# EDGAR Filing Document

**Accession Number:** 0000202032
**File Stem:** 0001752724-25-211944
**Filing Date:** 2025-8
**Character Count:** 294316
**Document Hash:** 6d7c99250caabe93e7d870a1dffbd8c5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-211944.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001752724-25-211944

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM GROWTH SERIES (INVESCO GROWTH SERIES)
- **CENTRAL INDEX KEY:** 0000202032

**ORGANIZATION NAME:**
- **EIN:** 942362417
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02699
- **FILM NUMBER:** 251275878

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

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

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $650500566.10

**Total Liabilities:** $140577482.84

**Net Assets:** $509923083.26

**Delayed Delivery Securities:** $137910222.98

**Cash Not Reported:** $383341.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2825.60132240 | **1-Year:** -35393.46046117 | **5-Year:** -94553.10629011 | **10-Year:** -156348.97179658 | **30-Year:** -42600.60663650

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

- **3-Month:** -11.60197231 | **1-Year:** -135.05725861 | **5-Year:** -155.95894257 | **10-Year:** -31.59218573 | **30-Year:** -0.37696101

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000084606 | 0.30%                | -0.93%               | 1.76%                |
| Class ID C000217950 | 0.36%                | -0.98%               | 1.72%                |
| Class ID C000188964 | 0.31%                | -0.92%               | 1.76%                |
| Class ID C000084605 | 0.30%                | -0.93%               | 1.75%                |
| Class ID C000084602 | 0.38%                | -1.06%               | 1.84%                |
| Class ID C000084604 | 0.32%                | -1.03%               | 1.68%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-693699.75              | $1292686.04                                |
| Month 2  | $-554762.58              | $-6573668.74                               |
| Month 3  | $437592.47               | $7531088.88                                |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                                    | Title                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38377YX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    490107 | PA      | $507929.49    | 0.10%             | 2039-01-20      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414UJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216228 | PA      | $219040.46    | 0.04%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202WX95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       556 | PA      | $568.27       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36225A5Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        31 | PA      | $31.07        | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6584367 | PA      | $5505402.12   | 1.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56324 | PA      | $5892.54      | 0.00%             | 2032-03-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824579 | PA      | $745944.84    | 0.15%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     36916 | PA      | $224.68       | 0.00%             | 2026-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust, Series 2004-12, Class 3A6                                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143144 | PA      | $134958.21    | 0.03%             | 2034-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ACAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    460104 | PA      | $9841.12      | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31298LML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2349 | PA      | $2429.23      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       703 | PA      | $727.40       | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       424 | PA      | $434.95       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136B1BQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      6423 | PA      | $43.15        | 0.00%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380RHF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19170 | PA      | $19807.32     | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164773 | PA      | $172678.12    | 0.03%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81 | PA      | $84.62        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138XTAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692176 | PA      | $664043.11    | 0.13%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1425 | PA      | $1472.33      | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31409EGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23413 | PA      | $24175.93     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3373960 | PA      | $2834657.78   | 0.56%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137B26D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     77836 | PA      | $1725.49      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        96 | PA      | $97.14        | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31394YF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      1876 | PA      | $20.83        | 0.00%             | 2026-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38378CE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    618584 | PA      | $624746.84    | 0.12%             | 2041-07-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404MUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18857 | PA      | $19886.39     | 0.00%             | 2034-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4977 | PA      | $5147.39      | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405RLZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60476 | PA      | $61734.42     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414CK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1658 | PA      | $1712.79      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    105084 | PA      | $14492.24     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31307TDS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181494 | PA      | $176578.42    | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380EJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       827 | PA      | $853.80       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383LTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4791 | PA      | $4949.43      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Trust                                         | JP Morgan Trust, Series 2015-3, Class A3                                           | CUSIP: 46644MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470452 | PA      | $438670.69    | 0.09%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16131 | PA      | $16180.51     | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    250160 | PA      | $245447.69    | 0.05%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M0BG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3832535 | PA      | $3223838.47   | 0.63%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198848 | PA      | $201869.45    | 0.04%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EGQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214863 | PA      | $217748.28    | 0.04%             | 2038-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HB20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8161 | PA      | $8453.02      | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137ADPN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     12986 | PA      | $12886.97     | 0.00%             | 2026-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38380HQY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    548420 | PA      | $69823.98     | 0.01%             | 2047-10-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31397BZ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    346919 | PA      | $345124.94    | 0.07%             | 2036-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31378CTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $129.06       | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Notes Future                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -51 | NC      | $-43507.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36206NU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       227 | PA      | $228.64       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO   | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  12221288 | PA      | $372376.54    | 0.07%             | 2029-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403RFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12311 | PA      | $12987.53     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AUFY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    102488 | PA      | $1331.20      | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209BE20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       505 | PA      | $520.52       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209AEY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       930 | PA      | $941.17       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371GVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $152.50       | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136BFCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   5765219 | PA      | $755763.11    | 0.15%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2006-AR2, Class 1A2                          | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5657 | PA      | $5553.42      | 0.00%             | 2036-03-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53137 | PA      | $54914.23     | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    208599 | PA      | $23517.67     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                            | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139109 | PA      | $138728.12    | 0.03%             | 2035-06-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207KAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       214 | PA      | $215.65       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339LHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8043 | PA      | $8038.78      | 0.00%             | 2029-01-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390MJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38223 | PA      | $40308.16     | 0.01%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140J9C25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1846292 | PA      | $1745693.71   | 0.34%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4926 | PA      | $4999.82      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YC80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    193149 | PA      | $27465.90     | 0.01%             | 2031-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EQKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2356602 | PA      | $2219611.96   | 0.44%             | 2040-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31368HKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22043 | PA      | $22557.77     | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31387KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       890 | PA      | $919.76       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201832 | PA      | $204687.81    | 0.04%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136AXEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   2716625 | PA      | $2673027.07   | 0.52%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208QSB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        40 | PA      | $40.08        | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1923 | PA      | $1945.81      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2001-3, IO                                           | CUSIP: 911760RC2<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   1217779 | PA      | $12.18        | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    651331 | PA      | $43513.22     | 0.01%             | 2041-04-16      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Trust & Banking Corp.                    | Mitsubishi UFJ Trust & Banking Corp.                                               | CUSIP: 60683D7D5<br>LEI: JBONEPAGQXF4QP29B387 | Long             | DBT              | CORP              | JP        |  10000000 | PA      | $10004838.00  | 1.96%             | 2026-01-30      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    517869 | PA      | $42809.07     | 0.01%             | 2035-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                     | U.S. Treasury Bills                                                                | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    911000 | PA      | $880276.28    | 0.17%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5164274 | PA      | $4152023.49   | 0.81%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     27217 | PA      | $720.97       | 0.00%             | 2027-12-15      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221810 | PA      | $233989.98    | 0.05%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144999 | PA      | $146793.68    | 0.03%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36211C4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4256 | PA      | $4273.76      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K3DN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3160972 | PA      | $2996695.63   | 0.59%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 312940ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443063 | PA      | $449364.13    | 0.09%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136BKWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |  18508321 | PA      | $2582717.75   | 0.51%             | 2049-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412XFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19677 | PA      | $20154.94     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7V29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257912 | PA      | $261579.01    | 0.05%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance II Ltd.                       | Sapphire Aviation Finance II Ltd., Series 2020-1A, Class B                         | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3120561 | PA      | $2859348.71   | 0.56%             | 2040-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132QSYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2035110 | PA      | $1863840.65   | 0.37%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394EG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     64763 | PA      | $64488.22     | 0.01%             | 2035-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EGCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36771 | PA      | $36689.93     | 0.01%             | 2032-08-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393F7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     57584 | PA      | $57371.42     | 0.01%             | 2032-02-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394EGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1880 | PA      | $24.17        | 0.00%             | 2031-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138AUFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271992 | PA      | $1205520.64   | 0.24%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    133526 | PA      | $18849.77     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14131 | PA      | $14834.88     | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138X3XR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4816682 | PA      | $4640267.00   | 0.91%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133BEVJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4113196 | PA      | $3958372.70   | 0.78%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411UPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7763 | PA      | $7985.19      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TT4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    189979 | PA      | $192599.30    | 0.04%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296XJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14755 | PA      | $15264.76     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust, Series 2019-INV3, Class A2                             | CUSIP: 92537MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281192 | PA      | $278547.34    | 0.05%             | 2059-11-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                | Fannie Mae Connecticut Avenue Securities, Series 2023-R02, Class 1M2               | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5550000 | PA      | $5794517.46   | 1.14%             | 2043-01-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DM2Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7079270 | PA      | $5695896.43   | 1.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       325 | PA      | $331.29       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405LAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8300 | PA      | $8410.75      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405D3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2832 | PA      | $2986.02      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200KEY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1952 | PA      | $2010.61      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380MBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       466 | PA      | $481.16       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140E0EK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1425392 | PA      | $1270567.36   | 0.25%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404G2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158475 | PA      | $159716.74    | 0.03%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    332432 | PA      | $37909.91     | 0.01%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M66Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415047 | PA      | $421611.65    | 0.08%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140JKBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1369385 | PA      | $1292590.99   | 0.25%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403GDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1135 | PA      | $1153.44      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19933 | PA      | $20040.54     | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394FD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    205388 | PA      | $204472.92    | 0.04%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151530 | PA      | $155750.57    | 0.03%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A0BR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1353754 | PA      | $1331280.58   | 0.26%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                           | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344659 | PA      | $357522.66    | 0.07%             | 2035-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     95280 | PA      | $9032.69      | 0.00%             | 2032-12-18      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31409TRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $705.42       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     58938 | PA      | $7523.80      | 0.00%             | 2033-02-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 1999-3, IO                                           | CUSIP: 911760NG7<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   1961141 | PA      | $19.71        | 0.00%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132WJQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7152653 | PA      | $6618546.23   | 1.30%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    128182 | PA      | $16867.52     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       780 | PA      | $806.06       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     33316 | PA      | $3191.95      | 0.00%             | 2032-09-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, PO                                                             | CUSIP: 3128CVVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     91028 | PA      | $82459.51     | 0.02%             | 2032-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     60109 | PA      | $6482.17      | 0.00%             | 2032-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390HJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       384 | PA      | $397.05       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290SEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       805 | PA      | $815.39       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128ME5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2231179 | PA      | $2177746.73   | 0.43%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210PWH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       718 | PA      | $721.17       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2005-A1, Class 3A1                              | CUSIP: 466247LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178384 | PA      | $171127.05    | 0.03%             | 2035-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2401212 | PA      | $2317694.96   | 0.45%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                           | Banc of America Funding Trust, Series 2006-A, Class 1A1                            | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133271 | PA      | $127049.42    | 0.02%             | 2036-02-20      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136A1DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      9143 | PA      | $9026.76      | 0.00%             | 2026-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1879206 | PA      | $1782373.04   | 0.35%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317156 | PA      | $321168.54    | 0.06%             | 2039-01-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2002-2, IO                                           | CUSIP: 911760RZ1<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3585709 | PA      | $388.69       | 0.00%             | 2032-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138E4MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971385 | PA      | $938224.58    | 0.18%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468709 | PA      | $474129.09    | 0.09%             | 2038-10-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     39305 | PA      | $45928.75     | 0.01%             | 2036-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       412 | PA      | $425.15       | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, Series 2020-137, Class A                 | CUSIP: 38380P4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   7523681 | PA      | $5667023.64   | 1.11%             | 2062-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22128000 | PA      | $18803309.60  | 3.69%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140F5PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534174 | PA      | $506843.58    | 0.10%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140L85E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6459688 | PA      | $5644718.56   | 1.11%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648080 | PA      | $665998.59    | 0.13%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                          | CUSIP: 17307GLB2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     21198 | PA      | $20044.57     | 0.00%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    125952 | PA      | $11372.34     | 0.00%             | 2039-12-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610212 | PA      | $569701.37    | 0.11%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414GS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       892 | PA      | $925.20       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4339112 | PA      | $3611878.15   | 0.71%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A0TY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2717075 | PA      | $2417698.00   | 0.47%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405YVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88973 | PA      | $91219.19     | 0.02%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     55807 | PA      | $56209.54     | 0.01%             | 2032-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209ASX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       901 | PA      | $905.36       | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $295.08       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHDE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1564786 | PA      | $1380281.43   | 0.27%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31381CV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       542 | PA      | $550.80       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26735 | PA      | $27627.93     | 0.01%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                                     | Zaxby's Funding LLC, Series 2021-1A, Class A2                                      | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2791250 | PA      | $2584070.59   | 0.51%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F022675<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6962000 | PA      | $-5773469.15  | -1.13%            | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class 1A                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    203242 | PA      | $176430.63    | 0.03%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416B4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12050 | PA      | $12639.07     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385HQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113352 | PA      | $116348.98    | 0.02%             | 2029-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QLNE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6961449 | PA      | $5811467.48   | 1.14%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136A4HF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     97595 | PA      | $96339.26     | 0.02%             | 2042-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Securities LLC                                | JP Morgan Securities LLC                                                           | CUSIP: 46656HEV0<br>LEI: ZBUT11V806EZRVTWT807 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6003667.20   | 1.18%             | 2025-11-26      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    107238 | PA      | $13180.10     | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                       | CD Mortgage Trust, Series 2017-CD6, Class XA                                       | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5774759 | PA      | $85495.31     | 0.02%             | 2050-11-13      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404EGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7067 | PA      | $7301.02      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     61355 | PA      | $5920.13      | 0.00%             | 2032-09-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KQDB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10680667 | PA      | $10778713.16  | 2.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X55Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3949568 | PA      | $3720619.42   | 0.73%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                            | Chase Mortgage Finance Corp., Series 2016-SH2, Class M4                            | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181181 | PA      | $1087627.88   | 0.21%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38381WQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    310030 | PA      | $321636.50    | 0.06%             | 2033-11-20      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137ARKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    173518 | PA      | $3274.47      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31379PZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2869 | PA      | $2915.58      | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A                    | CUSIP: 59020UL52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118428 | PA      | $110461.91    | 0.02%             | 2035-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 5 Year Notes Future                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -163 | NC      | $-199190.13   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2505 | PA      | $91.76        | 0.00%             | 2038-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8955 | PA      | $9262.85      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386FPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1516 | PA      | $1598.55      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85463 | PA      | $89639.76     | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210SFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1046 | PA      | $1058.17      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138WD4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1523031 | PA      | $1448896.63   | 0.28%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3460 | PA      | $3574.91      | 0.00%             | 2030-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128KL3H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44812 | PA      | $45541.05     | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMLT Trust                                             | CSMLT Trust, Series 2015-1, Class A9                                               | CUSIP: 12592UAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269055 | PA      | $248070.86    | 0.05%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415VNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       679 | PA      | $706.25       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AXQT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    193069 | PA      | $39389.17     | 0.01%             | 2047-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust                          | Shellpoint Asset Funding Trust, Series 2013-1, Class A3                            | CUSIP: 822804AK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290602 | PA      | $279422.33    | 0.05%             | 2043-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392JY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2729 | PA      | $2710.78      | 0.00%             | 2033-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359QJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     38211 | PA      | $1760.15      | 0.00%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405VZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $699.96       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405NDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5655 | PA      | $5822.51      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4148 | PA      | $4285.84      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208WEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       531 | PA      | $537.23       | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GUA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $511.61       | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                  | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                 | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91271 | PA      | $88229.31     | 0.02%             | 2033-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253945 | PA      | $260751.72    | 0.05%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404L5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1035 | PA      | $1054.63      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING US Funding LLC                                      | ING US Funding LLC                                                                 | CUSIP: 44988GFE3<br>LEI: 254900QX5Y2ZDZ6XBT08 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5003085.50   | 0.98%             | 2025-10-24      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371Q2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7707 | PA      | $7961.11      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411YXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6196 | PA      | $6383.12      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1367 | PA      | $1412.27      | 0.00%             | 2027-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405D2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3234 | PA      | $3412.20      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133BWWF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5422718 | PA      | $5472470.03   | 1.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391BB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4292 | PA      | $4433.79      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31185 | PA      | $32738.87     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31397JST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     50927 | PA      | $50478.33     | 0.01%             | 2037-07-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137FGV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      5070 | PA      | $6.64         | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36201U4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       279 | PA      | $281.57       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136APZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    718787 | PA      | $74470.59     | 0.01%             | 2035-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8261062.88   | 1.62%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138XPWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464400 | PA      | $453795.84    | 0.09%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393FGJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     34906 | PA      | $34783.93     | 0.01%             | 2029-06-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65107 | PA      | $68136.13     | 0.01%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31408FQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2007 | PA      | $2117.29      | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                            | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8703439 | PA      | $147616.42    | 0.03%             | 2050-11-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                  | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2007-HY2, Class 2A1                 | CUSIP: 92926UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27697 | PA      | $24366.67     | 0.00%             | 2036-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207KTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2265 | PA      | $2279.92      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    425528 | PA      | $26381.32     | 0.01%             | 2035-01-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                      | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15387731 | PA      | $287962.92    | 0.06%             | 2050-10-12      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77561 | PA      | $81471.46     | 0.02%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290VYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10683 | PA      | $11002.03     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     66951 | PA      | $9753.09      | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust                                | Agate Bay Mortgage Trust, Series 2015-2, Class B1                                  | CUSIP: 00841XBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    905589 | PA      | $842227.69    | 0.17%             | 2045-03-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XFX55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3881095 | PA      | $3399881.41   | 0.67%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series Q004, Class AFL      | CUSIP: 3137FARM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    271476 | PA      | $271502.97    | 0.05%             | 2044-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3205 | PA      | $3379.81      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390VG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6105 | PA      | $6437.96      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392TMM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23342 | PA      | $23281.18     | 0.00%             | 2032-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391BEG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17551 | PA      | $18140.20     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209NAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1992 | PA      | $2014.45      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4140420 | PA      | $4026033.22   | 0.79%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                   | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A2                   | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72879 | PA      | $72733.63     | 0.01%             | 2034-04-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K051, Class X1, IO   | CUSIP: 3137BM7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  40467898 | PA      | $30905.33     | 0.01%             | 2025-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EUBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2074663 | PA      | $2027605.67   | 0.40%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4300000 | PA      | $4116693.06   | 0.81%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2834 | PA      | $2841.25      | 0.00%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187435 | PA      | $198690.17    | 0.04%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133B1ST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2266669 | PA      | $1822174.00   | 0.36%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339LK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     32514 | PA      | $32584.41     | 0.01%             | 2031-12-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17544 | PA      | $18060.31     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO   | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  15050279 | PA      | $87366.87     | 0.02%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617LEZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2301013 | PA      | $2047487.83   | 0.40%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5176905 | PA      | $4368020.75   | 0.86%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    313431 | PA      | $36542.03     | 0.01%             | 2042-12-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382D6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       298 | PA      | $314.75       | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405U3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12824 | PA      | $13194.03     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp., ARM                                              | CUSIP: 31288QQF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3010376 | PA      | $3085840.89   | 0.61%             | 2048-11-01      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                          | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5320869 | PA      | $92521.92     | 0.02%             | 2050-12-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31297BTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7567 | PA      | $7989.06      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415QNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154 | PA      | $157.58       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291FWL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       665 | PA      | $674.74       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22370000 | PA      | $22734163.24  | 4.46%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386TWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1472 | PA      | $1552.59      | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138WEC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1181481 | PA      | $1123727.27   | 0.22%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293TU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3655 | PA      | $3779.12      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137A3JW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     12764 | PA      | $12712.95     | 0.00%             | 2025-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QREJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5981647 | PA      | $5897762.32   | 1.16%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31379JSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2894 | PA      | $2989.12      | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617VBN21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1759716 | PA      | $1465994.30   | 0.29%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371LM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       310 | PA      | $317.51       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       283 | PA      | $290.09       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410LSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1379457 | PA      | $1372822.66   | 0.27%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41067 | PA      | $43331.46     | 0.01%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290WG55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11805 | PA      | $11998.47     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1          | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18157 | PA      | $18032.94     | 0.00%             | 2035-01-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405KRH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24001 | PA      | $24635.89     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209HDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       849 | PA      | $857.67       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2           | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182728 | PA      | $168503.55    | 0.03%             | 2034-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Long Bond Future                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -34 | NC      | $-141106.02   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AB5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    200224 | PA      | $24015.30     | 0.00%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3291 | PA      | $3470.16      | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AGSJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       306 | PA      | $305.35       | 0.00%             | 2026-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359QNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3466 | PA      | $158.24       | 0.00%             | 2027-08-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403BZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15696 | PA      | $15875.87     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DMKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5258700 | PA      | $4670609.22   | 0.92%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411AJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11100 | PA      | $11439.69     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418BQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637162 | PA      | $1555510.45   | 0.31%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     44258 | PA      | $4772.73      | 0.00%             | 2032-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402RDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4950 | PA      | $5223.00      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UP26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     37557 | PA      | $763.53       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132GRHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557347 | PA      | $549607.64    | 0.11%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ARBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   3279678 | PA      | $192969.71    | 0.04%             | 2056-02-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38380HHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    543733 | PA      | $75949.98     | 0.01%             | 2047-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                           | Galton Funding Mortgage Trust, Series 2018-1, Class A33                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199782 | PA      | $182601.10    | 0.04%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HV85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3762 | PA      | $3891.33      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4649796 | PA      | $4101439.12   | 0.80%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     81495 | PA      | $10928.00     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371NMF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11435 | PA      | $11751.81     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M6FN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75069 | PA      | $79290.63     | 0.02%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1004422 | PA      | $935299.44    | 0.18%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     45139 | PA      | $45025.10     | 0.01%             | 2033-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     72382 | PA      | $8580.32      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202DBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16472 | PA      | $16933.32     | 0.00%             | 2029-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293LRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1666 | PA      | $1722.43      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405QPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2354 | PA      | $2423.08      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3107278 | PA      | $2724345.35   | 0.53%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                  | GSAA Home Equity Trust, Series 2007-7, Class A4                                    | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9963 | PA      | $9602.83      | 0.00%             | 2037-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     71428 | PA      | $7081.98      | 0.00%             | 2032-03-18      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     15223 | PA      | $17032.35     | 0.00%             | 2035-08-15      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AUC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    627530 | PA      | $13779.24     | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31398SRE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     22070 | PA      | $21936.95     | 0.00%             | 2025-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AQBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1140503 | PA      | $108159.18    | 0.02%             | 2039-02-15      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359XCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     41705 | PA      | $42370.08     | 0.01%             | 2029-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2639377 | PA      | $2284256.85   | 0.45%             | 2055-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     36591 | PA      | $36523.48     | 0.01%             | 2032-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290RRG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       121 | PA      | $123.42       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust, Series 2005-A, Class A1                    | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173779 | PA      | $166065.38    | 0.03%             | 2030-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AXEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     75566 | PA      | $1551.89      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    201352 | PA      | $23177.62     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36295PTS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199939 | PA      | $199993.84    | 0.04%             | 2037-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, PO                                                             | CUSIP: 3128CVRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     29029 | PA      | $26149.51     | 0.01%             | 2031-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390ABQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6749 | PA      | $6975.64      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133994L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     46503 | PA      | $46952.62     | 0.01%             | 2031-08-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403BHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10533 | PA      | $10667.65     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36205YBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       709 | PA      | $711.63       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     98327 | PA      | $10494.96     | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412LJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5421 | PA      | $5582.57      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8643 | PA      | $486.33       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392UKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     45438 | PA      | $45267.61     | 0.01%             | 2032-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    248537 | PA      | $238048.44    | 0.05%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     76945 | PA      | $4753.87      | 0.00%             | 2035-05-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    147460 | PA      | $20551.70     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133G7K36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1280430 | PA      | $1235920.05   | 0.24%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405WDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13313 | PA      | $13699.28     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406UHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       393 | PA      | $398.90       | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust, Series 2023-INV3, Class A3                             | CUSIP: 92540CAC1<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   5303139 | PA      | $5414000.91   | 1.06%             | 2068-11-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209ER87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18336 | PA      | $18375.83     | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132GTZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1709634 | PA      | $1650822.71   | 0.32%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138YTNJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455421 | PA      | $1349825.00   | 0.26%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394AZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    303201 | PA      | $302039.50    | 0.06%             | 2034-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                 | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11231398 | PA      | $121551.80    | 0.02%             | 2051-01-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223105 | PA      | $210302.35    | 0.04%             | 2040-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810534 | PA      | $828570.48    | 0.16%             | 2038-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2003-1, IO                                           | CUSIP: 911760SZ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   6487475 | PA      | $908.25       | 0.00%             | 2032-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36205XC36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       265 | PA      | $274.26       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31298EX67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30935 | PA      | $31997.64     | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140H0AP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2231367 | PA      | $2057495.17   | 0.40%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386DC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4565 | PA      | $4814.27      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2017-5, Class A1                                | CUSIP: 46590YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90331 | PA      | $91222.77     | 0.02%             | 2048-10-26      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392AT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     61736 | PA      | $62409.68     | 0.01%             | 2031-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A4                            | CUSIP: 16163LBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128507 | PA      | $127565.15    | 0.03%             | 2035-06-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209FBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5376 | PA      | $5466.06      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51012 | PA      | $53807.22     | 0.01%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296LPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26266 | PA      | $27159.25     | 0.01%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128LXNJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287452 | PA      | $298091.01    | 0.06%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS                                                                 | CUSIP: 3128HVJ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    398626 | PA      | $396322.14    | 0.08%             | 2036-05-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412TVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16296 | PA      | $17032.90     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31417DVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506566 | PA      | $475325.11    | 0.09%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ASXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    204710 | PA      | $27185.98     | 0.01%             | 2046-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382NLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44083 | PA      | $45598.42     | 0.01%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     41676 | PA      | $4048.48      | 0.00%             | 2032-04-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7DF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159367 | PA      | $158992.91    | 0.03%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                  | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22555 | PA      | $17852.29     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Loans Structured Transaction       | Freddie Mac Seasoned Loans Structured Transaction, Series 2019-1, Class A2         | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $1934054.20   | 0.38%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339MRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     10954 | PA      | $10955.48     | 0.00%             | 2029-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31413YRR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        88 | PA      | $92.70        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     54709 | PA      | $1343.39      | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     29821 | PA      | $30109.35     | 0.01%             | 2032-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38379GZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    317257 | PA      | $319446.78    | 0.06%             | 2044-07-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415TSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       459 | PA      | $488.05       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DNJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5528262 | PA      | $5320177.11   | 1.04%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac, Series 2022-DNA4, Class M1                                            | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |   4615000 | PA      | $4799230.80   | 0.94%             | 2042-05-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40213 | PA      | $41449.90     | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Grantor Trust                                | Fannie Mae Grantor Trust, Series 1999-T2, Class A1                                 | CUSIP: 31359VYH0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |     75925 | PA      | $75763.96     | 0.01%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6941135 | PA      | $5530222.28   | 1.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72179 | PA      | $74991.65     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | Bank, Series 2017-BNK5, Class AS                                                   | CUSIP: 06541WBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3115682.24   | 0.61%             | 2060-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416KAX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       645 | PA      | $672.31       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36201DUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1057 | PA      | $1069.25      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402DPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318214 | PA      | $328823.56    | 0.06%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     66566 | PA      | $5131.44      | 0.00%             | 2032-04-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136AR6E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    231553 | PA      | $228471.81    | 0.04%             | 2046-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293MJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17015 | PA      | $17593.89     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40428 | PA      | $38105.25     | 0.01%             | 2035-07-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Notes Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        50 | NC      | $92062.37     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31286PAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319434 | PA      | $327617.96    | 0.06%             | 2038-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380D3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1719 | PA      | $1775.50      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209MGF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7260 | PA      | $7364.88      | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411APZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4317 | PA      | $4453.46      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TJUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     46470 | PA      | $46623.12     | 0.01%             | 2029-03-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38377RQ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      8147 | PA      | $8101.04      | 0.00%             | 2025-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209BA24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       195 | PA      | $195.05       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209AE89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1170 | PA      | $1182.40      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31396XCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    312762 | PA      | $308981.13    | 0.06%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394DR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    486175 | PA      | $482156.54    | 0.09%             | 2035-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association, ARM                                         | CUSIP: 3140JBWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2232688 | PA      | $2308935.54   | 0.45%             | 2045-04-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     44140 | PA      | $4933.33      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac, Series 2022-HQA3, Class M1                                            | CUSIP: 35564KE39<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |   3267550 | PA      | $3328895.21   | 0.65%             | 2042-08-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410KQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140461 | PA      | $145153.35    | 0.03%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F050478<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $701710.37    | 0.14%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                 | Luminent Mortgage Trust, Series 2006-1, Class A1                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23870 | PA      | $20735.96     | 0.00%             | 2036-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374TWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2614 | PA      | $2701.02      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290SU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8354 | PA      | $8438.90      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     10531 | PA      | $1455.80      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383HYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10029 | PA      | $10575.18     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     61355 | PA      | $61347.53     | 0.01%             | 2032-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     64429 | PA      | $3876.49      | 0.00%             | 2035-02-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411EFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6402 | PA      | $6611.24      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359NUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     12076 | PA      | $12063.45     | 0.00%             | 2027-03-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -45 | NC      | $-111245.95   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5632454 | PA      | $5482392.04   | 1.08%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31393EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     56096 | PA      | $59597.74     | 0.01%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617MKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2233200 | PA      | $2032581.46   | 0.40%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     19875 | PA      | $19811.32     | 0.00%             | 2032-10-18      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7175 | PA      | $7416.26      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     48228 | PA      | $2821.15      | 0.00%             | 2029-06-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    158855 | PA      | $12617.69     | 0.00%             | 2031-10-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9761 | PA      | $10046.97     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2019-INV2, Class A1                             | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109892 | PA      | $100569.27    | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392GDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     19029 | PA      | $18954.23     | 0.00%             | 2032-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140KDA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4739380 | PA      | $4114550.82   | 0.81%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     45934 | PA      | $4604.52      | 0.00%             | 2031-11-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EX5Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927510 | PA      | $862334.75    | 0.17%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8228 | PA      | $8266.56      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359UB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      4473 | PA      | $4545.34      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133G8DC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1998799 | PA      | $1918496.22   | 0.38%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208DUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       226 | PA      | $228.02       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418XE53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30621 | PA      | $31018.76     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418TZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40015 | PA      | $41108.41     | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403JPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10872 | PA      | $11235.74     | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296LLP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16714 | PA      | $17283.25     | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209XTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1649 | PA      | $1668.70      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12184132 | PA      | $10269263.78  | 2.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135348 | PA      | $140831.74    | 0.03%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     36093 | PA      | $36417.94     | 0.01%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291CL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       436 | PA      | $440.86       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs. | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs., Series 2007-WM1, Class A1 | CUSIP: 25157TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155059 | PA      | $1026894.16   | 0.20%             | 2037-06-27      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395DUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     15776 | PA      | $18500.84     | 0.00%             | 2036-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QGHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1589074 | PA      | $1379666.22   | 0.27%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335BUD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2038613 | PA      | $2127554.84   | 0.42%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    172409 | PA      | $19571.41     | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     28881 | PA      | $29084.13     | 0.01%             | 2032-02-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208FZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1612 | PA      | $1621.30      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4098905 | PA      | $4209188.51   | 0.83%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411J3H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5115 | PA      | $5272.69      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405VC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968 | PA      | $996.36       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339W2H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     14563 | PA      | $15219.75     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KGGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558431 | PA      | $527677.36    | 0.10%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138A5BX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993502 | PA      | $1006407.27   | 0.20%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140KEMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4824323 | PA      | $4472520.34   | 0.88%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      9190 | PA      | $9255.39      | 0.00%             | 2032-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81995 | PA      | $83328.99     | 0.02%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293R2U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1134 | PA      | $1174.42      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KKAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5473762 | PA      | $4548931.67   | 0.89%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412FK51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8882 | PA      | $9124.29      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140JWPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140598 | PA      | $1106148.51   | 0.22%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2014-1, Class 1A17                              | CUSIP: 46641CAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504914 | PA      | $481521.38    | 0.09%             | 2044-01-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KQBC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7566910 | PA      | $7611653.01   | 1.49%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1475 | PA      | $1521.02      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14831 | PA      | $15121.79     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust      | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2004-29, Class 1A1      | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69132 | PA      | $66607.15     | 0.01%             | 2035-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5054899 | PA      | $4801340.27   | 0.94%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8346 | PA      | $870.53       | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405SXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21361 | PA      | $21810.91     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KH5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5186122 | PA      | $4724241.85   | 0.93%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404JWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7628 | PA      | $7726.90      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10749968 | PA      | $8561667.80   | 1.68%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89944 | PA      | $94336.08     | 0.02%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138AWEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110407 | PA      | $1102210.49   | 0.22%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415V3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325 | PA      | $333.85       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     40734 | PA      | $40673.40     | 0.01%             | 2032-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     52547 | PA      | $54679.37     | 0.01%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TJC43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     42572 | PA      | $42496.48     | 0.01%             | 2029-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XC6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9740660 | PA      | $8173653.87   | 1.60%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XDTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3953200 | PA      | $3322246.18   | 0.65%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617BTGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468195 | PA      | $1371147.20   | 0.27%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138YEQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3636749 | PA      | $3363163.17   | 0.66%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206487 | PA      | $215244.88    | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       930 | PA      | $960.58       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31389VQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4777 | PA      | $4970.49      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208VSX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3776 | PA      | $3800.90      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M9H70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2278291 | PA      | $2270827.49   | 0.45%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140A4VU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350484 | PA      | $1257463.36   | 0.25%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TG5U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     20141 | PA      | $20499.35     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                     | Bank of Nova Scotia                                                                | CUSIP: 06418NDN9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   7000000 | PA      | $7003812.90   | 1.37%             | 2025-10-17      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     34121 | PA      | $2632.65      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364HS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     71393 | PA      | $3701.80      | 0.00%             | 2028-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     83731 | PA      | $80340.25     | 0.02%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402RHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118893 | PA      | $122848.89    | 0.02%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8503045 | PA      | $6822481.55   | 1.34%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    563102 | PA      | $47758.82     | 0.01%             | 2038-05-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4580934 | PA      | $4705314.28   | 0.92%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406CGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11071 | PA      | $11444.01     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283H3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88051 | PA      | $90230.86     | 0.02%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     29548 | PA      | $29832.52     | 0.01%             | 2032-02-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383EAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $170.63       | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AWK87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    318355 | PA      | $7109.28      | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186668 | PA      | $191137.73    | 0.04%             | 2033-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392R6E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     39964 | PA      | $40350.57     | 0.01%             | 2032-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4107368.40   | 0.81%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO   | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  13798877 | PA      | $27229.32     | 0.01%             | 2026-02-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382NP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17054 | PA      | $17616.74     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6236397 | PA      | $6144838.28   | 1.21%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     73597 | PA      | $74414.47     | 0.01%             | 2032-03-18      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     45900 | PA      | $46547.93     | 0.01%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K7HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2986511 | PA      | $2719898.22   | 0.53%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2002-3, IO                                           | CUSIP: 911760SQ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3741313 | PA      | $8123.51      | 0.00%             | 2032-08-15      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     88000 | PA      | $7681.25      | 0.00%             | 2032-08-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                            | Chase Mortgage Finance Corp., Series 2016-SH1, Class M3                            | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    857383 | PA      | $780933.63    | 0.15%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31392RT84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     25145 | PA      | $1507.21      | 0.00%             | 2029-09-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402QSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23972 | PA      | $24526.21     | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210BBL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1359 | PA      | $1372.94      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133THTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     27140 | PA      | $27590.32     | 0.01%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397NL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    211503 | PA      | $220799.74    | 0.04%             | 2039-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1639 | PA      | $1694.01      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5781418 | PA      | $5477840.45   | 1.07%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386NCA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       696 | PA      | $721.20       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       570 | PA      | $588.66       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200KA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1452 | PA      | $1471.88      | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM Mortgage Trust, Series 2015-CR24, Class XA                                    | CUSIP: 12593JBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14918039 | PA      | $214.82       | 0.00%             | 2048-08-10      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384VTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $41.02        | 0.00%             | 2030-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                   | Invesco Government & Agency Portfolio, Institutional Class                         | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |   4055371 | NS      | $4055371.12   | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694547 | PA      | $657660.35    | 0.13%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M1AL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2359185 | PA      | $1898207.61   | 0.37%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2721530 | PA      | $2597057.17   | 0.51%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      9066 | PA      | $1351.48      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290REU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       316 | PA      | $318.92       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209WQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       171 | PA      | $172.23       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209LD37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3904 | PA      | $3919.44      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54450 | PA      | $56499.63     | 0.01%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    105956 | PA      | $6530.22      | 0.00%             | 2035-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412Q2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375646 | PA      | $374997.43    | 0.07%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     88678 | PA      | $7281.86      | 0.00%             | 2041-10-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      9690 | PA      | $1026.64      | 0.00%             | 2037-12-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9572 | PA      | $10108.72     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Pass-Through Ctfs.               | Freddie Mac Structured Pass-Through Ctfs., Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1071462 | PA      | $1076070.39   | 0.21%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23974 | PA      | $2115.06      | 0.00%             | 2038-04-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $537.18       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     51264 | PA      | $7459.41      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AUGD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   5030975 | PA      | $4902444.37   | 0.96%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390MJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4356 | PA      | $4500.33      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209CVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3549 | PA      | $3565.23      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DMYY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16825999 | PA      | $14140479.16  | 2.77%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    133671 | PA      | $14016.53     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25577 | PA      | $26981.05     | 0.01%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Bank Ltd.                                        | Mizuho Bank Ltd.                                                                   | CUSIP: 60710TE64<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | DBT              | CORP              | JP        |   3000000 | PA      | $3001055.10   | 0.59%             | 2026-02-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200WP21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       229 | PA      | $235.92       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207MK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3202 | PA      | $3224.50      | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391RHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1325 | PA      | $1354.66      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    107677 | PA      | $108704.50    | 0.02%             | 2032-12-18      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291N4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9638 | PA      | $9925.80      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384WJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       628 | PA      | $648.93       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       212 | PA      | $213.11       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A9XT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     73510 | PA      | $1358.43      | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | Standard Chartered Bank                                                            | CUSIP: 85325VNE6<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $7001750.00   | 1.37%             | 2025-07-24      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405X2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2744 | PA      | $2745.54      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404XRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25519 | PA      | $26354.03     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     23103 | PA      | $23940.91     | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2658 | PA      | $2747.20      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     31590 | PA      | $2596.95      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4402 | PA      | $4485.23      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A8QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     79726 | PA      | $216.89       | 0.00%             | 2027-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405RAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123986 | PA      | $127771.33    | 0.03%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31396J4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    809516 | PA      | $799902.11    | 0.16%             | 2036-03-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402U5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5037 | PA      | $5313.86      | 0.00%             | 2033-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $523.72       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202X4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54384 | PA      | $55192.05     | 0.01%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140H9EU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327250 | PA      | $1256312.41   | 0.25%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ABFE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    317773 | PA      | $38310.54     | 0.01%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        19 | PA      | $0.23         | 0.00%             | 2028-07-17      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10100000 | PA      | $10250689.68  | 2.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     94764 | PA      | $8964.01      | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19860000 | PA      | $19892268.33  | 3.90%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19198 | PA      | $19624.77     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284909 | PA      | $283623.93    | 0.06%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Ultra Bonds Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -23 | NC      | $-76479.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415SNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $67.99        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     64961 | PA      | $65574.62     | 0.01%             | 2042-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2837471 | PA      | $2463350.13   | 0.48%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A47H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2315389 | PA      | $2010247.39   | 0.39%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                   | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8189966 | PA      | $138873.98    | 0.03%             | 2050-12-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27617 | PA      | $1647.39      | 0.00%             | 2032-12-18      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $227.08       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209DE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       488 | PA      | $493.64       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    206872 | PA      | $17401.68     | 0.00%             | 2035-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411UGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6854 | PA      | $7067.52      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617MKLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4772676 | PA      | $4394143.65   | 0.86%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93393 | PA      | $97750.78     | 0.02%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13280617 | PA      | $10574862.96  | 2.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200NAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $123.51       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410VD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1434 | PA      | $1454.97      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21                          | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127067 | PA      | $112517.78    | 0.02%             | 2035-10-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412SB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8348 | PA      | $8593.01      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AYAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1372181 | PA      | $139205.97    | 0.03%             | 2047-09-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     89199 | PA      | $105651.04    | 0.02%             | 2036-03-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, PO                                                     | CUSIP: 3136FART9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     23919 | PA      | $21777.48     | 0.00%             | 2032-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384VPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $69.83        | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78913 | PA      | $82409.29     | 0.02%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     47431 | PA      | $47776.34     | 0.01%             | 2032-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DQMQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2292782 | PA      | $2313107.21   | 0.45%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617LKPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1554090 | PA      | $1446623.71   | 0.28%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36194M3Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1138896 | PA      | $1036597.47   | 0.20%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31334XD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282555 | PA      | $1209962.63   | 0.24%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                              | CSMC Trust, Series 2013-7, Class B1                                                | CUSIP: 12647PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    811847 | PA      | $789714.02    | 0.15%             | 2043-08-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     26041 | PA      | $1358.91      | 0.00%             | 2035-03-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     83120 | PA      | $84472.97     | 0.02%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EU6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8682661 | PA      | $8031295.61   | 1.58%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X5U76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4268363 | PA      | $4147444.30   | 0.81%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208YJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       988 | PA      | $993.40       | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128LXJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69867 | PA      | $72030.11     | 0.01%             | 2033-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137BHBM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    638733 | PA      | $605147.69    | 0.12%             | 2038-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34464 | PA      | $34575.87     | 0.01%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371G7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13018 | PA      | $13450.58     | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283854 | PA      | $1132474.24   | 0.22%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200MPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18354 | PA      | $18914.51     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust             | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1              | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509091 | PA      | $469133.99    | 0.09%             | 2035-03-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XAJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7939108 | PA      | $6699773.04   | 1.31%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    473449 | PA      | $477412.95    | 0.09%             | 2037-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418M2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14550 | PA      | $14525.37     | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2005-A1, Class 3A1                            | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10606 | PA      | $9392.89      | 0.00%             | 2035-12-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405X3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5006 | PA      | $5117.38      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202SUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       147 | PA      | $150.84       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44398 | PA      | $46989.14     | 0.01%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38379GM79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    398613 | PA      | $403438.29    | 0.08%             | 2041-09-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Structured Asset Sec Mortgage Pass-Through Ctfs.        | Structured Asset Sec Mortgage Pass-Through Ctfs., Series 2002-21A, Class B1II      | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4 | PA      | $3.58         | 0.00%             | 2032-11-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405ND51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9946 | PA      | $10230.88     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Ctfs.                 | CSFB Mortgage-Backed Pass-Through Ctfs., Series 2004-AR5, Class 5A1                | CUSIP: 22541SJD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140266 | PA      | $138255.88    | 0.03%             | 2034-06-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202SWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46152 | PA      | $46889.87     | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30511 | PA      | $31573.92     | 0.01%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128MMUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638078 | PA      | $616080.15    | 0.12%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     31905 | PA      | $3444.07      | 0.00%             | 2032-04-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371MLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53942 | PA      | $56575.85     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     43886 | PA      | $3434.48      | 0.00%             | 2032-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M9XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4760398 | PA      | $3827167.49   | 0.75%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412MXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       439 | PA      | $451.05       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385WX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3440 | PA      | $3555.51      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202V7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2949 | PA      | $2963.80      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210A5W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79 | PA      | $80.24        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412XLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17659 | PA      | $17917.23     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16451813 | PA      | $14554454.86  | 2.85%             | 2055-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137B93W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    206336 | PA      | $20584.87     | 0.00%             | 2044-01-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XLND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5509604 | PA      | $4437090.62   | 0.87%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392GDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     19790 | PA      | $19387.54     | 0.00%             | 2032-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X5FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6041501 | PA      | $5310457.72   | 1.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31387V3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29 | PA      | $30.40        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14440000 | PA      | $14186718.36  | 2.78%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XLKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6949930 | PA      | $6426192.24   | 1.26%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209TLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5940 | PA      | $5969.66      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    148847 | PA      | $18052.10     | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30488 | PA      | $30420.24     | 0.01%             | 2033-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140L3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8253343 | PA      | $6542382.83   | 1.28%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405WVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3844 | PA      | $3961.28      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405YDX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13900 | PA      | $14318.19     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207V3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       123 | PA      | $125.11       | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13162 | PA      | $13597.48     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137H1KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   7628662 | PA      | $1001843.94   | 0.20%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27240 | PA      | $1507.39      | 0.00%             | 2031-12-18      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208860 | PA      | $220340.71    | 0.04%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TRLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    148402 | PA      | $149653.63    | 0.03%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K2VW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758768 | PA      | $699675.83    | 0.14%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QKQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6822643 | PA      | $5890760.30   | 1.16%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31376J5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3561 | PA      | $3678.42      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       484 | PA      | $507.10       | 0.00%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    113666 | PA      | $17690.14     | 0.00%             | 2033-05-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     55611 | PA      | $62210.87     | 0.01%             | 2036-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30501 | PA      | $2721.53      | 0.00%             | 2032-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23444000 | PA      | $19099096.52  | 3.75%             | 2055-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                           | Commonbond Student Loan Trust, Series 2018-CGS, Class A1                           | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |    496463 | PA      | $481473.28    | 0.09%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393G5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      5679 | PA      | $5690.07      | 0.00%             | 2032-12-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

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

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer