# EDGAR Filing Document

**Accession Number:** 0000837274
**File Stem:** 0002071691-25-006498
**Filing Date:** 2025-11
**Character Count:** 272717
**Document Hash:** 8b836c1dfdc63da89aa4d78887cd24c8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-006498.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0002071691-25-006498

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FRANKLIN TEMPLETON VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000837274

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05583
- **FILM NUMBER:** 251511883

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN VALUEMARK FUNDS
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN VALUEMARK ANNUITY FUNDS
- **DATE OF NAME CHANGE:** 19881129

## Series and Classes Contracts Data

### FRANKLIN U.S. GOVERNMENT SECURITIES VIP FUND (Series ID: S000007317)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020102 | Class 1      |  |
| C000020103 | Class 2      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Templeton Variable Insurance Products Trust

- **b. Investment Company Act file number:** 811-05583

- **c. CIK number of Registrant:** 0000837274

- **d. LEI of Registrant:** 549300PIBKZH7YTTWU55

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

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

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

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

- **b. EDGAR series identifier (if any):** S000007317

- **c. LEI of Series:** 549300L2E6KSPGTN7F91

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $503694214.75

**Total Liabilities:** $377406.46

**Net Assets:** $503316808.29

**Cash Not Reported:** $15508.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -0.01000000 | **1-Year:** -8389.78000000 | **5-Year:** -14569.98000000 | **10-Year:** -61943.51000000 | **30-Year:** -136158.04000000

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

- **3-Month:** -35.79000000 | **1-Year:** -22.78000000 | **5-Year:** -196.99000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020103 | -0.39%               | 1.38%                | 0.78%                |
| Class ID C000020102 | -0.29%               | 1.34%                | 0.85%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-2950276.78                               |
| Month 2  | $0.00                    | $5560035.03                                |
| Month 3  | $242539.31               | $2589115.30                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7132 | PA      | $7429.57      | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31384WM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1388 | PA      | $1442.09      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296QDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56881 | PA      | $59612.69     | 0.01%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297DT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67082 | PA      | $69947.80     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213HL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1999 | PA      | $2037.75      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198QTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36189 | PA      | $34734.45     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404RUK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10333 | PA      | $10609.94     | 0.00%             | 2034-03-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234759 | PA      | $240006.28    | 0.05%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31378QHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1483 | PA      | $1488.88      | 0.00%             | 2037-12-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2131 | PA      | $2165.86      | 0.00%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293TF77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       395 | PA      | $407.92       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175765 | PA      | $184251.31    | 0.04%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402Q5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1015 | PA      | $1053.07      | 0.00%             | 2035-02-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17233869 | PA      | $14637352.15  | 2.91%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4922004 | PA      | $4401212.24   | 0.87%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312933T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120475 | PA      | $123700.74    | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1330 | PA      | $1371.55      | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $658.53       | 0.00%             | 2040-06-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406TTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27346 | PA      | $27592.72     | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       966 | PA      | $992.14       | 0.00%             | 2027-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12641 | PA      | $12185.72     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31415QMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117990 | PA      | $122667.81    | 0.02%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10884 | PA      | $11083.80     | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406P3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392273 | PA      | $407058.55    | 0.08%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KNB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4223 | PA      | $4368.03      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210VUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3083 | PA      | $3130.71      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407JDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29155 | PA      | $30892.42     | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4590653 | PA      | $4641493.42   | 0.92%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403NKS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5331 | PA      | $5405.11      | 0.00%             | 2033-09-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406NYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22442 | PA      | $23081.39     | 0.00%             | 2035-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $163.43       | 0.00%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       464 | PA      | $471.83       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256393 | PA      | $247567.74    | 0.05%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4669 | PA      | $4806.16      | 0.00%             | 2028-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3330956 | PA      | $2948868.81   | 0.59%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212J3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16752 | PA      | $17201.93     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36292LGX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7008 | PA      | $7238.40      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202E7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30970 | PA      | $32464.42     | 0.01%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1024 | PA      | $1020.52      | 0.00%             | 2041-02-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280877 | PA      | $272014.42    | 0.05%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2825 | PA      | $2887.08      | 0.00%             | 2035-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3140QEBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1416333 | PA      | $1425496.89   | 0.28%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AM2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192717 | PA      | $190930.67    | 0.04%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200DHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8709 | PA      | $8911.60      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31376J4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18501 | PA      | $19151.44     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40684 | PA      | $42081.53     | 0.01%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31405SDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27401 | PA      | $28040.45     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       908 | PA      | $912.24       | 0.00%             | 2027-09-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208WGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       956 | PA      | $964.83       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210GEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27036 | PA      | $27917.77     | 0.01%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11889 | PA      | $12297.07     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36189EKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29383 | PA      | $28323.49     | 0.01%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       619 | PA      | $632.88       | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165597 | PA      | $172245.06    | 0.03%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11626 | PA      | $11954.49     | 0.00%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182WCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395943 | PA      | $381662.09    | 0.08%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201FX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7741 | PA      | $7946.90      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172970 | PA      | $176678.80    | 0.04%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322079 | PA      | $311913.42    | 0.06%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CSK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       425 | PA      | $427.54       | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290RQP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3343 | PA      | $3415.08      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1688372 | PA      | $1603071.26   | 0.32%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7795093 | PA      | $6616863.88   | 1.31%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $207.40       | 0.00%             | 2033-09-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698667 | PA      | $693128.17    | 0.14%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537342 | PA      | $540818.28    | 0.11%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184QAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29894 | PA      | $28606.45     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128K7ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39840 | PA      | $41058.82     | 0.01%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4659781 | PA      | $4231419.36   | 0.84%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       235 | PA      | $237.26       | 0.00%             | 2036-04-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 3622AATC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5531941 | PA      | $5620980.85   | 1.12%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22338 | PA      | $23490.53     | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9260305 | PA      | $7662139.17   | 1.52%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212KXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81578 | PA      | $84575.18     | 0.02%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1228 | PA      | $1235.96      | 0.00%             | 2040-12-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4123125 | PA      | $3913980.65   | 0.78%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296YDR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60678 | PA      | $58429.97     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1774458 | PA      | $1680058.67   | 0.33%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31400TX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22228 | PA      | $22465.25     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20576 | PA      | $21451.46     | 0.00%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31400RVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6987 | PA      | $7014.40      | 0.00%             | 2026-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 15 Year                                      | CUSIP: 3140QE5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1533101 | PA      | $1423371.01   | 0.28%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1925 | PA      | $1942.14      | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3133KKY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3896717 | PA      | $3190454.48   | 0.63%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       461 | PA      | $457.48       | 0.00%             | 2034-09-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13893 | PA      | $14210.45     | 0.00%             | 2038-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12522077 | PA      | $11589542.41  | 2.30%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27553 | PA      | $26287.25     | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16033 | PA      | $16128.97     | 0.00%             | 2042-08-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1442770 | PA      | $1364913.38   | 0.27%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36297FTW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150621 | PA      | $150574.50    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1520 | PA      | $1555.55      | 0.00%             | 2036-12-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.97        | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296WUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2108 | PA      | $2159.82      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200ME74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12960 | PA      | $13109.59     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QFD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15641 | PA      | $15077.24     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31373TVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $775.47       | 0.00%             | 2028-10-01      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6019 | PA      | $5741.43      | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31361ELT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       235 | PA      | $233.20       | 0.00%             | 2026-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299714 | PA      | $306900.56    | 0.06%             | 2034-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385H5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4759 | PA      | $4784.25      | 0.00%             | 2030-12-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112473 | PA      | $116123.95    | 0.02%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57546 | PA      | $59519.75     | 0.01%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6405 | PA      | $6714.78      | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713713 | PA      | $731484.94    | 0.15%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184FN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4875 | PA      | $4615.85      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184YG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62381 | PA      | $59762.77     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312945RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726934 | PA      | $712752.50    | 0.14%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36177PER2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153819 | PA      | $141388.75    | 0.03%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1821 | PA      | $1861.62      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294WXU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98907 | PA      | $98846.17     | 0.02%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3950 | PA      | $3992.62      | 0.00%             | 2031-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       115 | PA      | $115.34       | 0.00%             | 2040-04-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297ATW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6872 | PA      | $7101.11      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296RZY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6993 | PA      | $7035.56      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6291 | PA      | $6490.79      | 0.00%             | 2033-10-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       715 | PA      | $711.81       | 0.00%             | 2033-11-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138ELZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410797 | PA      | $423450.39    | 0.08%             | 2038-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61218 | PA      | $58405.17     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183JZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16976 | PA      | $16314.51     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201TJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109597 | PA      | $112290.45    | 0.02%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312942FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134935 | PA      | $132052.41    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138AJKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714679 | PA      | $696069.22    | 0.14%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A9PN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23533 | PA      | $24375.03     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138A3S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49120 | PA      | $47922.34     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414CNT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558980 | PA      | $573381.37    | 0.11%             | 2035-09-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402QUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2007 | PA      | $2059.46      | 0.00%             | 2034-06-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620APKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98023 | PA      | $97267.66     | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132J9GM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115653 | PA      | $106584.82    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294VHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97154 | PA      | $100829.63    | 0.02%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13198427 | PA      | $11801915.08  | 2.34%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAJ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10292 | PA      | $10641.25     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212NA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       953 | PA      | $986.09       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21148 | PA      | $21708.00     | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403DRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       321 | PA      | $329.17       | 0.00%             | 2036-08-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227063 | PA      | $228531.01    | 0.05%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                           | Reliance Industries Ltd.                           | CUSIP: 759470AT4<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    656250 | PA      | $652118.86    | 0.13%             | 2026-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191989 | PA      | $190509.05    | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36291AVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14902 | PA      | $15041.62     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414FXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334 | PA      | $337.87       | 0.00%             | 2038-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413RZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2364 | PA      | $2433.38      | 0.00%             | 2037-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401DVU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3300 | PA      | $3389.68      | 0.00%             | 2033-04-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384WMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       249 | PA      | $250.35       | 0.00%             | 2031-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295FGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17437 | PA      | $17940.65     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406BJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2286 | PA      | $2326.38      | 0.00%             | 2034-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10178186 | PA      | $10278839.29  | 2.04%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31371KEW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $35.95        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9212 | PA      | $9480.04      | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5456328 | PA      | $4629729.36   | 0.92%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6546 | PA      | $6655.48      | 0.00%             | 2035-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3617AACV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33666 | PA      | $32326.75     | 0.01%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAMB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31393 | PA      | $31113.48     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201FTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1467 | PA      | $1482.13      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138LADF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3953430.00   | 0.79%             | 2027-07-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296KQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4457 | PA      | $4518.01      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9199 | PA      | $9379.03      | 0.00%             | 2037-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $630.79       | 0.00%             | 2033-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201J7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4949 | PA      | $5039.40      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418BSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7426034 | PA      | $7009839.77   | 1.39%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402YJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5146 | PA      | $5297.68      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201P3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10500 | PA      | $10744.48     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201DRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7593 | PA      | $7611.34      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51190 | PA      | $53939.04     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6325371 | PA      | $6089444.92   | 1.21%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6375 | PA      | $6490.33      | 0.00%             | 2037-02-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22771 | PA      | $21949.89     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KMZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4019 | PA      | $4154.33      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                           | Reliance Industries Ltd.                           | CUSIP: 759470AV9<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    368421 | PA      | $365225.05    | 0.07%             | 2026-01-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292GV45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2612 | PA      | $2675.23      | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64291 | PA      | $65990.17     | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946344 | PA      | $947977.09    | 0.19%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201QRF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10711 | PA      | $10861.31     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391UVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15825 | PA      | $16083.94     | 0.00%             | 2033-01-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ED55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29343 | PA      | $30348.10     | 0.01%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3291554 | PA      | $3325779.87   | 0.66%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KKY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9432 | PA      | $9940.79      | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36204L2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       175 | PA      | $174.84       | 0.00%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31388KXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4015 | PA      | $4059.08      | 0.00%             | 2031-11-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65895 | PA      | $63518.39     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A9TV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23703 | PA      | $24558.41     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31371LLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1333 | PA      | $1352.86      | 0.00%             | 2033-12-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403GMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $594.44       | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15115 | PA      | $15659.22     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31390UER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15956 | PA      | $16205.15     | 0.00%             | 2032-07-01      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36181CBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311757 | PA      | $295555.75    | 0.06%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25769786 | PA      | $22220196.49  | 4.41%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $1.67         | 0.00%             | 2027-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83125 | PA      | $82817.49     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184CSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139686 | PA      | $134534.21    | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183X2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10223 | PA      | $9943.69      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411EP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1363 | PA      | $1394.07      | 0.00%             | 2037-01-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NT72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25734 | PA      | $26446.06     | 0.01%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39297 | PA      | $37668.52     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404MN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7497 | PA      | $7676.18      | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138ELMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2621156 | PA      | $2695403.57   | 0.54%             | 2037-09-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3374448 | PA      | $3134265.09   | 0.62%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32594 | PA      | $33688.21     | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3685 | PA      | $3747.31      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403LQJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2762 | PA      | $2831.62      | 0.00%             | 2033-10-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9031130 | PA      | $9255067.37   | 1.84%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       291 | PA      | $293.71       | 0.00%             | 2032-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2743 | PA      | $2806.56      | 0.00%             | 2033-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9951 | PA      | $10189.36     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QPK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12612 | PA      | $12157.28     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14634 | PA      | $15477.98     | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31374TZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       192 | PA      | $192.53       | 0.00%             | 2029-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       781 | PA      | $800.88       | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3781 | PA      | $3954.36      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31451 | PA      | $32529.55     | 0.01%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213EMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       857 | PA      | $887.88       | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARE56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82689 | PA      | $81919.42     | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200NZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2242 | PA      | $2339.45      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       722 | PA      | $743.60       | 0.00%             | 2036-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138MRDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41404 | PA      | $38433.53     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404GHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4209 | PA      | $4248.62      | 0.00%             | 2034-02-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200HF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20449 | PA      | $20443.20     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414BEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25762 | PA      | $26717.94     | 0.01%             | 2038-03-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295R4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    842727 | PA      | $852854.62    | 0.17%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400QSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6533 | PA      | $6648.08      | 0.00%             | 2033-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                       | BNP Paribas Securities Corp.                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | RA               | CORP              | US        |  13611176 | PA      | $13611175.54  | 2.70%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570085 | PA      | $560535.17    | 0.11%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402VRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9800 | PA      | $10022.72     | 0.00%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295GVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176514 | PA      | $185612.86    | 0.04%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       718 | PA      | $724.39       | 0.00%             | 2028-06-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121681 | PA      | $125197.10    | 0.02%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200CSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14274 | PA      | $14362.12     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6369 | PA      | $6079.59      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31386GGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15609 | PA      | $15776.51     | 0.00%             | 2030-11-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290URF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14104 | PA      | $14012.34     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1852 | PA      | $1900.46      | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2403379 | PA      | $2281449.69   | 0.45%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36176AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4110 | PA      | $4029.92      | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66482 | PA      | $71120.99     | 0.01%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20584 | PA      | $21244.20     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208RDZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       274 | PA      | $277.36       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.19        | 0.00%             | 2032-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31386XY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2558 | PA      | $2560.23      | 0.00%             | 2041-02-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9096710 | PA      | $7840967.68   | 1.56%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213D3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       243 | PA      | $245.74       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201SU49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14005 | PA      | $14243.88     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402GR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5344 | PA      | $5400.71      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3129397F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1247673 | PA      | $1279953.15   | 0.25%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406023 | PA      | $368183.14    | 0.07%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2134 | PA      | $2171.62      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6000 | PA      | $6258.22      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201BL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17586 | PA      | $18314.60     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298930 | PA      | $306301.05    | 0.06%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4186 | PA      | $4239.31      | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667803 | PA      | $1615159.47   | 0.32%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CLU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48 | PA      | $48.30        | 0.00%             | 2025-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3311 | PA      | $3397.87      | 0.00%             | 2033-11-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182WC35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62019 | PA      | $59015.11     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385SBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9264 | PA      | $9438.14      | 0.00%             | 2030-05-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409XZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6415 | PA      | $6599.13      | 0.00%             | 2036-02-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36177LW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6908 | PA      | $6719.14      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143812 | PA      | $147565.00    | 0.03%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184YG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71259 | PA      | $67979.39     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384VWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       311 | PA      | $314.76       | 0.00%             | 2039-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010297 | PA      | $1016833.55   | 0.20%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3237 | PA      | $3343.88      | 0.00%             | 2036-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183MUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12103 | PA      | $11581.98     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $275.38       | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15787 | PA      | $16456.32     | 0.00%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296WCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68577 | PA      | $69620.63     | 0.01%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1331 | PA      | $1330.29      | 0.00%             | 2040-10-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400DAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15516 | PA      | $16043.40     | 0.00%             | 2033-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296Q3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102322 | PA      | $102290.42    | 0.02%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31405UW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55251 | PA      | $56436.73     | 0.01%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3991878 | PA      | $3381672.71   | 0.67%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31416WVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251041 | PA      | $257229.11    | 0.05%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DS51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2223 | PA      | $2357.21      | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280177 | PA      | $271335.59    | 0.05%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EJ4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604062 | PA      | $623276.68    | 0.12%             | 2038-07-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10920000 | PA      | $11134425.67  | 2.21%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASEX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50814 | PA      | $50209.17     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99203 | PA      | $103879.91    | 0.02%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31376KLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54751 | PA      | $56028.94     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9953 | PA      | $10374.34     | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411HGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       563 | PA      | $575.11       | 0.00%             | 2037-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400ANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4459 | PA      | $4539.60      | 0.00%             | 2033-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86 | PA      | $85.78        | 0.00%             | 2030-03-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389L3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1475 | PA      | $1496.98      | 0.00%             | 2032-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1264 | PA      | $1295.27      | 0.00%             | 2039-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389GPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5374 | PA      | $5445.00      | 0.00%             | 2032-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7046 | PA      | $7318.25      | 0.00%             | 2040-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4961 | PA      | $5059.73      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31389X2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32354 | PA      | $33818.24     | 0.01%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24000000 | PA      | $24269531.28  | 4.82%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402C7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $64.98        | 0.00%             | 2034-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3617AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51466 | PA      | $49338.16     | 0.01%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200MFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5635 | PA      | $5778.79      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14562 | PA      | $14589.99     | 0.00%             | 2035-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3087 | PA      | $3178.97      | 0.00%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31404JBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23607 | PA      | $23782.73     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       716 | PA      | $737.18       | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10027 | PA      | $10367.43     | 0.00%             | 2035-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       556 | PA      | $571.00       | 0.00%             | 2035-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294V7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29362 | PA      | $30285.46     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68326 | PA      | $70232.78     | 0.01%             | 2035-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202TP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26919 | PA      | $27888.36     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209SMV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14097 | PA      | $14347.16     | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16157 | PA      | $16633.88     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       188 | PA      | $190.07       | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12147 | PA      | $12475.83     | 0.00%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 3618N5GQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10190473 | PA      | $10375277.77  | 2.06%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4088 | PA      | $4265.51      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2651 | PA      | $2795.42      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200SR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5599 | PA      | $5809.57      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                      | Deutsche Bank Securities Inc.                      | CUSIP: N/A<br>LEI: 9J6MBOOO7BECTDTUZW19       | Long             | RA               | CORP              | US        |  13411667 | PA      | $13411666.65  | 2.66%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 15 Year                                | CUSIP: 3132CWPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206G6P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        96 | PA      | $96.36        | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288JZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36283 | PA      | $37136.00     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5901369 | PA      | $4882844.26   | 0.97%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       760 | PA      | $760.41       | 0.00%             | 2028-03-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219806 | PA      | $221228.23    | 0.04%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182YTK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34456 | PA      | $33042.74     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182Q2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10237 | PA      | $9780.28      | 0.00%             | 2044-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295CLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12303 | PA      | $11335.00     | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11488945 | PA      | $11643932.18  | 2.31%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp.                       | Private Export Funding Corp., Series TT            | CUSIP: 742651EC2<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   9075000 | PA      | $8896034.01   | 1.77%             | 2030-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201TNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3588 | PA      | $3628.16      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5864 | PA      | $5962.62      | 0.00%             | 2035-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2799992 | PA      | $2473596.77   | 0.49%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206KSM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       113 | PA      | $112.42       | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4136179 | PA      | $3422391.77   | 0.68%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209GTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1266 | PA      | $1295.15      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3069395 | PA      | $2913677.71   | 0.58%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312940M30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110380 | PA      | $110873.22    | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3424 | PA      | $3502.03      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391DND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3722 | PA      | $3781.00      | 0.00%             | 2032-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A3VP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227090 | PA      | $226036.89    | 0.04%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295WJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43952 | PA      | $43816.58     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 3128S5VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677012 | PA      | $694713.60    | 0.14%             | 2037-06-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184KQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21640 | PA      | $20693.80     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1066 | PA      | $1093.83      | 0.00%             | 2028-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201GSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6816 | PA      | $6949.55      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208PTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5595 | PA      | $5675.70      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16983 | PA      | $16354.35     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19161 | PA      | $18470.53     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14388 | PA      | $14976.40     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31416BLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1126 | PA      | $1154.22      | 0.00%             | 2038-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2029 | PA      | $2077.74      | 0.00%             | 2033-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183KED6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40772 | PA      | $39116.67     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QD44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27672 | PA      | $26593.95     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11273 | PA      | $11286.30     | 0.00%             | 2042-08-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12649797 | PA      | $11311370.97  | 2.25%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127520 | PA      | $130814.83    | 0.03%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31363EHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $43.26        | 0.00%             | 2029-06-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7517363 | PA      | $6983909.89   | 1.39%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85546 | PA      | $88874.70     | 0.02%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14593 | PA      | $15029.01     | 0.00%             | 2035-11-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26831 | PA      | $27743.43     | 0.01%             | 2033-06-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5857033 | PA      | $4848236.51   | 0.96%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200JUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4750 | PA      | $4878.61      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       924 | PA      | $946.77       | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25075 | PA      | $25414.46     | 0.01%             | 2036-03-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407F5W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6276 | PA      | $6385.86      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620C3S86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16020 | PA      | $15961.15     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JJ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3765 | PA      | $3868.92      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185BQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3568 | PA      | $3421.71      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49278 | PA      | $45405.55     | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295WJC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209541 | PA      | $209024.93    | 0.04%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5917 | PA      | $5927.22      | 0.00%             | 2044-10-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2341 | PA      | $2396.38      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163374 | PA      | $168970.56    | 0.03%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       350 | PA      | $351.21       | 0.00%             | 2028-07-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200K5S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12286 | PA      | $12742.94     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296NTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19510 | PA      | $20266.43     | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27216 | PA      | $26144.72     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206112 | PA      | $199605.89    | 0.04%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14332 | PA      | $14481.05     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13342 | PA      | $13824.48     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213ADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8708 | PA      | $8732.24      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10841 | PA      | $11129.79     | 0.00%             | 2033-12-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5530261 | PA      | $5509627.42   | 1.09%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297U6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38706 | PA      | $40421.41     | 0.01%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46093 | PA      | $47887.33     | 0.01%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $169.75       | 0.00%             | 2033-01-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183PL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37855 | PA      | $36452.10     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2723 | PA      | $2797.13      | 0.00%             | 2037-01-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RKT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113737 | PA      | $109587.56    | 0.02%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       851 | PA      | $879.99       | 0.00%             | 2036-02-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3146 | PA      | $3177.05      | 0.00%             | 2038-09-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       249 | PA      | $251.10       | 0.00%             | 2032-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42686 | PA      | $43363.22     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3444 | PA      | $3539.27      | 0.00%             | 2034-12-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184HMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155821 | PA      | $149817.79    | 0.03%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200X4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6125 | PA      | $6232.61      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420535 | PA      | $431645.17    | 0.09%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183W5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56730 | PA      | $54685.35     | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $94.65        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168949 | PA      | $176140.13    | 0.03%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31401EWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5518 | PA      | $5678.22      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410GMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6704 | PA      | $6851.24      | 0.00%             | 2037-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93803 | PA      | $98631.39     | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407JRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8100 | PA      | $8288.84      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184QSJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14566 | PA      | $13878.84     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57686 | PA      | $58058.69     | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       792 | PA      | $804.51       | 0.00%             | 2035-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213QZ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2216 | PA      | $2293.31      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413GN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13434 | PA      | $13851.08     | 0.00%             | 2037-08-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2018958 | PA      | $1834204.32   | 0.36%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200EBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32712 | PA      | $33000.98     | 0.01%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA) Inc.                         | HSBC Securities (USA) Inc.                         | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | RA               | CORP              | US        |  15425857 | PA      | $15425857.45  | 3.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4446 | PA      | $4540.81      | 0.00%             | 2036-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410QE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       214 | PA      | $217.94       | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185BPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47007 | PA      | $45001.68     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30887 | PA      | $31750.26     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80483 | PA      | $83525.25     | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8416 | PA      | $8614.73      | 0.00%             | 2036-07-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36181CBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489273 | PA      | $463847.26    | 0.09%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11625 | PA      | $11872.65     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402LHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7512 | PA      | $7783.36      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2786 | PA      | $2834.64      | 0.00%             | 2033-04-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117586 | PA      | $118346.59    | 0.02%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D5R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18784 | PA      | $19393.49     | 0.00%             | 2034-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $12.80        | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31376HYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       477 | PA      | $477.75       | 0.00%             | 2026-10-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65444 | PA      | $65423.63     | 0.01%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184545 | PA      | $186961.90    | 0.04%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31376XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       398 | PA      | $397.63       | 0.00%             | 2026-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2239 | PA      | $2219.83      | 0.00%             | 2036-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043135 | PA      | $968889.12    | 0.19%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403AMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1448 | PA      | $1474.51      | 0.00%             | 2033-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404NCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2452 | PA      | $2502.61      | 0.00%             | 2035-03-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200DQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10678 | PA      | $10700.43     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407DUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1997 | PA      | $2031.37      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27788 | PA      | $29144.23     | 0.01%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200VLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2559 | PA      | $2606.26      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201EJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3518 | PA      | $3644.24      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1417 | PA      | $1484.54      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12300802 | PA      | $12264605.34  | 2.44%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5050890 | PA      | $4796738.83   | 0.95%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8605 | PA      | $8937.90      | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EGG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       289 | PA      | $298.27       | 0.00%             | 2041-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3133BBSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AVRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58353 | PA      | $57960.51     | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ECA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78564 | PA      | $82292.49     | 0.02%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295508 | PA      | $286182.47    | 0.06%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401DK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2887 | PA      | $2961.21      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402VUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13816 | PA      | $13940.96     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52696 | PA      | $55148.95     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22285 | PA      | $23372.74     | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202SFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12141 | PA      | $12267.61     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31376KBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9785 | PA      | $9873.34      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6253 | PA      | $5917.16      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ADMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217799 | PA      | $217597.41    | 0.04%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1627 | PA      | $1634.94      | 0.00%             | 2040-10-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406AGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103778 | PA      | $106569.17    | 0.02%             | 2034-12-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407FUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3565 | PA      | $3648.03      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       588 | PA      | $610.07       | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401B6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16831 | PA      | $17222.94     | 0.00%             | 2033-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369348 | PA      | $382012.64    | 0.08%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206HDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        45 | PA      | $45.85        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10157 | PA      | $10437.76     | 0.00%             | 2030-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288CT76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10943 | PA      | $11188.14     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2270 | PA      | $2348.32      | 0.00%             | 2037-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12531 | PA      | $12956.32     | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       748 | PA      | $764.82       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1652 | PA      | $1663.62      | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201AVJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3058 | PA      | $3151.09      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151056 | PA      | $146288.29    | 0.03%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1553027 | PA      | $1475199.27   | 0.29%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31287SFS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6008 | PA      | $6143.04      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21279 | PA      | $21817.89     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184CSA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60846 | PA      | $58063.05     | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295QMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35722 | PA      | $37166.40     | 0.01%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404RPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3383 | PA      | $3454.53      | 0.00%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3989 | PA      | $4022.41      | 0.00%             | 2036-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66834 | PA      | $64258.10     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62344 | PA      | $65350.04     | 0.01%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31417K2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       331 | PA      | $342.51       | 0.00%             | 2039-09-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 31349URQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41274 | PA      | $42249.74     | 0.01%             | 2037-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209HMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7261 | PA      | $7425.59      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    843732 | PA      | $849190.48    | 0.17%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110049 | PA      | $109024.36    | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206VM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        78 | PA      | $78.23        | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401PEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3497 | PA      | $3533.39      | 0.00%             | 2033-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37906 | PA      | $39204.90     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7332 | PA      | $7453.79      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19190 | PA      | $18125.55     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8681 | PA      | $9008.78      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406PZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59664 | PA      | $61920.18     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31415VYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842537 | PA      | $864009.50    | 0.17%             | 2035-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22177 | PA      | $22933.26     | 0.00%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $7329755.87   | 1.46%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EH6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644839 | PA      | $660854.27    | 0.13%             | 2040-01-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9895 | PA      | $9895.00      | 0.00%             | 2040-06-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31409T6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92281 | PA      | $95619.07     | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38413 | PA      | $38069.48     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HJU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9553 | PA      | $9988.80      | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210ETV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1650 | PA      | $1679.95      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5333 | PA      | $5087.83      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp. (The) | U.S. International Development Finance Corp. (The) | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | UST               | US        |    935000 | PA      | $931073.26    | 0.18%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14409 | PA      | $14513.96     | 0.00%             | 2044-10-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402JVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4402 | PA      | $4506.20      | 0.00%             | 2033-08-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400QYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21764 | PA      | $22004.69     | 0.00%             | 2032-10-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       578 | PA      | $598.45       | 0.00%             | 2031-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400L6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $224.28       | 0.00%             | 2037-08-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403DK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4957 | PA      | $5063.00      | 0.00%             | 2034-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12728980 | PA      | $12410814.75  | 2.47%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298PVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8480 | PA      | $8865.62      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       703 | PA      | $711.68       | 0.00%             | 2036-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293PLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $831.72       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88190 | PA      | $91210.22     | 0.02%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30806 | PA      | $31408.80     | 0.01%             | 2034-10-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166437 | PA      | $167512.66    | 0.03%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201GBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39804 | PA      | $41240.37     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31416CAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1938 | PA      | $1983.09      | 0.00%             | 2038-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3839441 | PA      | $3310596.34   | 0.66%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    694413 | PA      | $712769.91    | 0.14%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298EZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6301 | PA      | $6509.32      | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213LJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3917 | PA      | $3985.73      | 0.00%             | 2031-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403HNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20653 | PA      | $21220.84     | 0.00%             | 2033-10-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       752 | PA      | $771.87       | 0.00%             | 2035-12-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34040000 | PA      | $33200967.10  | 6.60%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 313625FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $74.86        | 0.00%             | 2026-11-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17 | PA      | $17.84        | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391BEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       380 | PA      | $385.69       | 0.00%             | 2032-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201BBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1287 | PA      | $1309.69      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185B7E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73765 | PA      | $70588.31     | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AFYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47437 | PA      | $46995.09     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1617 | PA      | $1635.47      | 0.00%             | 2035-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36297FRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73852 | PA      | $73829.51     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213AC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26398 | PA      | $26943.67     | 0.01%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 3128QTEQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634831 | PA      | $651098.43    | 0.13%             | 2038-05-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1118 | PA      | $1149.25      | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404VDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8930 | PA      | $9090.13      | 0.00%             | 2034-06-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290V7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47261 | PA      | $48300.14     | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4973498 | PA      | $5133253.03   | 1.02%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       515 | PA      | $524.13       | 0.00%             | 2040-12-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4920 | PA      | $4877.39      | 0.00%             | 2033-08-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40433 | PA      | $42011.40     | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       702 | PA      | $717.52       | 0.00%             | 2037-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6440 | PA      | $6712.67      | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8326 | PA      | $8414.33      | 0.00%             | 2037-07-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288JZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36113 | PA      | $36942.93     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36291GTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14110 | PA      | $14149.78     | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182R5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6458 | PA      | $6225.54      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14248 | PA      | $14810.83     | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23300 | PA      | $24666.35     | 0.00%             | 2031-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183W5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213557 | PA      | $205681.11    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201F5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2149 | PA      | $2173.16      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39118 | PA      | $39505.51     | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4847 | PA      | $4931.11      | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404EQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32062 | PA      | $32680.94     | 0.01%             | 2034-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31419JH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58098 | PA      | $56392.01     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36207VNV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       358 | PA      | $359.50       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183HMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14733 | PA      | $14110.57     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391TX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5337 | PA      | $5409.57      | 0.00%             | 2032-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295DLW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24729 | PA      | $25782.63     | 0.01%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2274359 | PA      | $2326978.42   | 0.46%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201XBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       669 | PA      | $668.41       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170319 | PA      | $173761.62    | 0.03%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11403 | PA      | $12002.79     | 0.00%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $139.33       | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1826 | PA      | $1874.37      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402GVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4057 | PA      | $4115.36      | 0.00%             | 2033-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296YDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4918 | PA      | $4736.24      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       766 | PA      | $734.43       | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1083 | PA      | $1116.47      | 0.00%             | 2035-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1916664 | PA      | $1899018.68   | 0.38%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D6V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75925 | PA      | $79084.05     | 0.02%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JQJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46577 | PA      | $48211.23     | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384VQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       789 | PA      | $792.42       | 0.00%             | 2030-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EH51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26443 | PA      | $27720.71     | 0.01%             | 2036-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128KSCM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43777 | PA      | $44961.43     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401CTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1196 | PA      | $1212.85      | 0.00%             | 2033-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16593 | PA      | $17289.11     | 0.00%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31368HKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $54.33        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 15 Year                                | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31409EW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83802 | PA      | $87969.02     | 0.02%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36292GHS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50530 | PA      | $52348.33     | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6130 | PA      | $6257.49      | 0.00%             | 2033-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406DEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104691 | PA      | $106968.25    | 0.02%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6561 | PA      | $6802.85      | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       948 | PA      | $978.73       | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                           | Reliance Industries Ltd.                           | CUSIP: 759470AU1<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    312500 | PA      | $309904.75    | 0.06%             | 2026-01-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 31300MEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283335 | PA      | $1326433.11   | 0.26%             | 2040-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402MNK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9979 | PA      | $10248.60     | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31387URF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1010 | PA      | $1026.18      | 0.00%             | 2030-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183X2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18166 | PA      | $17376.07     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53882 | PA      | $56721.12     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183J3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15729 | PA      | $15070.35     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138ABEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531026 | PA      | $524786.86    | 0.10%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404CH37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224969 | PA      | $230992.46    | 0.05%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185CBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24396 | PA      | $23455.70     | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36192SU65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26278 | PA      | $25070.98     | 0.00%             | 2046-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413B3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1901 | PA      | $1939.30      | 0.00%             | 2037-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209MCG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1537 | PA      | $1560.08      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1035 | PA      | $1055.35      | 0.00%             | 2032-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9193 | PA      | $9426.11      | 0.00%             | 2034-01-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389R4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8678 | PA      | $8898.59      | 0.00%             | 2032-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       957 | PA      | $971.12       | 0.00%             | 2033-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31403JD78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8862 | PA      | $8939.99      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31411JZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30740 | PA      | $32267.66     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31387A3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7214 | PA      | $7272.62      | 0.00%             | 2031-08-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2446 | PA      | $2433.88      | 0.00%             | 2038-06-01      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30256 | PA      | $31219.86     | 0.01%             | 2034-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    592944 | PA      | $574233.44    | 0.11%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1135 | PA      | $1157.95      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31379MDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2219 | PA      | $2285.54      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212J2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36521 | PA      | $37263.38     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295015 | PA      | $296923.46    | 0.06%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 15 Year                                      | CUSIP: 31418EHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9057703 | PA      | $8681559.00   | 1.72%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344236 | PA      | $335698.71    | 0.07%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596845 | PA      | $593096.52    | 0.12%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8346 | PA      | $8687.80      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BNQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7795 | PA      | $8052.49      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95826 | PA      | $96781.20     | 0.02%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3155 | PA      | $3173.84      | 0.00%             | 2033-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202T7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13492 | PA      | $13783.96     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182XU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27878 | PA      | $26779.49     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36176WVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19007 | PA      | $18219.60     | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 20 Year                           | CUSIP: 3128P7SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615274 | PA      | $605457.28    | 0.12%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401BG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6163 | PA      | $6323.03      | 0.00%             | 2033-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107946 | PA      | $108644.75    | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8499501 | PA      | $7328735.89   | 1.46%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261050 | PA      | $262739.12    | 0.05%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295HF54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321072 | PA      | $318909.57    | 0.06%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400FDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2513 | PA      | $2571.80      | 0.00%             | 2033-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2172 | PA      | $2147.01      | 0.00%             | 2036-05-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138APCG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511929 | PA      | $500077.41    | 0.10%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206GQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19367 | PA      | $19943.68     | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290UP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36479 | PA      | $36102.33     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18 | PA      | $18.54        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9167 | PA      | $8797.96      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12933618 | PA      | $12240791.97  | 2.43%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296MQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27150 | PA      | $27249.59     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASEH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89001 | PA      | $88607.96     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    790351 | PA      | $791096.29    | 0.16%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1067.66      | 0.00%             | 2032-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 3128S5LY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356107 | PA      | $364086.12    | 0.07%             | 2036-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1662 | PA      | $1705.76      | 0.00%             | 2034-06-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385YCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2433 | PA      | $2436.82      | 0.00%             | 2040-06-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4901947 | PA      | $5069642.89   | 1.01%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007066 | PA      | $1037189.49   | 0.21%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132GLJE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    913596 | PA      | $890117.91    | 0.18%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410F7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       449 | PA      | $458.92       | 0.00%             | 2034-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31403HPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25322 | PA      | $25577.04     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31378EN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5262 | PA      | $5416.41      | 0.00%             | 2037-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       952 | PA      | $965.44       | 0.00%             | 2033-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1531356 | PA      | $1444370.11   | 0.29%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406RGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2690 | PA      | $2717.44      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403BM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20451 | PA      | $20774.62     | 0.00%             | 2033-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111748 | PA      | $111975.77    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3510 | PA      | $3645.55      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198QTS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18383 | PA      | $17628.51     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312942KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350989 | PA      | $353530.44    | 0.07%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36291JGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5510 | PA      | $5708.07      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A3ZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454088 | PA      | $451030.54    | 0.09%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4924 | PA      | $5130.17      | 0.00%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $184.32       | 0.00%             | 2033-12-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132GFLR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47403 | PA      | $47123.80     | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295ERD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20204 | PA      | $20790.64     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406G2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3159 | PA      | $3220.46      | 0.00%             | 2035-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59165 | PA      | $57032.09     | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468564 | PA      | $444795.32    | 0.09%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210MQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1837 | PA      | $1870.01      | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6272 | PA      | $6014.39      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5979 | PA      | $6088.16      | 0.00%             | 2036-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24680 | PA      | $24885.45     | 0.00%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32072 | PA      | $32860.71     | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184834 | PA      | $189392.51    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38364 | PA      | $38343.83     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213FUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161393 | PA      | $164139.06    | 0.03%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36292LEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30304 | PA      | $31032.92     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7195291 | PA      | $6085047.07   | 1.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** Franklin Templeton Variable Insurance Products Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer