00%                 | 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        |  24712617 | PA      | $21820054.46   | 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        |   6348013 | PA      | $5835557.16    | 0.02%             | 2060-06-01      | Fixed         | 3.50%                 | 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        |   2261845 | PA      | $1856318.54    | 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        |  51955993 | PA      | $45762526.85   | 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        |   1596787 | PA      | $1411345.69    | 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        |   2545500 | PA      | $2657211.61    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | 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        |   2356126 | PA      | $2236422.71    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | 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        |   6291004 | PA      | $5991621.32    | 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        |  11875968 | PA      | $10704510.71   | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | 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        |   5174859 | PA      | $4680784.02    | 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        |  16134788 | PA      | $14601966.86   | 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        |   1512091 | PA      | $1367104.46    | 0.01%             | 2051-12-01      | 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        |   6061396 | PA      | $5327281.87    | 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        |   2620548 | PA      | $2301540.97    | 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        |   3632707 | PA      | $3160248.23    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | 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        |  33919096 | PA      | $29815122.98   | 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        |   7982943 | PA      | $7276484.57    | 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        |  18290311 | PA      | $17237045.37   | 0.07%             | 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        |   2319022 | PA      | $2105412.22    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7553 03-01-52                                      | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14370093 | PA      | $12990291.48   | 0.05%             | 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        |  34842109 | PA      | $30644192.64   | 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        |  31311606 | PA      | $27539058.33   | 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        |   6018353 | PA      | $5296974.78    | 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        |    140656 | PA      | $142384.85     | 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        |   6984642 | PA      | $5720882.71    | 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        |    106825 | PA      | $87571.76      | 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        |   2621481 | PA      | $2340075.56    | 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        |   1576265 | PA      | $1292055.19    | 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        |    338924 | PA      | $276139.99     | 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        |   3521543 | PA      | $2886781.28    | 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        |    149664 | PA      | $122734.10     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | 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        |    338613 | PA      | $333108.92     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | 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        |    189256 | PA      | $161456.39     | 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        |    176114 | PA      | $150031.94     | 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        |     90629 | PA      | $77204.65      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | 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        |   1477062 | PA      | $1453052.53    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | 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        |   1245049 | PA      | $1060635.92    | 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        |    671362 | PA      | $571928.47     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | 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        |     47113 | PA      | $48747.19      | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK6840 06-01-48                                      | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    568335 | PA      | $552881.69     | 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        |     66979 | PA      | $69043.19      | 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        |    127706 | PA      | $121540.65     | 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        |    357187 | PA      | $337461.44     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q28558 09-01-44                                          | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1189947 | PA      | $1135535.38    | 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        |    377990 | PA      | $365193.80     | 0.00%             | 2048-05-01      | 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        |    201366 | PA      | $192566.29     | 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        |    389281 | PA      | $367518.80     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56590 06-01-48                                          | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    206676 | PA      | $195685.56     | 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        |    123622 | PA      | $127130.01     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | 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        | 458314560 | PA      | $465404352.00  | 1.95%             | 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      | $1136989.16    | 0.00%             | 2031-10-31      | Fixed         | 4.12%                 | 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        |    121820 | PA      | $115479.46     | 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        |   4236197 | PA      | $4018909.85    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | 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      | $101409615.67  | 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      | $174864877.70  | 0.73%             | 2034-11-15      | Fixed         | 4.25%                 | 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        |     21390 | PA      | $20931.38      | 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        |    509588 | PA      | $484674.11     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58378 09-01-48                                          | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    337719 | PA      | $336283.37     | 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        |     63737 | PA      | $60877.71      | 0.00%             | 2044-12-01      | 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        |     29012 | PA      | $27798.02      | 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        |    595685 | PA      | $579580.52     | 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        |    279506 | PA      | $268118.85     | 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        |    415109 | PA      | $392577.90     | 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        |    189950 | PA      | $179168.51     | 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        |    263980 | PA      | $262596.79     | 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        |   1063237 | PA      | $1060690.56    | 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        |    170947 | PA      | $165558.70     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | 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        |    208148 | PA      | $199539.46     | 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        |    134556 | PA      | $132413.38     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | 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        |     92595 | PA      | $87097.44      | 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        |    104132 | PA      | $97975.95      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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      | $5115669.29    | 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      | $6391658.51    | 0.03%             | 2054-11-15      | Fixed         | 4.50%                 | 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        |    846470 | PA      | $811095.74     | 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        |    501537 | PA      | $499804.78     | 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        |   1701755 | PA      | $1540011.33    | 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        |   8493874 | PA      | $7550425.06    | 0.03%             | 2056-07-25      | Fixed         | 3.00%                 | 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      | $3319550.37    | 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      | $3699751.49    | 0.02%             | 2026-11-30      | Fixed         | 4.25%                 | 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        |   8919899 | PA      | $7808568.39    | 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        |   8587660 | PA      | $8135579.40    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | 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      | $43268583.82   | 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      | $130807833.91  | 0.55%             | 2029-11-30      | Fixed         | 4.12%                 | 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        |     53640 | PA      | $53063.52      | 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        |     81167 | PA      | $80233.52      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | 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        |    235136 | PA      | $225346.32     | 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        |     24176 | PA      | $22387.58      | 0.00%             | 2052-04-01      | 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        |   8702377 | PA      | $7917430.98    | 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        |   2808390 | PA      | $2541536.87    | 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        |   4779024 | PA      | $4487044.96    | 0.02%             | 2049-04-01      | Fixed         | 3.50%                 | 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        |  11688640 | PA      | $9592352.90    | 0.04%             | 2050-11-01      | 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      | $32920100.05   | 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      | $5018929.88    | 0.02%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7544 07-01-51                                      | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1282676 | PA      | $1164850.54    | 0.00%             | 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        |  81034553 | PA      | $71397518.97   | 0.30%             | 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        |       521 | PA      | $552.91        | 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        |   5372026 | PA      | $4994404.56    | 0.02%             | 2052-05-01      | Variable      | 2.54%                 | 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      | $303927589.15  | 1.27%             | 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      | $7799228.73    | 0.03%             | 2028-01-15      | Fixed         | 4.25%                 | 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        |   4953510 | PA      | $4259745.85    | 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        |   4827846 | PA      | $4151662.91    | 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        |   1164495 | PA      | $1012217.66    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | 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        |   7814731 | PA      | $6765236.12    | 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        |   4853168 | PA      | $4406977.43    | 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        |   4763209 | PA      | $3904359.84    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | 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      | $51302812.50   | 0.22%             | 2027-01-31      | Fixed         | 4.12%                 | 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      | $20715624.00   | 0.09%             | 2032-01-31      | Fixed         | 4.38%                 | 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        |  47255220 | PA      | $47477697.50   | 0.20%             | 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        | 107242091 | PA      | $101971893.02  | 0.43%             | 2045-07-01      | Fixed         | 3.50%                 | 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      | $89275779.00   | 0.37%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-28                         | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 605000000 | PA      | $614642187.50  | 2.58%             | 2028-02-15      | Fixed         | 4.25%                 | 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        |  27715554 | PA      | $26363727.39   | 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        |   1855864 | PA      | $1612914.72    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | 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        |   6542102 | PA      | $5371575.89    | 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        | 104377601 | PA      | $93796426.23   | 0.39%             | 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        |   3558283 | PA      | $3503751.93    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7552 01-01-52                                      | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2584791 | PA      | $2244780.01    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | 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      | $2521649.12    | 0.01%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 02-19-26                          | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $297533340.00  | 1.25%             | 2026-02-19      | Fixed         | 0.00%                 | 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        |  56426951 | PA      | $50348752.92   | 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        |  30026966 | PA      | $28794298.68   | 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        |     24618 | PA      | $22822.89      | 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        |  20136313 | PA      | $16470698.26   | 0.07%             | 2052-04-01      | 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        |   1738335 | PA      | $1620664.99    | 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        |   5027087 | PA      | $4372243.51    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | 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        |     93534 | PA      | $89155.47      | 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        |    447062 | PA      | $417289.93     | 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        |    444701 | PA      | $415636.36     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | 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        |   1441658 | PA      | $1477155.87    | 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        |    673187 | PA      | $624105.27     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | 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        |   9009118 | PA      | $7340268.60    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | 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        |   6669726 | PA      | $5731555.55    | 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        |   1802307 | PA      | $1568718.88    | 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        |   1816209 | PA      | $1581165.96    | 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        |   1931228 | PA      | $1669082.90    | 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        |   3990718 | PA      | $3912312.61    | 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        |  12005047 | PA      | $10382456.62   | 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        |   8542582 | PA      | $7434087.93    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS0965 11-01-51                                      | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    487457 | PA      | $398897.36     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR1035 05-01-51                                      | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63306 | PA      | $51921.86      | 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        |      3438 | PA      | $2821.64       | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | 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        |    156871 | PA      | $134346.79     | 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        |  15960100 | PA      | $13615768.71   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0235 01-01-52                                      | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5974833 | PA      | $5089846.85    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |  14685978 | PA      | $14451810.42   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | 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        |   1242637 | PA      | $1058621.47    | 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        |    237778 | PA      | $228458.70     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | 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        |   7109000 | PA      | $6323740.15    | 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        |    185833 | PA      | $158307.00     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |  28712175 | PA      | $29476924.03   | 0.12%             | 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        |   8857571 | PA      | $9113785.07    | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | 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        | 137959100 | PA      | $141936184.52  | 0.60%             | 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        |    250717 | PA      | $204692.71     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | 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        |   1905052 | PA      | $1956930.22    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | 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        |   3671519 | PA      | $3059807.19    | 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        |   9028239 | PA      | $7538588.44    | 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        |   8884853 | PA      | $7263740.79    | 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        |   8357711 | PA      | $8722216.11    | 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        |    435817 | PA      | $394334.54     | 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        |    270098 | PA      | $241817.80     | 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        |    814533 | PA      | $735868.34     | 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        |   4469527 | PA      | $3651576.90    | 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        |     22484 | PA      | $20841.03      | 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        |     46573 | PA      | $43169.74      | 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        |     53990 | PA      | $50029.44      | 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        |       292 | PA      | $301.99        | 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        |      1072 | PA      | $1117.40       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | 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        |       202 | PA      | $213.23        | 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        |       776 | PA      | $812.13        | 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        |       905 | PA      | $936.58        | 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        |      1614 | PA      | $1698.62       | 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        |       981 | PA      | $1014.57       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD7144 01-01-52                                      | CUSIP: 3133B45D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37670 | PA      | $30691.10      | 0.00%             | 2052-01-01      | 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        |   3087057 | PA      | $3164137.69    | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RQ0027 07-01-55                                      | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15604214 | PA      | $15809737.57   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RQ0056 10-01-55                                      | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    330583 | PA      | $334937.35     | 0.00%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SL2621 07-01-52                                      | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35839747 | PA      | $30531486.31   | 0.13%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FA2839 07-01-52                                      | CUSIP: 3140W3EM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21826994 | PA      | $18605220.33   | 0.08%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FP0128 06-01-54                                      | CUSIP: 3140XTEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12479468 | PA      | $12938363.05   | 0.05%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FA2842 07-01-55                                      | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  66898672 | PA      | $69400681.99   | 0.29%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2781 09-01-55                                      | CUSIP: 31427QCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35431300 | PA      | $37146316.82   | 0.16%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2647 09-01-55                                      | CUSIP: 31427P5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22726451 | PA      | $23846342.50   | 0.10%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2445 09-01-54                                      | CUSIP: 31427PWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16279320 | PA      | $16916150.60   | 0.07%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL0673 03-01-55                                      | CUSIP: 31427MXB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  57060038 | PA      | $59864082.70   | 0.25%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6766 07-01-53                                      | CUSIP: 3140QSQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9669092 | PA      | $10151859.91   | 0.04%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FA2843 03-01-55                                      | CUSIP: 3140W3ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16247521 | PA      | $16851067.43   | 0.07%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 MA5649 03-01-55                                      | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  44594245 | PA      | $46802730.01   | 0.20%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 SL2928 01-01-55                                      | CUSIP: 31427QHE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10040515 | PA      | $10542299.88   | 0.04%             | 2055-01-01      | Fixed         | 7.00%                 | 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        |   1951093 | PA      | $1869990.14    | 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        |    494353 | PA      | $472229.96     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA7510 06-01-52                                      | CUSIP: 3133KPKX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36019 | PA      | $33349.85      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.0 UMBS TBA 12-01-55                                         | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10851000 | PA      | $9639247.13    | 0.04%             | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 5.5 UMBS TBA 12-01-55                                         | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  60342078 | PA      | $61112163.60   | 0.26%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.5 UMBS TBA 12-01-55                                         | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 120253000 | PA      | $117737788.25  | 0.49%             | 2055-12-01      | Fixed         | 4.50%                 | 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        |   7511146 | PA      | $7183449.61    | 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        |   1060368 | PA      | $1014731.68    | 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        |  14309299 | PA      | $14519102.03   | 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        |   1992309 | PA      | $1909285.75    | 0.01%             | 2053-02-01      | 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        |   2226813 | PA      | $2131828.54    | 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        |    693654 | PA      | $705379.24     | 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        |    437098 | PA      | $418883.32     | 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        |     38198 | PA      | $36630.37      | 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        |    270434 | PA      | $258800.60     | 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        |   2286821 | PA      | $2187321.35    | 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        |     57228 | PA      | $59210.49      | 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        |   1713080 | PA      | $1638285.52    | 0.01%             | 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        |     58978 | PA      | $56440.72      | 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        |   3222745 | PA      | $3351091.27    | 0.01%             | 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        |   1350483 | PA      | $1389737.76    | 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        |    222134 | PA      | $228466.55     | 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        |   1105470 | PA      | $1058316.56    | 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        |    618099 | PA      | $592576.77     | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | 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        |    417062 | PA      | $430241.92     | 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        |   1269778 | PA      | $1082072.67    | 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        |    987729 | PA      | $945629.62     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | 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        |    133142 | PA      | $131073.82     | 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        |     30270 | PA      | $29011.37      | 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        |   1087425 | PA      | $1040174.87    | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | 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        |   1021987 | PA      | $977379.65     | 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        |     30022 | PA      | $28754.01      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | 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        |    522420 | PA      | $499624.90     | 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        |    299360 | PA      | $286945.83     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | 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        |   7010053 | PA      | $7137383.51    | 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        |   4179753 | PA      | $4204902.80    | 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        |    434908 | PA      | $436249.05     | 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        |   6376959 | PA      | $6416649.19    | 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        |    150099 | PA      | $150523.23     | 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        |   7822955 | PA      | $7962649.18    | 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        |   2151212 | PA      | $2157290.86    | 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        |    540448 | PA      | $555853.96     | 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        |    340932 | PA      | $350175.89     | 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        |    287923 | PA      | $296079.49     | 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        |   7166882 | PA      | $7379573.08    | 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        |  32958957 | PA      | $33510491.73   | 0.14%             | 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        |       575 | PA      | $583.85        | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |     36591 | PA      | $35077.18      | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | 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        |    479425 | PA      | $427053.50     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | 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        |   1227702 | PA      | $1247939.41    | 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        |   8599423 | PA      | $8744031.03    | 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        |   4814305 | PA      | $4905636.76    | 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        |   6231497 | PA      | $6336771.72    | 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        |   1458223 | PA      | $1482670.33    | 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        |   5262466 | PA      | $5397053.67    | 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        |   5073502 | PA      | $5169746.79    | 0.02%             | 2053-03-01      | 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        |   5438388 | PA      | $5538558.09    | 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        |     37970 | PA      | $38753.53      | 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        |   3630964 | PA      | $3694814.88    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | 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        |   1577491 | PA      | $1606674.64    | 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        |    269593 | PA      | $273981.50     | 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        |    783208 | PA      | $796190.61     | 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        |   4033495 | PA      | $4132077.55    | 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        |   1041454 | PA      | $1076500.34    | 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        |    128536 | PA      | $131896.45     | 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        |   8708475 | PA      | $8315583.82    | 0.03%             | 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        |  20268624 | PA      | $17431239.95   | 0.07%             | 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        |    361760 | PA      | $368284.26     | 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        |    313299 | PA      | $321381.91     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | 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        |   5613011 | PA      | $5766970.59    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | 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        |     88622 | PA      | $91105.59      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | 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        |   2038253 | PA      | $2095837.25    | 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        |  22523993 | PA      | $23143740.66   | 0.10%             | 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        |  18537546 | PA      | $18809343.14   | 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        |   4731055 | PA      | $4794597.32    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RA8647 05-01-53                                      | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1011730 | PA      | $995180.17     | 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        |   1003159 | PA      | $987163.18     | 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        |   2344512 | PA      | $2313756.79    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE8579 08-01-52                                      | CUSIP: 3133BJQ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2287690 | PA      | $2257952.16    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | 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        |  24188771 | PA      | $25110871.64   | 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        |  15502168 | PA      | $15823062.49   | 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        |  10452617 | PA      | $10642081.48   | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | 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        |  25526407 | PA      | $26229455.79   | 0.11%             | 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        |    414707 | PA      | $423308.94     | 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        |  10474693 | PA      | $10873967.57   | 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        |   7383816 | PA      | $7536660.64    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1215 04-01-54                                      | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1208922 | PA      | $1227122.83    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | 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        |  36935287 | PA      | $38134280.47   | 0.16%             | 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        |  10909116 | PA      | $10671406.20   | 0.04%             | 2053-10-01      | Variable      | 4.68%                 | 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        |    236075 | PA      | $239763.60     | 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        |   3495288 | PA      | $3595818.97    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | 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        |   2300993 | PA      | $2205338.64    | 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        |    224300 | PA      | $214929.65     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | 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        |    724218 | PA      | $734814.95     | 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        |   2287995 | PA      | $2324712.51    | 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        |  22083418 | PA      | $22701312.10   | 0.10%             | 2053-10-01      | Fixed         | 6.00%                 | 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        |   7251973 | PA      | $7441734.92    | 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        |  30630230 | PA      | $31264275.45   | 0.13%             | 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        |   6727477 | PA      | $6834181.63    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | 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        |   1066811 | PA      | $1022014.30    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | 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        |    853861 | PA      | $881422.62     | 0.00%             | 2054-04-01      | 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        |  16169349 | PA      | $16899152.65   | 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        |   8715758 | PA      | $8874402.51    | 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        |   3708984 | PA      | $3803370.16    | 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        |   4111986 | PA      | $4156695.72    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8448 07-01-54                                      | CUSIP: 3132DWL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33227671 | PA      | $34440015.39   | 0.14%             | 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        |   4251190 | PA      | $4422155.44    | 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        |   7312006 | PA      | $7696251.57    | 0.03%             | 2054-06-01      | 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        |  26054018 | PA      | $27131638.55   | 0.11%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |  12764135 | PA      | $13316183.33   | 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        |   1570587 | PA      | $1630462.49    | 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        |   3861233 | PA      | $4016504.90    | 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        |     59620 | PA      | $61703.58      | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | 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        |   2868769 | PA      | $2939016.81    | 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        |   1228212 | PA      | $1259728.13    | 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        |   8864767 | PA      | $9231414.09    | 0.04%             | 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        |   3302813 | PA      | $3458546.97    | 0.01%             | 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        |    705652 | PA      | $724029.05     | 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        |   1165777 | PA      | $1194960.70    | 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        |   2303305 | PA      | $2416448.07    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |   4500140 | PA      | $4590534.40    | 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        |    506252 | PA      | $519242.63     | 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        |     54532 | PA      | $55706.74      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |  10193350 | PA      | $10031877.12   | 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        |  37849999 | PA      | $37273845.85   | 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        | 227722999 | PA      | $233853302.19  | 0.98%             | 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        |     58844 | PA      | $54523.37      | 0.00%             | 2053-04-01      | Fixed         | 3.50%                 | 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        |   5934938 | PA      | $5823753.20    | 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        |   3781313 | PA      | $3710473.59    | 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        |     47151 | PA      | $45188.09      | 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        |    201810 | PA      | $172490.63     | 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        |    378069 | PA      | $308979.17     | 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        |   9676337 | PA      | $9954647.60    | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | 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        |  14638704 | PA      | $14676310.41   | 0.06%             | 2053-11-01      | Fixed         | 5.00%                 | 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        |  15013782 | PA      | $15463984.96   | 0.06%             | 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        |   3894449 | PA      | $4035669.25    | 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        |   6013150 | PA      | $6242364.84    | 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        |   2807101 | PA      | $2914104.40    | 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        |  18179071 | PA      | $18869966.99   | 0.08%             | 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        |  16085117 | PA      | $16390284.33   | 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        |  45540469 | PA      | $46820748.40   | 0.20%             | 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        |   1729939 | PA      | $1776195.50    | 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        |   3260330 | PA      | $3379756.22    | 0.01%             | 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        |   6072384 | PA      | $6161240.97    | 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        |  24472602 | PA      | $24830710.05   | 0.10%             | 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        |   7252306 | PA      | $7469781.14    | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | 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        |   1713663 | PA      | $1685987.40    | 0.01%             | 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        |   7554594 | PA      | $7778836.58    | 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        |   6511327 | PA      | $6608944.95    | 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        |   9118329 | PA      | $8724609.03    | 0.04%             | 2053-11-01      | 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        |   1973107 | PA      | $1881712.99    | 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        |    842426 | PA      | $807493.58     | 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        |    322498 | PA      | $309509.70     | 0.00%             | 2052-08-01      | 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        |     53306 | PA      | $51128.84      | 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        |    182869 | PA      | $174982.09     | 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        |     35320 | PA      | $33848.77      | 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        |     25625 | PA      | $24569.90      | 0.00%             | 2052-08-01      | 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        |    872322 | PA      | $836510.78     | 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        |    400384 | PA      | $384113.16     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | 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        |    137952 | PA      | $132069.36     | 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        |    394843 | PA      | $378326.48     | 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        |    720708 | PA      | $691196.72     | 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        |     51972 | PA      | $49811.26      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | 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        |     78803 | PA      | $75315.48      | 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        |    312591 | PA      | $299273.74     | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | 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        |    815468 | PA      | $781627.63     | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | 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        |   8005191 | PA      | $8291696.52    | 0.03%             | 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        |   4944041 | PA      | $5073916.15    | 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        |   4795490 | PA      | $4928516.88    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |    752676 | PA      | $781370.92     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5446 08-01-54                                      | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2129536 | PA      | $2207236.17    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8455 08-01-54                                      | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36810191 | PA      | $38153284.11   | 0.16%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |    966868 | PA      | $998963.77     | 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        |   1974820 | PA      | $2034345.05    | 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        |    816177 | PA      | $843953.52     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |   1048416 | PA      | $1087665.13    | 0.00%             | 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        |   1519941 | PA      | $1577716.61    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |   2290466 | PA      | $2367548.91    | 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        |    134754 | PA      | $140227.79     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |   2092246 | PA      | $2151190.51    | 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        |   2792185 | PA      | $2869090.50    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |   3268875 | PA      | $3320725.55    | 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        |  37189938 | PA      | $38223780.81   | 0.16%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |   9564843 | PA      | $9969637.20    | 0.04%             | 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        |   5157670 | PA      | $5241858.82    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | 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        |   3005558 | PA      | $3053232.36    | 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        |    546842 | PA      | $556755.00     | 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        |  16848525 | PA      | $17312600.91   | 0.07%             | 2054-08-01      | 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        |   5058212 | PA      | $5261638.17    | 0.02%             | 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        |   4408681 | PA      | $4625257.87    | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | 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        |  11357628 | PA      | $11669883.73   | 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        |   1617434 | PA      | $1682936.53    | 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        |   3196685 | PA      | $3333525.81    | 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        |   3349640 | PA      | $3441899.06    | 0.01%             | 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        |   5508536 | PA      | $5723165.05    | 0.02%             | 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        |   5723681 | PA      | $5941885.10    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2312 09-01-54                                      | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6129656 | PA      | $6320969.15    | 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        |   4519320 | PA      | $4738566.19    | 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        |   3034727 | PA      | $3181953.99    | 0.01%             | 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        |  15904872 | PA      | $16649649.09   | 0.07%             | 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        |   5331300 | PA      | $5545825.73    | 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        |   2149976 | PA      | $2217078.71    | 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        |   3217781 | PA      | $3318211.53    | 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        |   2476198 | PA      | $2544400.29    | 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        |   5381904 | PA      | $5560394.35    | 0.02%             | 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        |   5220448 | PA      | $5406707.90    | 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        |    528361 | PA      | $541662.84     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | 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        |   3539814 | PA      | $3554047.49    | 0.01%             | 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        |   3997905 | PA      | $4084751.45    | 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        |  11284445 | PA      | $11276670.34   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | 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        |  18340826 | PA      | $18019972.05   | 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        |   4972232 | PA      | $5040003.27    | 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        |   8318841 | PA      | $8349005.48    | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | 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        |   5008096 | PA      | $5090614.52    | 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        |   2677166 | PA      | $2721277.46    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8469 10-01-54                                      | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5056669 | PA      | $5127102.96    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | 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        |    529935 | PA      | $554435.57     | 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        |    221268 | PA      | $211389.17     | 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        |   2673362 | PA      | $2558097.17    | 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        |   9958572 | PA      | $10092066.92   | 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        |   1647037 | PA      | $1570049.55    | 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        |     46113 | PA      | $44167.37      | 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        |   2255252 | PA      | $2161316.36    | 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        |   3586737 | PA      | $3440247.05    | 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        |     52984 | PA      | $50681.85      | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5472 09-01-54                                      | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6433178 | PA      | $6667905.88    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | 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        |    777735 | PA      | $741382.63     | 0.00%             | 2054-10-01      | 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        |   3598257 | PA      | $3080964.74    | 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        |   5838060 | PA      | $6056706.73    | 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        |  42821451 | PA      | $43403094.41   | 0.18%             | 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        |   3848132 | PA      | $3990655.61    | 0.02%             | 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        |    401638 | PA      | $385109.81     | 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        |   1802500 | PA      | $1727569.94    | 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        |     69617 | PA      | $66594.01      | 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        |    911536 | PA      | $871835.19     | 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        |     52606 | PA      | $50380.95      | 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        |    245777 | PA      | $235585.37     | 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        |    236351 | PA      | $226550.81     | 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        |     33753 | PA      | $32286.74      | 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        |     71862 | PA      | $68602.68      | 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        |    900353 | PA      | $863268.07     | 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        |    597377 | PA      | $571115.01     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | 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        |    595152 | PA      | $569549.49     | 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        |     60246 | PA      | $57760.14      | 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        |     28742 | PA      | $27474.69      | 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        |     84889 | PA      | $81053.91      | 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        |   1717205 | PA      | $1740857.43    | 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        |    221791 | PA      | $189472.58     | 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        |   1270544 | PA      | $1288239.20    | 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        |   1182885 | PA      | $1198741.90    | 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        |    569830 | PA      | $568817.20     | 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        |    141038 | PA      | $140594.85     | 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        |   2706577 | PA      | $2774314.75    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3240 01-01-55                                      | CUSIP: 3142GTS64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44848690 | PA      | $46288467.73   | 0.19%             | 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        |  12825135 | PA      | $13239233.43   | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | 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        |  12451892 | PA      | $12477791.47   | 0.05%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9821 01-01-55                                      | CUSIP: 3140QV4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11736409 | PA      | $12091059.69   | 0.05%             | 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        |   3264038 | PA      | $3358178.92    | 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        |   6367778 | PA      | $6381513.08    | 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        |   2969988 | PA      | $3054707.36    | 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        |   5533777 | PA      | $5546139.29    | 0.02%             | 2054-12-01      | 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        |   9302170 | PA      | $9289835.35    | 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        |   1198567 | PA      | $1199938.00    | 0.01%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5646 03-01-55                                      | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11064314 | PA      | $11212631.10   | 0.05%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8515 03-01-55                                      | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    378252 | PA      | $383322.96     | 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        |     38474 | PA      | $39011.48      | 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        |   2411611 | PA      | $2470475.98    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | 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        |   1384755 | PA      | $1418666.00    | 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        |    819716 | PA      | $840124.41     | 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        |   1284298 | PA      | $1315750.07    | 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        |   1708825 | PA      | $1674161.02    | 0.01%             | 2055-04-01      | 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        |  48006401 | PA      | $49191823.34   | 0.21%             | 2055-05-01      | Fixed         | 6.00%                 | 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        |    530418 | PA      | $472140.56     | 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        |    900358 | PA      | $932620.88     | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | 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        |   1135080 | PA      | $1176018.22    | 0.00%             | 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        |    812725 | PA      | $842034.29     | 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        |    818719 | PA      | $848237.34     | 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        |   1954276 | PA      | $2025036.74    | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | 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        |   2375865 | PA      | $2461075.64    | 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        |    482574 | PA      | $500021.68     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FA0287 12-01-54                                      | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1920991 | PA      | $1969334.23    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | 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        | 221291124 | PA      | $226670710.78  | 0.95%             | 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        |    857957 | PA      | $869933.04     | 0.00%             | 2055-06-01      | Fixed         | 5.50%                 | 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        |  19184811 | PA      | $15721242.83   | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | 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        |  11786478 | PA      | $12076166.38   | 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        |   9967508 | PA      | $8155125.95    | 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        |     77779 | PA      | $79715.45      | 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        |   2871812 | PA      | $2659613.85    | 0.01%             | 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        |    910750 | PA      | $843231.04     | 0.00%             | 2052-09-01      | Fixed         | 3.50%                 | 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        |    689189 | PA      | $638232.17     | 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        |     48138 | PA      | $44596.80      | 0.00%             | 2053-08-01      | Fixed         | 3.50%                 | 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        |     44540 | PA      | $41259.06      | 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        |     50605 | PA      | $46853.60      | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD2494 03-01-52                                      | CUSIP: 3132DPXX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1979832 | PA      | $1833055.30    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | 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        |   2371442 | PA      | $2430486.63    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD0740 10-01-51                                      | CUSIP: 3132DMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    997746 | PA      | $929772.67     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 CB3780 05-01-52                                      | CUSIP: 3140QPFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    997815 | PA      | $924074.25     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8588 07-01-54                                      | CUSIP: 3140XQRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36519002 | PA      | $38278231.59   | 0.16%             | 2054-07-01      | 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        |     43821 | PA      | $45059.44      | 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        |    849805 | PA      | $824253.27     | 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        |    402353 | PA      | $370784.54     | 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        |    345711 | PA      | $334983.67     | 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        |     55873 | PA      | $58104.54      | 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        |    351493 | PA      | $369049.73     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8507 02-01-55                                      | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33020502 | PA      | $33829174.49   | 0.14%             | 2055-02-01      | 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        |     10752 | PA      | $10895.78      | 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        |  10394486 | PA      | $10649047.21   | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8496 01-01-55                                      | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  41939210 | PA      | $42971920.67   | 0.18%             | 2055-01-01      | 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        |  12143177 | PA      | $12440563.56   | 0.05%             | 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        |   4071502 | PA      | $4171213.33    | 0.02%             | 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        |     24607 | PA      | $25573.96      | 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        |   3369877 | PA      | $3367554.72    | 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        |    278983 | PA      | $290556.04     | 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        |     61624 | PA      | $64072.72      | 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        |    655038 | PA      | $692102.03     | 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        |     13354 | PA      | $13846.68      | 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        |     45075 | PA      | $46765.67      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | 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        |   2682869 | PA      | $2756763.31    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | 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        |    104977 | PA      | $106475.23     | 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        |    217898 | PA      | $221086.29     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | 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        |    664760 | PA      | $698097.70     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | 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        |   2516008 | PA      | $2512478.27    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | 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        |  31398271 | PA      | $32167215.06   | 0.13%             | 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        |   1396464 | PA      | $1394395.68    | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | 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        |   1776753 | PA      | $1646069.53    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | 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        |     39795 | PA      | $36844.91      | 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        |     59222 | PA      | $54833.60      | 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        |     60713 | PA      | $56217.32      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE8971 07-01-52                                      | CUSIP: 3133BJ6G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    123501 | PA      | $114345.53     | 0.00%             | 2052-07-01      | 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        |    714709 | PA      | $732584.95     | 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        |   1384751 | PA      | $1132298.23    | 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        |     44400 | PA      | $36173.63      | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4791 07-01-54                                      | CUSIP: 3140M6KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    344865 | PA      | $353406.86     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |    128421 | PA      | $131677.49     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SL1416 04-01-55                                      | CUSIP: 31427NSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    264650 | PA      | $271205.13     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | 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        |    714858 | PA      | $733219.76     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |   2568632 | PA      | $2188194.41    | 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        |  13193429 | PA      | $11239191.58   | 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        |  28700990 | PA      | $29449396.59   | 0.12%             | 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        |    187649 | PA      | $192421.48     | 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        |    957202 | PA      | $815426.43     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | 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        |  10625661 | PA      | $8666713.89    | 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        |    360862 | PA      | $370118.11     | 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        |  20992027 | PA      | $21501209.80   | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | 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        |     39332 | PA      | $35039.83      | 0.00%             | 2050-03-01      | 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        |   6906367 | PA      | $6141293.79    | 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        |    651630 | PA      | $582145.71     | 0.00%             | 2051-08-01      | 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        |   8703016 | PA      | $7747772.63    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | 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        |     58944 | PA      | $59054.83      | 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        |     77886 | PA      | $73597.57      | 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        |   9445322 | PA      | $7872147.25    | 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        |     40676 | PA      | $41212.45      | 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        |    737795 | PA      | $764345.89     | 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        |    488591 | PA      | $517503.20     | 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        |   1374902 | PA      | $1405877.01    | 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        |   3098840 | PA      | $3077746.05    | 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        |  10701569 | PA      | $8919148.17    | 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        |    517888 | PA      | $472770.18     | 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        |  23841812 | PA      | $20715149.04   | 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        |  23909981 | PA      | $22193865.75   | 0.09%             | 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        |   4709776 | PA      | $4253638.58    | 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        |   5026104 | PA      | $4366940.43    | 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        |   3559419 | PA      | $3214682.46    | 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        |  38252152 | PA      | $36598664.29   | 0.15%             | 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        |   5388505 | PA      | $4040947.38    | 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        |   9255015 | PA      | $7984032.79    | 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        |  19263573 | PA      | $16761350.07   | 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        |   4141247 | PA      | $3587889.69    | 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        |  36957614 | PA      | $32032087.73   | 0.13%             | 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        |  43192968 | PA      | $37128459.43   | 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        |  11529375 | PA      | $10018265.88   | 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        |   4100946 | PA      | $3523844.48    | 0.01%             | 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        |   7959695 | PA      | $6856752.25    | 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        |  15812741 | PA      | $13621680.55   | 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        |      1510 | PA      | $1506.02       | 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        |      9760 | PA      | $9783.91       | 0.00%             | 2061-05-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.779 AG8068 01-20-64                                         | CUSIP: 36182C6D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       774 | PA      | $777.14        | 0.00%             | 2064-01-20      | Fixed         | 4.78%                 | 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        |   4417754 | PA      | $4080307.84    | 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        |   4439218 | PA      | $4245908.21    | 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        |    319875 | PA      | $328294.32     | 0.00%             | 2064-02-20      | Variable      | 6.63%                 | 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        |    273111 | PA      | $237560.53     | 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        |  23615776 | PA      | $21979203.00   | 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        |  14225427 | PA      | $13956295.83   | 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        |  36734825 | PA      | $36056884.01   | 0.15%             | 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        |    181005 | PA      | $185181.06     | 0.00%             | 2063-10-20      | Variable      | 6.51%                 | 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        |  33332840 | PA      | $32794980.84   | 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        |     63712 | PA      | $63763.74      | 0.00%             | 2062-07-20      | Variable      | 4.71%                 | 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        |   2811529 | PA      | $2690118.61    | 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        |       667 | PA      | $655.92        | 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        |     19708 | PA      | $19780.18      | 0.00%             | 2064-06-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.779 795533 05-20-63                                         | CUSIP: 36177QEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       169 | PA      | $169.99        | 0.00%             | 2063-05-20      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.197 795471 02-20-62                                         | CUSIP: 36177QCH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       151 | PA      | $151.42        | 0.00%             | 2062-02-20      | Fixed         | 5.20%                 | 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        |       370 | PA      | $370.49        | 0.00%             | 2062-03-20      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.393 767641 05-20-63                                         | CUSIP: 36176JS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       259 | PA      | $258.32        | 0.00%             | 2063-05-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.555 767610 11-20-62                                         | CUSIP: 36176JR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       148 | PA      | $147.90        | 0.00%             | 2062-11-20      | Fixed         | 4.55%                 | 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        |     67373 | PA      | $67476.27      | 0.00%             | 2062-05-20      | Variable      | 4.34%                 | 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        |     15477 | PA      | $15575.03      | 0.00%             | 2060-07-20      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.878 AG8150 07-20-64                                         | CUSIP: 36182DBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1208 | PA      | $1214.66       | 0.00%             | 2064-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.198 AG8155 07-20-64                                         | CUSIP: 36182DBY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       703 | PA      | $703.88        | 0.00%             | 2064-07-20      | Fixed         | 5.20%                 | 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        |      3994 | PA      | $4019.45       | 0.00%             | 2064-07-20      | Variable      | 4.78%                 | 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        |       484 | PA      | $483.06        | 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        |    593597 | PA      | $582921.22     | 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        |       807 | PA      | $799.65        | 0.00%             | 2065-01-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.197 AG8189 09-20-64                                         | CUSIP: 36182DC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       681 | PA      | $682.27        | 0.00%             | 2064-09-20      | Fixed         | 5.20%                 | 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      | $25406.43      | 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      | $20002.52      | 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      | $19646.42      | 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      | $13382541.00   | 0.06%             |  |  |  | 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      | $135900.16     | 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      | $576830.34     | 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      | $170285.79     | 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      | $-1443001.91   | -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      | $-145442.56    | -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      | $1761136.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.044% 04-18-23/04-18-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1654716.00    | 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      | $-17376.88     | -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      | $73136.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0875% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1578151.05    | 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      | $1549926.00    | 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      | $88009.88      | 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      | $1574635.65    | 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      | $75370.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.56% 03-01-24/03-01-26 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $618075.00     | 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      | $1518236.00    | 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      | $784461.60     | 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      | $5246830.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.815% 05-06-24/05-06-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1875922.92    | 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      | $1661842.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.659% 05-17-24/05-17-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2220210.47    | 0.01%             |  |  |  | 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      | $4521785.10    | 0.02%             |  |  |  | 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      | $-219206.32    | -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      | $1855530.00    | 0.01%             |  |  |  | No            |                  2 | 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      | $8237.50       | 0.00%             |  |  |  | No            |                  1 | 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      | $8237.50       | 0.00%             |  |  |  | No            |                  1 | 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      | $-3167149.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.561% 08-09-24/08-09-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-3162416.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.415% 08-09-24/08-09-54 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $4371743.06    | 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      | $-5951862.44   | -0.02%            |  |  |  | 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      | $-78143.10     | -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      | $-144545.91    | -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      | $-146674.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.326% 09-19-25/09-19-32 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $759553.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.4225% 09-22-25/09-22-32 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-47680.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6965% 11-05-25/11-05-35 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-263295.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.3615% 11-20-25/05-31-30 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-615219.24    | -0.00%            |  |  |  | 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      | $8237.50       | 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      | $63437.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRZ5P P @ 95.6875 12-12-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     47840 | NC      | $299000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRH6C C @ 96.8125 03-13-26                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      2924 | NC      | $-237575.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRH6C C @ 96.625 03-13-26                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      2924 | NC      | $420325.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | FED FUND 30DAY FUT FFG6 02-27-26                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       233 | NC      | $49438.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | FED FUND 30DAY FUT FFF6 01-30-26                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       246 | NC      | $10038.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRM8 09-19-28                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       766 | NC      | $-26634.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRH6 06-16-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       193 | NC      | $-257730.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRM6 09-15-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1104 | NC      | $-248458.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRZ5 03-17-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        23 | NC      | $-2185.69      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT TYH6 03-20-26                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     10472 | NC      | $1342407.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 30YR FUT ULTRA WNH6 03-20-26                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      5466 | NC      | $5098889.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT ULTRA UXYH6 03-20-26                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3384 | NC      | $-1963654.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 20YR FUT USH6 03-20-26                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2766 | NC      | $863725.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 5YR FUT FVH6 03-31-26                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     30602 | NC      | $4448984.04    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 2YR FUT TUH6 03-31-26                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     74544 | NC      | $1656127.79    | 0.01%             |  |  |  | No            |                  1 | 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        |  44113249 | PA      | $43847895.08   | 0.18%             | 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      | $26174484.98   | 0.11%             | 2041-05-15      | Fixed         | 2.25%                 | 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      | $64300613.61   | 0.27%             | 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      | $390937.52     | 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        |  99321682 | PA      | $98503039.29   | 0.41%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 10-31-26                        | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27500000 | PA      | $26879102.25   | 0.11%             | 2026-10-31      | Fixed         | 1.12%                 | 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      | $34129784.50   | 0.14%             | 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        |  61619995 | PA      | $56798719.46   | 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      | $23690430.00   | 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      | $313437.50     | 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      | $15218706.94   | 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      | $18082396.50   | 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        |  47165220 | PA      | $46347180.16   | 0.19%             | 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      | $33704399.44   | 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      | $30567944.31   | 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      | $24761720.00   | 0.10%             | 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      | $176158697.18  | 0.74%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 07-31-29                        | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63533200 | PA      | $61560195.53   | 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      | $55294528.80   | 0.23%             | 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      | $7061986.31    | 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      | $2457679.83    | 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      | $3133482.48    | 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      | $9711375.36    | 0.04%             | 2029-09-30      | Fixed         | 3.88%                 | 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      | $7031067.03    | 0.03%             | 2035-05-15      | Fixed         | 4.25%                 | 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      | $106489838.50  | 0.45%             | 2045-05-15      | Fixed         | 5.00%                 | 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      | $57055703.00   | 0.24%             | 2027-05-31      | Fixed         | 3.88%                 | 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      | $47995561.28   | 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      | $10431094.81   | 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      | $5392246.53    | 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      | $11863837.35   | 0.05%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 05-15-28                        | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19713282.00   | 0.08%             | 2028-05-15      | Fixed         | 2.88%                 | 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      | $5067968.75    | 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      | $4453143.75    | 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      | $595587.50     | 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      | $6552538.75    | 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        |  60100000 | PA      | $43572500.00   | 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      | $84296.88      | 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      | $23555072.64   | 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        |  47877081 | PA      | $36397792.22   | 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      | $8624099.46    | 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      | $2638386.64    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0369 01-01-52                                      | CUSIP: 3140XFMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23954 | PA      | $20405.93      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD5368 07-01-52                                      | CUSIP: 3132DS6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    337904 | PA      | $288300.21     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | 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        |    123486 | PA      | $126856.10     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | 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        |    406449 | PA      | $332274.32     | 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        |   2748625 | PA      | $2250640.27    | 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        |   1146428 | PA      | $1180457.51    | 0.00%             | 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        |   3577245 | PA      | $3746262.60    | 0.02%             | 2054-10-01      | Fixed         | 6.50%                 | 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        |   3881697 | PA      | $4002157.57    | 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        |   2536286 | PA      | $2632031.07    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | 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        |    189137 | PA      | $161125.47     | 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        |  18798819 | PA      | $16014732.35   | 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        |   1366595 | PA      | $1164174.65    | 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        |   1856229 | PA      | $1583582.21    | 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        |    175841 | PA      | $150011.50     | 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        |    946737 | PA      | $806523.71     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | 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        |   2222382 | PA      | $1893229.86    | 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        |    763723 | PA      | $650617.06     | 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        |    228543 | PA      | $195633.22     | 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        |   7970913 | PA      | $7888262.17    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | 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        |   5596199 | PA      | $5508445.03    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3774 06-01-52                                      | CUSIP: 3140QPFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30184772 | PA      | $28942487.87   | 0.12%             | 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        |   4973026 | PA      | $4762910.86    | 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        |  19631216 | PA      | $19695802.79   | 0.08%             | 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        |     79359 | PA      | $67721.48      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | 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        | 188453413 | PA      | $189063624.89  | 0.79%             | 2053-01-01      | Fixed         | 5.00%                 | 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        |    767533 | PA      | $683972.15     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1895 11-01-52                                      | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16852722 | PA      | $16912835.79   | 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        |    209303 | PA      | $217957.74     | 0.00%             | 2052-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8281 12-01-52                                      | CUSIP: 3132DWFW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  51339415 | PA      | $53458141.42   | 0.22%             | 2052-12-01      | 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        |   4167998 | PA      | $4387080.61    | 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        |   2898830 | PA      | $2996381.71    | 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        |   2523211 | PA      | $2622567.03    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | 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      | $122841.36     | 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      | $122282.80     | 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      | $62765.12      | 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      | $-731447.28    | -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      | $-624115.20    | -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      | $-508955.96    | -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      | $1209576.40    | 0.01%             |  |  |  | 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      | $598797.10     | 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      | $2301711.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.2465% 12-01-25/09-15-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $236628.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.249% 12-01-25/09-15-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $227451.21     | 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      | $1693987.90    | 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      | $25195487.68   | 0.11%             |  |  |  | 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      | $13192322.22   | 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      | $2787479.18    | 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      | $2768018.36    | 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      | $88990.19      | 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      | $43520.75      | 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      | $29073.79      | 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      | $24850.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-28

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Compliance Specialist Senior