# EDGAR Filing Document

**Accession Number:** 0000809707
**File Stem:** 0002071691-25-001616
**Filing Date:** 2025-9
**Character Count:** 536587
**Document Hash:** 700089261a4c96fc0e868334162b2fba
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-001616.hdr.sgml**: 20250923

**ACCESSION NUMBER**: 0002071691-25-001616

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250923

**DATE AS OF CHANGE**: 20250923

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Investors Securities Trust
- **CENTRAL INDEX KEY:** 0000809707

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** FL
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04986
- **FILM NUMBER:** 251333209

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2200

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN INVESTORS SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND (Series ID: S000006850)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000018509 | Class A       | FISAX           |
| C000018510 | Class C       | FCSCX           |
| C000064441 | Advisor Class | FAUZX           |
| C000133492 | Class R6      | FAURX           |
| C000140480 | Class A1      | FAUGX           |

## 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 Investors Securities Trust

- **b. Investment Company Act file number:** 811-04986

- **c. CIK number of Registrant:** 0000809707

- **d. LEI of Registrant:** 549300XUGIR9DEQFV548

- **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 Low Duration U.S. Government Securities Fund

- **b. EDGAR series identifier (if any):** S000006850

- **c. LEI of Series:** 549300OAF2KY89TO9M53

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $384950575.26

**Total Liabilities:** $1955410.60

**Net Assets:** $382995164.66

**Cash Not Reported:** $129294.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -844.16000000 | **1-Year:** -7108.81000000 | **5-Year:** -4756.22000000 | **10-Year:** -50192.49000000 | **30-Year:** -24905.67000000

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

- **3-Month:** 0.00000000 | **1-Year:** -16761.61000000 | **5-Year:** -4068.55000000 | **10-Year:** 4865.08000000 | **30-Year:** -9657.06000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000064441 | 0.03%                | 0.52%                | 0.14%                |
| Class ID C000140480 | 0.02%                | 0.52%                | 0.13%                |
| Class ID C000018509 | 0.01%                | 0.51%                | 0.12%                |
| Class ID C000133492 | 0.03%                | 0.53%                | 0.14%                |
| Class ID C000018510 | -0.03%               | 0.47%                | 0.09%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $110.68                  | $-720027.90                                |
| Month 2  | $11069.11                | $559424.18                                 |
| Month 3  | $18872.15                | $-435780.02                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Government (1-3 Y) Index

- **Index Identifier:** BM2542

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405BD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5032 | PA      | $5188.55      | 0.00%             | 2034-12-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379MDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4379 | PA      | $4494.37      | 0.00%             | 2038-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57558 | PA      | $58546.92     | 0.02%             | 2035-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45245 | PA      | $46744.70     | 0.01%             | 2034-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407FL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40326 | PA      | $41135.35     | 0.01%             | 2035-10-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400QX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1859 | PA      | $1882.68      | 0.00%             | 2033-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414F7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4733 | PA      | $4818.07      | 0.00%             | 2038-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408G4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60718 | PA      | $61414.02     | 0.02%             | 2036-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409AFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42878 | PA      | $43596.11     | 0.01%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32887 | PA      | $31985.91     | 0.01%             | 2035-03-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ARH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11760 | PA      | $12083.93     | 0.00%             | 2036-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1120 | PA      | $1137.60      | 0.00%             | 2034-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5139 | PA      | $5179.66      | 0.00%             | 2037-01-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5922 | PA      | $6084.56      | 0.00%             | 2034-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88934 | PA      | $90201.61     | 0.02%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5907 | PA      | $5855.45      | 0.00%             | 2037-12-01      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13949 | PA      | $14158.34     | 0.00%             | 2033-04-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6020 | PA      | $6231.69      | 0.00%             | 2035-10-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7044 | PA      | $7208.91      | 0.00%             | 2035-05-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562961 | PA      | $577785.13    | 0.15%             | 2036-02-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33766 | PA      | $34707.39     | 0.01%             | 2035-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391RTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20215 | PA      | $20542.82     | 0.01%             | 2032-08-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22487 | PA      | $22653.32     | 0.01%             | 2034-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405BMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4529 | PA      | $4529.76      | 0.00%             | 2034-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414HDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5520 | PA      | $5643.21      | 0.00%             | 2037-12-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19778 | PA      | $20216.21     | 0.01%             | 2035-02-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1801418 | PA      | $1827150.61   | 0.48%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408BUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15972 | PA      | $16253.97     | 0.00%             | 2033-11-01      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172020 | PA      | $174562.45    | 0.05%             | 2041-11-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3730 | PA      | $3842.06      | 0.00%             | 2035-06-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38452 | PA      | $38772.28     | 0.01%             | 2040-06-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283003 | PA      | $291489.49    | 0.08%             | 2040-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116406 | PA      | $120177.66    | 0.03%             | 2037-09-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1515414 | PA      | $1570397.35   | 0.41%             | 2043-10-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362RD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       363 | PA      | $359.55       | 0.00%             | 2027-11-01      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88925 | PA      | $91293.58     | 0.02%             | 2035-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6281 | PA      | $6381.34      | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12232 | PA      | $12215.16     | 0.00%             | 2030-02-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112795 | PA      | $114487.83    | 0.03%             | 2035-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52574 | PA      | $53000.30     | 0.01%             | 2035-02-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34891 | PA      | $35548.02     | 0.01%             | 2033-11-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EG7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514197 | PA      | $526135.37    | 0.14%             | 2035-06-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21829 | PA      | $22298.81     | 0.01%             | 2035-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13087 | PA      | $13232.30     | 0.00%             | 2034-07-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362S5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $26.87        | 0.00%             | 2029-01-01      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $637.84       | 0.00%             | 2034-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QPKE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164894 | PA      | $168430.93    | 0.04%             | 2036-09-01      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $125.11       | 0.00%             | 2033-05-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407KGP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7642 | PA      | $7751.34      | 0.00%             | 2035-09-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403TPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36055 | PA      | $36287.16     | 0.01%             | 2033-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3140 | PA      | $3240.67      | 0.00%             | 2035-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411UKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4905 | PA      | $5066.36      | 0.00%             | 2037-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362855 | PA      | $370673.81    | 0.10%             | 2036-11-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414CZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16124 | PA      | $16507.29     | 0.00%             | 2038-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24123 | PA      | $24512.52     | 0.01%             | 2033-08-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378FMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1597 | PA      | $1575.85      | 0.00%             | 2027-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1588745 | PA      | $1645335.96   | 0.43%             | 2043-07-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65812 | PA      | $67538.67     | 0.02%             | 2034-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4367 | PA      | $4449.49      | 0.00%             | 2033-02-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33772 | PA      | $34272.79     | 0.01%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187454 | PA      | $189846.45    | 0.05%             | 2038-06-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584792 | PA      | $590907.76    | 0.15%             | 2037-09-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12401 | PA      | $12716.90     | 0.00%             | 2033-09-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15315 | PA      | $15440.57     | 0.00%             | 2036-02-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7698 | PA      | $7882.34      | 0.00%             | 2035-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528391 | PA      | $542496.42    | 0.14%             | 2035-03-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26458 | PA      | $26614.04     | 0.01%             | 2036-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1910 | PA      | $1902.64      | 0.00%             | 2041-02-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37326 | PA      | $37999.11     | 0.01%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31349UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417945 | PA      | $434959.98    | 0.11%             | 2034-08-01      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386MLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2672 | PA      | $2679.65      | 0.00%             | 2040-12-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4565 | PA      | $4660.82      | 0.00%             | 2035-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3353 | PA      | $3430.43      | 0.00%             | 2035-02-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       477 | PA      | $484.85       | 0.00%             | 2032-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384PDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2325.54      | 0.00%             | 2027-12-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407VFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8394 | PA      | $8612.46      | 0.00%             | 2035-09-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2586 | PA      | $2603.27      | 0.00%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407B3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296222 | PA      | $299276.29    | 0.08%             | 2035-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406H3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396831 | PA      | $1432762.03   | 0.37%             | 2034-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1634 | PA      | $1667.78      | 0.00%             | 2036-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28061 | PA      | $28483.05     | 0.01%             | 2036-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225C4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4199 | PA      | $4213.63      | 0.00%             | 2034-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135678 | PA      | $140097.55    | 0.04%             | 2034-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72433 | PA      | $74825.23     | 0.02%             | 2035-09-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2930000 | PA      | $2975089.95   | 0.78%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10793 | PA      | $11034.95     | 0.00%             | 2034-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5QX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215983 | PA      | $222436.89    | 0.06%             | 2038-10-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47049 | PA      | $47745.42     | 0.01%             | 2035-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.43         | 0.00%             | 2033-11-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410WFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79189 | PA      | $81063.71     | 0.02%             | 2038-01-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28219 | PA      | $28877.57     | 0.01%             | 2035-10-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1804824 | PA      | $1834083.37   | 0.48%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1289 | PA      | $1294.28      | 0.00%             | 2027-09-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3545 | PA      | $3621.09      | 0.00%             | 2035-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       804 | PA      | $804.03       | 0.00%             | 2030-08-01      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33635 | PA      | $33867.76     | 0.01%             | 2035-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38395 | PA      | $39133.00     | 0.01%             | 2035-11-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14490 | PA      | $14614.70     | 0.00%             | 2033-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54338 | PA      | $54936.21     | 0.01%             | 2033-06-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33721 | PA      | $34737.31     | 0.01%             | 2034-02-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407PP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2424 | PA      | $2478.25      | 0.00%             | 2035-10-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2024-103, Class FB                                                  | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2608779 | PA      | $2605761.31   | 0.68%             | 2055-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409BAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9757 | PA      | $10019.02     | 0.00%             | 2036-03-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $50.76        | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356016 | PA      | $363706.74    | 0.09%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406N6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2144 | PA      | $2162.73      | 0.00%             | 2035-04-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $94.06        | 0.00%             | 2028-10-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88718 | PA      | $89792.93     | 0.02%             | 2033-06-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47179 | PA      | $48426.74     | 0.01%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407T2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5928 | PA      | $6074.53      | 0.00%             | 2035-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2783 | PA      | $2801.73      | 0.00%             | 2037-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31067 | PA      | $31586.45     | 0.01%             | 2035-09-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JQBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275010 | PA      | $281876.29    | 0.07%             | 2040-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403Y2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5675 | PA      | $5712.48      | 0.00%             | 2034-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2881842 | PA      | $2972372.76   | 0.78%             | 2046-10-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7734 | PA      | $7937.66      | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JNDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266651 | PA      | $272991.10    | 0.07%             | 2035-06-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46419 | PA      | $47326.49     | 0.01%             | 2034-12-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391FFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28935 | PA      | $28825.94     | 0.01%             | 2027-08-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227037 | PA      | $232596.11    | 0.06%             | 2037-04-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4920 | PA      | $5059.08      | 0.00%             | 2036-11-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413GK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12092 | PA      | $12249.15     | 0.00%             | 2037-08-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46778 | PA      | $48005.92     | 0.01%             | 2035-10-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23580 | PA      | $24100.41     | 0.01%             | 2036-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2596 | PA      | $2662.26      | 0.00%             | 2034-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411HGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5576 | PA      | $5676.40      | 0.00%             | 2037-04-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130490 | PA      | $131746.25    | 0.03%             | 2034-12-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15880 | PA      | $16144.28     | 0.00%             | 2036-04-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6259 | PA      | $6398.91      | 0.00%             | 2035-03-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1060 | PA      | $1078.25      | 0.00%             | 2033-09-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $307.54       | 0.00%             | 2037-12-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410B3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4172 | PA      | $4279.73      | 0.00%             | 2036-06-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17020 | PA      | $17299.45     | 0.00%             | 2034-09-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1069 | PA      | $1073.24      | 0.00%             | 2033-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36453 | PA      | $36948.82     | 0.01%             | 2033-04-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5873 | PA      | $5987.91      | 0.00%             | 2034-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406LDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23592 | PA      | $23850.26     | 0.01%             | 2044-11-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134621 | PA      | $139895.83    | 0.04%             | 2036-10-01      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       581 | NC      | $-154565.93   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3136056A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $23.04        | 0.00%             | 2025-12-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DJR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2528 | PA      | $2542.03      | 0.00%             | 2034-11-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409CCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471470 | PA      | $480807.02    | 0.13%             | 2036-01-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412EPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20690 | PA      | $20998.37     | 0.01%             | 2037-01-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410WFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35574 | PA      | $36293.50     | 0.01%             | 2037-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2241 | PA      | $2273.77      | 0.00%             | 2033-08-01      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401D6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3304 | PA      | $3374.09      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411E4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       593 | PA      | $610.58       | 0.00%             | 2037-01-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1582 | PA      | $1609.82      | 0.00%             | 2038-03-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QEM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1480856 | PA      | $1539415.77   | 0.40%             | 2043-07-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ELR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757809 | PA      | $783571.80    | 0.20%             | 2037-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1893 | PA      | $1933.30      | 0.00%             | 2038-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225CZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2419 | PA      | $2432.96      | 0.00%             | 2033-09-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6084 | PA      | $6201.29      | 0.00%             | 2033-08-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10492 | PA      | $10554.60     | 0.00%             | 2042-08-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2855 | PA      | $2883.08      | 0.00%             | 2035-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32462 | PA      | $32610.60     | 0.01%             | 2033-09-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391MDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59536 | PA      | $59917.97     | 0.02%             | 2032-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410YNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46866 | PA      | $48058.19     | 0.01%             | 2036-09-01      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14195 | PA      | $14714.20     | 0.00%             | 2036-09-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404U2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46095 | PA      | $46761.44     | 0.01%             | 2034-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550324 | PA      | $563286.14    | 0.15%             | 2038-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14367 | PA      | $14644.60     | 0.00%             | 2034-10-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.35        | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413YWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49570 | PA      | $50375.20     | 0.01%             | 2037-11-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EKTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48404 | PA      | $49697.79     | 0.01%             | 2038-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27190 | PA      | $27253.69     | 0.01%             | 2034-05-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388X3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5687 | PA      | $5667.72      | 0.00%             | 2029-04-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385Y6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29170 | PA      | $29463.32     | 0.01%             | 2030-11-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       651 | PA      | $658.75       | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391A7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1343 | PA      | $1361.32      | 0.00%             | 2032-09-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9972 | PA      | $10093.17     | 0.00%             | 2032-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30879 | PA      | $31619.65     | 0.01%             | 2034-02-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2019-38, Class CF                                                   | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219846 | PA      | $1186018.56   | 0.31%             | 2049-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412DZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8092 | PA      | $8384.26      | 0.00%             | 2037-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       555 | PA      | $562.68       | 0.00%             | 2036-08-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $347.98       | 0.00%             | 2035-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411SVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96722 | PA      | $99853.43     | 0.03%             | 2047-03-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368454 | PA      | $365492.66    | 0.10%             | 2034-04-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404V2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       588 | PA      | $603.80       | 0.00%             | 2034-08-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3644463 | PA      | $3781036.56   | 0.99%             | 2047-08-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8962 | PA      | $9247.30      | 0.00%             | 2034-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400SJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43168 | PA      | $44214.07     | 0.01%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73799 | PA      | $75141.83     | 0.02%             | 2035-04-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15816 | PA      | $16142.88     | 0.00%             | 2035-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3708 | PA      | $3730.04      | 0.00%             | 2029-02-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21487 | PA      | $21404.83     | 0.01%             | 2033-06-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37093 | PA      | $37917.82     | 0.01%             | 2034-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11042109.32  | 2.88%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404QLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2767 | PA      | $2804.73      | 0.00%             | 2034-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7022 | PA      | $7059.96      | 0.00%             | 2033-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094247 | PA      | $1134149.18   | 0.30%             | 2040-11-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44054 | PA      | $44956.99     | 0.01%             | 2035-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31498 | PA      | $31916.37     | 0.01%             | 2035-07-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118269 | PA      | $121086.55    | 0.03%             | 2036-08-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4013 | PA      | $4083.46      | 0.00%             | 2035-09-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404FPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27858 | PA      | $28562.39     | 0.01%             | 2034-08-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42352 | PA      | $43564.94     | 0.01%             | 2035-10-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8315 | PA      | $8430.56      | 0.00%             | 2033-10-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391TU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22696 | PA      | $22984.54     | 0.01%             | 2032-12-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3570 | PA      | $3607.57      | 0.00%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $136.16       | 0.00%             | 2037-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402M4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128206 | PA      | $130606.40    | 0.03%             | 2033-08-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5021 | PA      | $5159.71      | 0.00%             | 2035-06-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       636 | PA      | $646.01       | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351871 | PA      | $358097.67    | 0.09%             | 2036-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1868 | PA      | $1903.89      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406KAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18701 | PA      | $19262.36     | 0.01%             | 2035-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30399 | PA      | $30366.66     | 0.01%             | 2034-10-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8776 | PA      | $9009.82      | 0.00%             | 2033-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410G3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2358 | PA      | $2385.55      | 0.00%             | 2037-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32637 | PA      | $33355.80     | 0.01%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9915 | PA      | $10116.54     | 0.00%             | 2033-08-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402XXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57216 | PA      | $57804.31     | 0.02%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7454 | PA      | $7588.58      | 0.00%             | 2034-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4EN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100866 | PA      | $102574.35    | 0.03%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6816 | PA      | $6879.54      | 0.00%             | 2031-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15251 | PA      | $15488.37     | 0.00%             | 2036-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386CLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4714 | PA      | $4723.21      | 0.00%             | 2030-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24977 | PA      | $25156.11     | 0.01%             | 2035-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378QJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1215 | PA      | $1251.58      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1332 | PA      | $1365.54      | 0.00%             | 2035-09-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3525 | PA      | $3613.10      | 0.00%             | 2033-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391RTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113655 | PA      | $117153.56    | 0.03%             | 2032-09-01      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25616 | PA      | $26408.84     | 0.01%             | 2033-10-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1131 | PA      | $1126.88      | 0.00%             | 2033-11-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 313612HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       599 | PA      | $592.62       | 0.00%             | 2027-04-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2024-98, Class FA                                                   | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936036 | PA      | $937886.66    | 0.24%             | 2053-12-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26940 | PA      | $27557.41     | 0.01%             | 2035-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9003 | PA      | $9049.62      | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19565 | PA      | $19826.20     | 0.01%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404JQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9005 | PA      | $9182.72      | 0.00%             | 2034-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2010-12, Class FD                                                   | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471435 | PA      | $471599.69    | 0.12%             | 2040-01-16      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411E3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48404 | PA      | $49319.94     | 0.01%             | 2037-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31342AZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103555 | PA      | $105460.70    | 0.03%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34439 | PA      | $34513.33     | 0.01%             | 2028-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401G5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82521 | PA      | $83208.07     | 0.02%             | 2033-04-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244009 | PA      | $246078.46    | 0.06%             | 2035-04-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21931 | PA      | $22472.29     | 0.01%             | 2035-09-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13406 | PA      | $13766.12     | 0.00%             | 2034-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408FN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22664 | PA      | $22947.42     | 0.01%             | 2035-09-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2800 | PA      | $2830.85      | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457120 | PA      | $470109.04    | 0.12%             | 2035-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13640 | PA      | $13729.80     | 0.00%             | 2037-04-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71168 | PA      | $71780.96     | 0.02%             | 2034-05-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406YCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55204 | PA      | $55351.69     | 0.01%             | 2035-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       905 | PA      | $927.43       | 0.00%             | 2032-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF163, Class AS | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2887392 | PA      | $2902355.51   | 0.76%             | 2034-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3179 | PA      | $3217.64      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5445432 | PA      | $5623450.30   | 1.47%             | 2038-09-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5556 | PA      | $5658.43      | 0.00%             | 2036-01-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404HVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32638 | PA      | $33286.90     | 0.01%             | 2034-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389TGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76176 | PA      | $78110.02     | 0.02%             | 2032-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       801 | PA      | $822.61       | 0.00%             | 2035-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402MM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9542 | PA      | $9765.48      | 0.00%             | 2033-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178520 | PA      | $182765.50    | 0.05%             | 2035-08-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1303 | PA      | $1324.67      | 0.00%             | 2036-05-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404TAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10378 | PA      | $10611.24     | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6775 | PA      | $6914.20      | 0.00%             | 2033-11-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412BTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10766 | PA      | $11120.44     | 0.00%             | 2036-08-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Long Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -21 | NC      | $-45968.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47314 | PA      | $47525.53     | 0.01%             | 2034-10-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2021-8, Class YF                                                    | CUSIP: 3136BFFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7963571 | PA      | $7990457.20   | 2.09%             | 2061-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225C2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69500 | PA      | $70841.85     | 0.02%             | 2033-12-20      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401D3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3823 | PA      | $3910.66      | 0.00%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11201 | PA      | $11480.99     | 0.00%             | 2033-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47548 | PA      | $48884.77     | 0.01%             | 2035-07-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88931 | PA      | $91143.38     | 0.02%             | 2035-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128LUK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488394 | PA      | $504880.96    | 0.13%             | 2037-03-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244960 | PA      | $252597.27    | 0.07%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2020-54, Class WF                                                   | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2731468 | PA      | $2598849.08   | 0.68%             | 2050-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2021-36, Class YF                                                   | CUSIP: 3136BHPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3948954 | PA      | $3990392.26   | 1.04%             | 2061-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21531 | PA      | $22322.55     | 0.01%             | 2035-01-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362JUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       188 | PA      | $185.77       | 0.00%             | 2028-06-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400PAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100937 | PA      | $102571.80    | 0.03%             | 2033-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       574 | PA      | $583.75       | 0.00%             | 2033-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405D4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6003 | PA      | $6038.78      | 0.00%             | 2034-08-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CDW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18520 | PA      | $18824.27     | 0.00%             | 2038-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405ARB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161971 | PA      | $166062.72    | 0.04%             | 2035-01-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12070 | PA      | $12380.36     | 0.00%             | 2035-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       925 | PA      | $929.74       | 0.00%             | 2033-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5422 | PA      | $5512.77      | 0.00%             | 2035-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404AUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21572 | PA      | $22144.23     | 0.01%             | 2033-09-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411YBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107346 | PA      | $109754.23    | 0.03%             | 2037-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3741 | PA      | $3807.06      | 0.00%             | 2034-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34179 | PA      | $34722.96     | 0.01%             | 2034-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DNA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       732 | PA      | $749.38       | 0.00%             | 2034-09-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16449 | PA      | $16797.45     | 0.00%             | 2038-10-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UUT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381968 | PA      | $391521.09    | 0.10%             | 2036-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1974 | PA      | $2008.14      | 0.00%             | 2037-08-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5QL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298612 | PA      | $308659.64    | 0.08%             | 2037-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127323 | PA      | $130411.63    | 0.03%             | 2034-10-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31380ADC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2559 | PA      | $2552.71      | 0.00%             | 2027-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405MCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15803 | PA      | $16242.38     | 0.00%             | 2034-08-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29568 | PA      | $30243.53     | 0.01%             | 2036-09-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406X2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19806 | PA      | $20111.99     | 0.01%             | 2035-02-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418M6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41525 | PA      | $42574.36     | 0.01%             | 2036-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32903 | PA      | $33663.15     | 0.01%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1198 | PA      | $1221.74      | 0.00%             | 2034-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26057 | PA      | $26381.08     | 0.01%             | 2030-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405KMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30578 | PA      | $31319.04     | 0.01%             | 2034-10-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78091 | PA      | $80823.22     | 0.02%             | 2036-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PKE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14924 | PA      | $15113.53     | 0.00%             | 2034-10-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10256 | PA      | $10420.24     | 0.00%             | 2037-02-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224828 | PA      | $228688.42    | 0.06%             | 2034-05-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30412 | PA      | $31338.24     | 0.01%             | 2034-11-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2106 | PA      | $2144.84      | 0.00%             | 2034-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QGFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101336 | PA      | $102901.99    | 0.03%             | 2036-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2382 | PA      | $2408.41      | 0.00%             | 2036-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798256 | PA      | $1857611.77   | 0.49%             | 2035-03-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400U3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21951 | PA      | $22551.76     | 0.01%             | 2033-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276598 | PA      | $283697.92    | 0.07%             | 2039-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1166 | PA      | $1174.01      | 0.00%             | 2035-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403LLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9061 | PA      | $9251.05      | 0.00%             | 2033-10-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406X2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4722 | PA      | $4752.45      | 0.00%             | 2035-01-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410MHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468858 | PA      | $479924.40    | 0.13%             | 2036-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35912 | PA      | $35582.57     | 0.01%             | 2034-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404WC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20233 | PA      | $20759.84     | 0.01%             | 2034-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23186 | PA      | $23401.61     | 0.01%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414KPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2595 | PA      | $2669.33      | 0.00%             | 2038-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1903022 | PA      | $1895685.28   | 0.49%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7272 | PA      | $7424.63      | 0.00%             | 2034-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401L5Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48810 | PA      | $49784.08     | 0.01%             | 2033-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $187.70       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12936 | PA      | $13349.90     | 0.00%             | 2036-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5971 | PA      | $6073.18      | 0.00%             | 2034-10-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402BTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12959 | PA      | $13207.74     | 0.00%             | 2033-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404VKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26765 | PA      | $27201.00     | 0.01%             | 2034-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6623 | PA      | $6692.73      | 0.00%             | 2034-12-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401EWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27216 | PA      | $27271.74     | 0.01%             | 2031-01-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198231 | PA      | $202637.54    | 0.05%             | 2035-09-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12639 | PA      | $12790.60     | 0.00%             | 2035-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6649 | PA      | $6832.21      | 0.00%             | 2037-09-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S6AS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299860 | PA      | $308876.70    | 0.08%             | 2038-05-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JMV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    932804 | PA      | $967550.24    | 0.25%             | 2036-02-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15125976.60  | 3.95%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ELXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170474 | PA      | $172881.29    | 0.05%             | 2037-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133774 | PA      | $138434.96    | 0.04%             | 2035-12-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56430 | PA      | $58037.88     | 0.02%             | 2037-01-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31387TZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2458 | PA      | $2458.06      | 0.00%             | 2028-06-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448685 | PA      | $461741.38    | 0.12%             | 2037-02-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $7411.14      | 0.00%             | 2027-12-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31361HL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       690 | PA      | $685.12       | 0.00%             | 2026-08-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3741 | PA      | $3834.47      | 0.00%             | 2036-06-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.55        | 0.00%             | 2033-07-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400JMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4006 | PA      | $4109.34      | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15086 | PA      | $15131.16     | 0.00%             | 2034-08-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30133 | PA      | $30584.85     | 0.01%             | 2033-10-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1237 | PA      | $1272.57      | 0.00%             | 2034-01-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31417SC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36868 | PA      | $37620.78     | 0.01%             | 2039-12-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F6X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1720 | PA      | $1764.47      | 0.00%             | 2038-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126471 | PA      | $129323.27    | 0.03%             | 2035-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       885 | PA      | $901.68       | 0.00%             | 2034-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14012 | PA      | $14227.37     | 0.00%             | 2034-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3169 | PA      | $3225.27      | 0.00%             | 2034-10-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20648 | PA      | $21194.80     | 0.01%             | 2041-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403C4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1452 | PA      | $1502.71      | 0.00%             | 2035-10-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.82         | 0.00%             | 2027-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4215, Class KF                                                     | CUSIP: 3137B34M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    991223 | PA      | $966670.91    | 0.25%             | 2040-02-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EH7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36355 | PA      | $36492.82     | 0.01%             | 2034-08-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3873 | PA      | $3968.59      | 0.00%             | 2037-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362GM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       699 | PA      | $692.66       | 0.00%             | 2028-01-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405BD57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6954 | PA      | $7129.99      | 0.00%             | 2034-12-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386C3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34089 | PA      | $34116.42     | 0.01%             | 2040-09-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1906 | PA      | $1923.32      | 0.00%             | 2037-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RCM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       483 | PA      | $496.71       | 0.00%             | 2038-05-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7248 | PA      | $7376.08      | 0.00%             | 2036-10-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408BQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93089 | PA      | $94695.36     | 0.02%             | 2035-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1468 | PA      | $1509.48      | 0.00%             | 2034-01-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84982 | PA      | $87193.94     | 0.02%             | 2035-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2513 | PA      | $2556.73      | 0.00%             | 2035-11-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14103 | PA      | $14470.07     | 0.00%             | 2034-06-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74400 | PA      | $74993.73     | 0.02%             | 2037-06-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680703 | PA      | $698949.72    | 0.18%             | 2037-11-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391NM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1193 | PA      | $1213.34      | 0.00%             | 2032-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14200 | PA      | $14534.71     | 0.00%             | 2033-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265631 | PA      | $269857.76    | 0.07%             | 2034-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45105 | PA      | $45649.98     | 0.01%             | 2037-07-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    921912 | PA      | $950794.17    | 0.25%             | 2035-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30394 | PA      | $29775.27     | 0.01%             | 2036-05-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112093 | PA      | $112433.67    | 0.03%             | 2034-08-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       899 | PA      | $918.32       | 0.00%             | 2035-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4557 | PA      | $4622.93      | 0.00%             | 2033-05-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25578 | PA      | $25896.06     | 0.01%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53027 | PA      | $54172.44     | 0.01%             | 2035-07-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ASN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4387 | PA      | $4481.37      | 0.00%             | 2036-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3557 | PA      | $3606.48      | 0.00%             | 2033-05-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       216 | PA      | $217.74       | 0.00%             | 2032-01-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405QYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8046 | PA      | $8261.99      | 0.00%             | 2034-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28823 | PA      | $29414.72     | 0.01%             | 2034-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14870 | PA      | $15183.74     | 0.00%             | 2033-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4A49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211052 | PA      | $218947.75    | 0.06%             | 2036-02-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20552 | PA      | $21051.07     | 0.01%             | 2033-06-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4GM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17831 | PA      | $18062.00     | 0.00%             | 2036-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406V3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       931 | PA      | $948.44       | 0.00%             | 2035-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3181 | PA      | $3249.52      | 0.00%             | 2035-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10131 | PA      | $10313.94     | 0.00%             | 2034-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375DHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4586 | PA      | $4576.89      | 0.00%             | 2036-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2452 | PA      | $2504.97      | 0.00%             | 2033-11-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402EM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6732 | PA      | $6742.86      | 0.00%             | 2033-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6471 | PA      | $6611.94      | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       708 | PA      | $724.79       | 0.00%             | 2037-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31373CSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3573326 | PA      | $3537504.67   | 0.92%             | 2034-04-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5EK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104848 | PA      | $107100.83    | 0.03%             | 2037-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11528 | PA      | $11551.70     | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412DPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13313 | PA      | $13531.46     | 0.00%             | 2037-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400WR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24609 | PA      | $24970.52     | 0.01%             | 2033-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ARQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $85.70        | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37135 | PA      | $37957.62     | 0.01%             | 2035-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375PW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1345 | PA      | $1346.20      | 0.00%             | 2026-03-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404ULA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11005 | PA      | $11272.25     | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404MPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14610 | PA      | $14940.90     | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51125 | PA      | $52186.82     | 0.01%             | 2035-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4794, Class WF                                                     | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2960855 | PA      | $2917294.21   | 0.76%             | 2043-03-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4726 | PA      | $4849.89      | 0.00%             | 2036-10-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407FUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1573 | PA      | $1616.44      | 0.00%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419BA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134819 | PA      | $139731.62    | 0.04%             | 2038-07-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73271 | PA      | $74164.00     | 0.02%             | 2044-09-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3246 | PA      | $3282.23      | 0.00%             | 2036-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5212 | PA      | $5323.36      | 0.00%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85903 | PA      | $87021.66     | 0.02%             | 2035-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407T2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18040 | PA      | $18444.36     | 0.00%             | 2035-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31899 | PA      | $32769.62     | 0.01%             | 2034-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412SKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2083 | PA      | $2126.84      | 0.00%             | 2038-03-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386M2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2620 | PA      | $2634.90      | 0.00%             | 2030-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400BWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6144 | PA      | $6259.01      | 0.00%             | 2033-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414R5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17471 | PA      | $17850.88     | 0.00%             | 2038-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7767 | PA      | $7993.71      | 0.00%             | 2038-05-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4494 | PA      | $4601.10      | 0.00%             | 2035-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407EM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94298 | PA      | $96198.33     | 0.03%             | 2035-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1477 | PA      | $1476.60      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65320 | PA      | $67224.76     | 0.02%             | 2036-11-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374T2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43276 | PA      | $42394.29     | 0.01%             | 2036-05-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1438 | PA      | $1466.36      | 0.00%             | 2038-03-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149544 | PA      | $153057.01    | 0.04%             | 2038-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411GTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73791 | PA      | $76309.45     | 0.02%             | 2037-03-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4988, Class AF                                                     | CUSIP: 3137FUN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3216424 | PA      | $3172456.05   | 0.83%             | 2037-10-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRJB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97453 | PA      | $99496.55     | 0.03%             | 2035-11-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5VZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167791 | PA      | $171395.52    | 0.04%             | 2038-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404P6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23148 | PA      | $23554.90     | 0.01%             | 2034-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31347AVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1337604 | PA      | $1381778.40   | 0.36%             | 2045-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413YLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3070 | PA      | $3090.98      | 0.00%             | 2037-11-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406XXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12321 | PA      | $12661.45     | 0.00%             | 2035-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326371 | PA      | $333927.41    | 0.09%             | 2034-12-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292585 | PA      | $298759.93    | 0.08%             | 2034-02-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414EKD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5011 | PA      | $5143.53      | 0.00%             | 2038-06-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375VEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1884 | PA      | $1881.66      | 0.00%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188255 | PA      | $193501.06    | 0.05%             | 2036-05-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41962 | PA      | $43038.53     | 0.01%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401HJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20084 | PA      | $20538.75     | 0.01%             | 2033-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13174 | PA      | $13271.57     | 0.00%             | 2034-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QGMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92127 | PA      | $92741.80     | 0.02%             | 2037-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407YMC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $4025.06      | 0.00%             | 2035-12-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794781 | PA      | $819755.26    | 0.21%             | 2036-06-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9136 | PA      | $9420.21      | 0.00%             | 2034-11-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386CXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       872 | PA      | $872.34       | 0.00%             | 2028-06-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11977 | PA      | $12242.81     | 0.00%             | 2033-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90 | PA      | $90.29        | 0.00%             | 2032-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146119 | PA      | $149355.04    | 0.04%             | 2036-02-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31387MAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82196 | PA      | $82610.13     | 0.02%             | 2031-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407SKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201545 | PA      | $206221.17    | 0.05%             | 2035-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1827 | PA      | $1866.69      | 0.00%             | 2034-11-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413RTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21160 | PA      | $21703.13     | 0.01%             | 2037-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44281 | PA      | $45477.69     | 0.01%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371L4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4276 | PA      | $4363.36      | 0.00%             | 2035-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582618 | PA      | $599338.83    | 0.16%             | 2036-02-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404A3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14599 | PA      | $14895.89     | 0.00%             | 2033-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50706 | PA      | $52724.81     | 0.01%             | 2034-11-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385H4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3110 | PA      | $3154.36      | 0.00%             | 2040-07-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407JNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154494 | PA      | $158660.47    | 0.04%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14836 | PA      | $15244.15     | 0.00%             | 2037-08-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9423 | PA      | $9580.26      | 0.00%             | 2036-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35519 | PA      | $36342.65     | 0.01%             | 2035-09-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1283 | PA      | $1303.06      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401DMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6856 | PA      | $7023.52      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2162000 | PA      | $2139598.11   | 0.56%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419ACA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563051 | PA      | $583605.91    | 0.15%             | 2040-05-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3020 | PA      | $3060.49      | 0.00%             | 2037-01-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5AJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223756 | PA      | $228153.10    | 0.06%             | 2037-01-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391KQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       566 | PA      | $574.18       | 0.00%             | 2032-10-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92310 | PA      | $93930.25     | 0.02%             | 2034-11-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419543 | PA      | $425002.40    | 0.11%             | 2035-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404FPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28637 | PA      | $29303.89     | 0.01%             | 2034-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402VZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5616 | PA      | $5699.30      | 0.00%             | 2033-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1120 | PA      | $1149.58      | 0.00%             | 2033-11-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403UYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10839 | PA      | $10987.16     | 0.00%             | 2033-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16912 | PA      | $17242.96     | 0.00%             | 2035-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13119 | PA      | $13496.52     | 0.00%             | 2035-12-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402LGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111082 | PA      | $111845.69    | 0.03%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ENJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14951 | PA      | $15436.95     | 0.00%             | 2036-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181865 | PA      | $185564.11    | 0.05%             | 2035-08-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410UXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36888 | PA      | $38200.33     | 0.01%             | 2036-09-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403QMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22854 | PA      | $23198.01     | 0.01%             | 2033-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409VAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452250 | PA      | $466268.31    | 0.12%             | 2036-02-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410Q3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57330 | PA      | $58571.39     | 0.02%             | 2036-03-01      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31363XDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19946 | PA      | $19684.31     | 0.01%             | 2028-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43029 | PA      | $44406.14     | 0.01%             | 2036-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404EZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34286 | PA      | $34768.40     | 0.01%             | 2034-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $66.22        | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410PYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26062 | PA      | $26819.49     | 0.01%             | 2036-09-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       706 | PA      | $721.23       | 0.00%             | 2038-05-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404JSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19212 | PA      | $19577.55     | 0.01%             | 2034-03-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2626 | PA      | $2667.02      | 0.00%             | 2035-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 343, Class F4                                                      | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2999439 | PA      | $2961217.35   | 0.77%             | 2037-10-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5542 | PA      | $5538.26      | 0.00%             | 2040-10-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404CVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86893 | PA      | $89227.02     | 0.02%             | 2034-01-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404FPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54804 | PA      | $56078.70     | 0.01%             | 2034-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402KU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1599 | PA      | $1633.94      | 0.00%             | 2033-08-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4891, Class AF                                                     | CUSIP: 3137FM2A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4753762 | PA      | $4833596.89   | 1.26%             | 2042-07-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407FU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4720 | PA      | $4847.54      | 0.00%             | 2035-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408AMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43863 | PA      | $44709.85     | 0.01%             | 2036-01-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36929 | PA      | $37966.29     | 0.01%             | 2034-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401H6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1497 | PA      | $1519.58      | 0.00%             | 2033-06-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25327 | PA      | $26337.60     | 0.01%             | 2036-10-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400SXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20370 | PA      | $20834.02     | 0.01%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $27.04        | 0.00%             | 2030-03-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391EUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7909 | PA      | $8055.38      | 0.00%             | 2032-10-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10190 | PA      | $10410.50     | 0.00%             | 2033-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5493 | PA      | $5601.83      | 0.00%             | 2035-05-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9294 | PA      | $9500.06      | 0.00%             | 2037-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388NR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23812 | PA      | $23760.59     | 0.01%             | 2030-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       685 | PA      | $695.94       | 0.00%             | 2032-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9642 | PA      | $9843.82      | 0.00%             | 2037-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63631 | PA      | $65173.31     | 0.02%             | 2035-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6047 | PA      | $6059.16      | 0.00%             | 2032-10-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5984 | PA      | $5998.41      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402J4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63916 | PA      | $65189.74     | 0.02%             | 2033-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31349SRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96606 | PA      | $98868.78     | 0.03%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1711 | PA      | $1754.28      | 0.00%             | 2035-11-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152263 | PA      | $155578.28    | 0.04%             | 2036-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402XWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46214 | PA      | $46605.52     | 0.01%             | 2033-10-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402D4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10198 | PA      | $10278.10     | 0.00%             | 2033-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207413 | PA      | $203689.64    | 0.05%             | 2034-09-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9916185.80   | 2.59%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2752 | PA      | $2754.82      | 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        |      7203 | PA      | $7394.99      | 0.00%             | 2034-11-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113550 | PA      | $114439.42    | 0.03%             | 2035-02-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391MQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138701 | PA      | $139056.22    | 0.04%             | 2033-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3996 | PA      | $4105.33      | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49007 | PA      | $50787.49     | 0.01%             | 2037-08-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419APP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296736 | PA      | $302894.96    | 0.08%             | 2038-11-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2744 | PA      | $2807.20      | 0.00%             | 2038-03-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409AK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       893 | PA      | $911.99       | 0.00%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6670 | PA      | $6805.41      | 0.00%             | 2035-07-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4132 | PA      | $4272.66      | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8175 | PA      | $8374.39      | 0.00%             | 2035-09-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202922 | PA      | $205908.35    | 0.05%             | 2035-06-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3825 | PA      | $3926.51      | 0.00%             | 2035-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234980 | PA      | $238969.76    | 0.06%             | 2037-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409X3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34858 | PA      | $35101.87     | 0.01%             | 2036-04-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410RM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28626 | PA      | $29398.19     | 0.01%             | 2036-08-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       723 | PA      | $725.55       | 0.00%             | 2038-03-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14451 | PA      | $14699.89     | 0.00%             | 2037-01-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4GC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33355 | PA      | $34016.42     | 0.01%             | 2037-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18238000 | PA      | $18319839.01  | 4.78%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       651 | PA      | $656.49       | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103073 | PA      | $105011.91    | 0.03%             | 2035-06-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-family Structured Pass-Through Certificate | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF164, Class AS | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3891966 | PA      | $3896323.80   | 1.02%             | 2034-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431373 | PA      | $441101.83    | 0.12%             | 2037-04-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3134 | PA      | $3220.58      | 0.00%             | 2038-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31347ASU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342440 | PA      | $351739.49    | 0.09%             | 2036-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1770 | PA      | $1804.83      | 0.00%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8092 | PA      | $8275.13      | 0.00%             | 2034-10-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1218 | PA      | $1247.29      | 0.00%             | 2032-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404ECQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16229 | PA      | $16565.51     | 0.00%             | 2034-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8227 | PA      | $8379.49      | 0.00%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2004 | PA      | $2042.35      | 0.00%             | 2032-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409HGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43579 | PA      | $44692.95     | 0.01%             | 2036-05-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401PEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255854 | PA      | $258618.09    | 0.07%             | 2033-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ETM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3504013 | PA      | $3622581.51   | 0.95%             | 2036-05-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410AH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2524 | PA      | $2594.14      | 0.00%             | 2036-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400FEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49865 | PA      | $50929.57     | 0.01%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $305.20       | 0.00%             | 2028-03-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244580 | PA      | $247468.17    | 0.06%             | 2037-10-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406QGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62475 | PA      | $63135.16     | 0.02%             | 2035-02-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22644 | PA      | $22990.19     | 0.01%             | 2034-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162020 | PA      | $165234.49    | 0.04%             | 2035-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22198 | PA      | $22495.58     | 0.01%             | 2035-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400Q2Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2083 | PA      | $2133.33      | 0.00%             | 2033-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JMVS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178093 | PA      | $182009.89    | 0.05%             | 2036-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390W7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16104 | PA      | $16516.20     | 0.00%             | 2032-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4HF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211834 | PA      | $218699.56    | 0.06%             | 2037-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345000 | PA      | $353711.05    | 0.09%             | 2037-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6085 | PA      | $6220.93      | 0.00%             | 2033-12-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38400 | PA      | $39111.68     | 0.01%             | 2033-12-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51153 | PA      | $52596.74     | 0.01%             | 2037-11-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1192 | PA      | $1211.76      | 0.00%             | 2035-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17081 | PA      | $17533.87     | 0.00%             | 2033-09-01      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402TLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16425 | PA      | $16580.06     | 0.00%             | 2033-08-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87062 | PA      | $87532.65     | 0.02%             | 2033-11-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197221 | PA      | $201150.68    | 0.05%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2393 | PA      | $2394.59      | 0.00%             | 2036-07-01      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F4H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1605 | PA      | $1645.38      | 0.00%             | 2037-03-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750970 | PA      | $775021.75    | 0.20%             | 2035-12-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409EJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127244 | PA      | $131000.10    | 0.03%             | 2036-04-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409VJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51656 | PA      | $52903.82     | 0.01%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10876 | PA      | $10998.49     | 0.00%             | 2034-10-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400XZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3312 | PA      | $3350.13      | 0.00%             | 2033-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5085 | PA      | $5147.05      | 0.00%             | 2037-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105495 | PA      | $106956.38    | 0.03%             | 2035-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3498556 | PA      | $3631374.57   | 0.95%             | 2037-09-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374GEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1555 | PA      | $1555.93      | 0.00%             | 2027-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103831 | PA      | $106670.66    | 0.03%             | 2036-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EMA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440413 | PA      | $456000.24    | 0.12%             | 2040-12-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25083 | PA      | $25474.80     | 0.01%             | 2035-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       723 | PA      | $747.67       | 0.00%             | 2036-09-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410AKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43614 | PA      | $44728.19     | 0.01%             | 2036-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6245924 | PA      | $6482882.03   | 1.69%             | 2046-07-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391TZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12541 | PA      | $12738.70     | 0.00%             | 2032-12-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AL78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6701 | PA      | $6816.12      | 0.00%             | 2033-09-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5064 | PA      | $5012.55      | 0.00%             | 2036-05-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405FTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1304 | PA      | $1338.38      | 0.00%             | 2034-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5660 | PA      | $5794.57      | 0.00%             | 2033-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3216 | PA      | $3189.83      | 0.00%             | 2035-09-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403FGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7065 | PA      | $7215.44      | 0.00%             | 2034-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268446 | PA      | $274116.61    | 0.07%             | 2034-08-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $112.90       | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22708 | PA      | $23238.97     | 0.01%             | 2033-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1463407 | PA      | $1495916.79   | 0.39%             | 2035-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13730 | PA      | $13746.88     | 0.00%             | 2042-08-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       598 | PA      | $608.40       | 0.00%             | 2038-05-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6540 | PA      | $6676.05      | 0.00%             | 2036-10-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405NLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1079 | PA      | $1092.30      | 0.00%             | 2034-09-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409GFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29594 | PA      | $30430.00     | 0.01%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3857 | PA      | $3935.31      | 0.00%             | 2034-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3685 | PA      | $3749.97      | 0.00%             | 2037-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4915, Class FE                                                     | CUSIP: 3137FNJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6616544 | PA      | $6535877.74   | 1.71%             | 2038-02-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18012 | PA      | $18515.85     | 0.00%             | 2036-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8277 | PA      | $8462.62      | 0.00%             | 2034-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51135 | PA      | $52581.96     | 0.01%             | 2035-11-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5669 | PA      | $5800.10      | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419GJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158758 | PA      | $163505.17    | 0.04%             | 2040-09-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2728 | PA      | $2776.91      | 0.00%             | 2034-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4277 | PA      | $4273.00      | 0.00%             | 2034-06-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409CD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67925 | PA      | $69777.95     | 0.02%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52711 | PA      | $53914.75     | 0.01%             | 2035-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283896 | PA      | $1321954.41   | 0.35%             | 2039-01-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105992 | PA      | $108246.86    | 0.03%             | 2035-08-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18909 | PA      | $19149.77     | 0.01%             | 2036-03-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15069 | PA      | $15275.62     | 0.00%             | 2034-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4848 | PA      | $4906.08      | 0.00%             | 2034-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4128321 | PA      | $4194300.26   | 1.10%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401Y3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71200 | PA      | $72968.50     | 0.02%             | 2033-09-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409X5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40742 | PA      | $40754.21     | 0.01%             | 2036-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413ECE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14618 | PA      | $15023.85     | 0.00%             | 2037-08-01      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5683 | PA      | $5694.56      | 0.00%             | 2044-10-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7169 | PA      | $7319.76      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240087 | PA      | $246567.19    | 0.06%             | 2036-04-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3263 | PA      | $3222.45      | 0.00%             | 2036-05-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385821 | PA      | $393778.85    | 0.10%             | 2034-08-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105944 | PA      | $107951.78    | 0.03%             | 2033-10-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22450 | PA      | $22832.49     | 0.01%             | 2033-11-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $243.92       | 0.00%             | 2028-07-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402A5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27620 | PA      | $28094.05     | 0.01%             | 2033-07-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2052 | PA      | $2047.20      | 0.00%             | 2044-04-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2240 | PA      | $2290.68      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413ADY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12158 | PA      | $12294.23     | 0.00%             | 2037-05-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SCZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468000 | PA      | $473689.64    | 0.12%             | 2036-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4825 | PA      | $4856.73      | 0.00%             | 2034-04-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412XPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       211 | PA      | $214.92       | 0.00%             | 2037-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20528 | PA      | $21055.15     | 0.01%             | 2033-12-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2135 | PA      | $2160.36      | 0.00%             | 2034-09-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205533 | PA      | $209368.70    | 0.05%             | 2036-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6116 | PA      | $6259.02      | 0.00%             | 2040-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402KR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2886 | PA      | $2958.08      | 0.00%             | 2033-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34674 | PA      | $34938.45     | 0.01%             | 2035-05-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389VAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18539 | PA      | $18865.37     | 0.00%             | 2032-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11756 | PA      | $12153.33     | 0.00%             | 2038-07-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3525 | PA      | $3596.22      | 0.00%             | 2034-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121104 | PA      | $123077.12    | 0.03%             | 2035-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406LMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23497 | PA      | $23898.33     | 0.01%             | 2035-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391LSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156281 | PA      | $157697.84    | 0.04%             | 2033-03-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4967 | PA      | $5034.93      | 0.00%             | 2033-01-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1996 | PA      | $2052.14      | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610861 | PA      | $622863.68    | 0.16%             | 2035-07-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14697 | PA      | $15243.30     | 0.00%             | 2036-03-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4524 | PA      | $4679.24      | 0.00%             | 2037-03-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60616 | PA      | $62196.70     | 0.02%             | 2037-01-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401G4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16026 | PA      | $16109.24     | 0.00%             | 2033-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86914 | PA      | $89099.11     | 0.02%             | 2037-12-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       777 | PA      | $781.46       | 0.00%             | 2039-09-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27075 | PA      | $28103.49     | 0.01%             | 2036-02-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5131 | PA      | $5234.61      | 0.00%             | 2034-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379925 | PA      | $387422.87    | 0.10%             | 2040-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30738 | PA      | $31632.27     | 0.01%             | 2037-07-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28500 | PA      | $28793.43     | 0.01%             | 2038-09-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ACY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72535 | PA      | $75091.19     | 0.02%             | 2035-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410B6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7279 | PA      | $7422.11      | 0.00%             | 2036-10-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406BV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100724 | PA      | $102096.39    | 0.03%             | 2035-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1717 | PA      | $1731.71      | 0.00%             | 2032-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144614 | PA      | $147005.85    | 0.04%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13609 | PA      | $13793.74     | 0.00%             | 2034-08-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6566 | PA      | $6589.71      | 0.00%             | 2033-09-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $349.47       | 0.00%             | 2034-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391USA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7651 | PA      | $7778.58      | 0.00%             | 2033-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58851 | PA      | $59592.29     | 0.02%             | 2035-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400SJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7567 | PA      | $7748.34      | 0.00%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $70.13        | 0.00%             | 2028-02-01      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412G2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10757 | PA      | $10720.40     | 0.00%             | 2034-07-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6833 | PA      | $7040.93      | 0.00%             | 2037-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31233 | PA      | $31960.01     | 0.01%             | 2036-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402XWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57593 | PA      | $58109.13     | 0.02%             | 2033-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8363 | PA      | $8555.80      | 0.00%             | 2035-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1370377 | PA      | $1410094.45   | 0.37%             | 2036-02-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2222 | PA      | $2285.01      | 0.00%             | 2034-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389CYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15480 | PA      | $15541.40     | 0.00%             | 2032-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401MUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13314 | PA      | $13567.55     | 0.00%             | 2033-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2046 | PA      | $2047.12      | 0.00%             | 2032-06-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374TYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6599 | PA      | $6619.42      | 0.00%             | 2029-08-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465136 | PA      | $471281.33    | 0.12%             | 2036-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3729 | PA      | $3823.33      | 0.00%             | 2034-03-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $34.28        | 0.00%             | 2029-08-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57978 | PA      | $58182.29     | 0.02%             | 2032-09-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25542 | PA      | $25816.83     | 0.01%             | 2033-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DAE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35267 | PA      | $35634.99     | 0.01%             | 2044-10-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4730, Class WF                                                     | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2784026 | PA      | $2748242.92   | 0.72%             | 2038-08-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95884 | PA      | $98840.20     | 0.03%             | 2035-05-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30169 | PA      | $30667.61     | 0.01%             | 2034-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405TZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38752 | PA      | $39066.65     | 0.01%             | 2034-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QSU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142886 | PA      | $144584.59    | 0.04%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4615 | PA      | $4701.70      | 0.00%             | 2035-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56388 | PA      | $57935.25     | 0.02%             | 2035-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225D3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71965 | PA      | $72497.87     | 0.02%             | 2036-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3127 | PA      | $3194.16      | 0.00%             | 2034-11-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5LE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402571 | PA      | $413713.30    | 0.11%             | 2036-11-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131711 | PA      | $135775.53    | 0.04%             | 2036-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388K2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29227 | PA      | $29689.61     | 0.01%             | 2031-09-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       685 | PA      | $699.27       | 0.00%             | 2037-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24496 | PA      | $25086.49     | 0.01%             | 2037-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92891 | PA      | $96048.82     | 0.03%             | 2036-06-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404JVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67259 | PA      | $68361.32     | 0.02%             | 2034-04-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12325 | PA      | $12256.48     | 0.00%             | 2037-08-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79722 | PA      | $80821.60     | 0.02%             | 2035-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385H5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26177 | PA      | $26754.57     | 0.01%             | 2032-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158854 | PA      | $163325.42    | 0.04%             | 2035-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 413, Class F23                                                     | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1529406 | PA      | $1527411.80   | 0.40%             | 2054-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404PHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       836 | PA      | $854.73       | 0.00%             | 2034-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402REK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1401 | PA      | $1441.22      | 0.00%             | 2035-05-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31376JNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3499 | PA      | $3592.08      | 0.00%             | 2036-10-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385YEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6721 | PA      | $6720.57      | 0.00%             | 2027-08-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47813 | PA      | $48861.64     | 0.01%             | 2035-11-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2129 | PA      | $2188.92      | 0.00%             | 2034-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167584 | PA      | $169628.90    | 0.04%             | 2044-03-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       677 | PA      | $688.48       | 0.00%             | 2034-09-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6617 | PA      | $6801.18      | 0.00%             | 2035-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S54S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278960 | PA      | $284325.94    | 0.07%             | 2038-10-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414NBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18204 | PA      | $18748.05     | 0.00%             | 2038-11-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405H3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       137 | PA      | $138.89       | 0.00%             | 2034-08-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16773 | PA      | $17143.40     | 0.00%             | 2033-10-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4839 | PA      | $4949.34      | 0.00%             | 2036-08-01      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WQX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47107 | PA      | $48279.36     | 0.01%             | 2033-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23451 | PA      | $23904.23     | 0.01%             | 2036-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4188 | PA      | $4293.18      | 0.00%             | 2036-03-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43536 | PA      | $44381.34     | 0.01%             | 2036-09-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98348 | PA      | $100650.87    | 0.03%             | 2034-09-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5996 | PA      | $6172.25      | 0.00%             | 2035-04-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28367 | PA      | $28879.99     | 0.01%             | 2035-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7583 | PA      | $7665.65      | 0.00%             | 2037-01-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33772 | PA      | $34506.25     | 0.01%             | 2035-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2989 | PA      | $3006.69      | 0.00%             | 2035-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40557 | PA      | $41631.38     | 0.01%             | 2039-02-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15005 | PA      | $15272.43     | 0.00%             | 2038-05-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       904 | PA      | $908.50       | 0.00%             | 2035-07-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411HM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4936 | PA      | $5085.84      | 0.00%             | 2037-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16934 | PA      | $17300.71     | 0.00%             | 2036-07-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390UMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1613 | PA      | $1654.78      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104574 | PA      | $106545.82    | 0.03%             | 2036-02-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JR6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124333 | PA      | $128547.11    | 0.03%             | 2037-06-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       879 | PA      | $887.98       | 0.00%             | 2033-10-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2658 | PA      | $2736.45      | 0.00%             | 2036-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414URK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164644 | PA      | $165702.90    | 0.04%             | 2035-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410VQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59176 | PA      | $59533.22     | 0.02%             | 2034-08-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84312 | PA      | $85814.56     | 0.02%             | 2033-10-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405X5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5755 | PA      | $5899.24      | 0.00%             | 2034-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6680 | PA      | $6789.06      | 0.00%             | 2033-04-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1067 | PA      | $1081.68      | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1443 | PA      | $1480.39      | 0.00%             | 2036-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4250 | PA      | $4271.85      | 0.00%             | 2033-10-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378FEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $912.05       | 0.00%             | 2027-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405LNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34007 | PA      | $34894.47     | 0.01%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31417VFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88043 | PA      | $89281.18     | 0.02%             | 2035-07-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404UQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2145 | PA      | $2181.27      | 0.00%             | 2034-06-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2981 | PA      | $3059.59      | 0.00%             | 2034-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99 | PA      | $98.79        | 0.00%             | 2030-08-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4091 | PA      | $4199.24      | 0.00%             | 2037-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12652 | PA      | $12643.42     | 0.00%             | 2027-05-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85370 | PA      | $86302.27     | 0.02%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28680 | PA      | $29237.30     | 0.01%             | 2036-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6799 | PA      | $6738.18      | 0.00%             | 2036-11-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50049 | PA      | $50677.87     | 0.01%             | 2035-09-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18659 | PA      | $18979.30     | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2248 | PA      | $2318.33      | 0.00%             | 2035-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666321 | PA      | $683818.77    | 0.18%             | 2035-09-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410L6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5066 | PA      | $5196.17      | 0.00%             | 2036-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403ATU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5042 | PA      | $5159.04      | 0.00%             | 2033-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402M4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41874 | PA      | $42582.62     | 0.01%             | 2033-08-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91543 | PA      | $90671.13     | 0.02%             | 2033-03-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388G7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20040 | PA      | $20283.54     | 0.01%             | 2032-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48440 | PA      | $48943.56     | 0.01%             | 2033-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9429 | PA      | $9631.97      | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QPQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541825 | PA      | $564450.35    | 0.15%             | 2037-01-01      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405708 | PA      | $418322.09    | 0.11%             | 2036-09-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF160, Class AS | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2847188 | PA      | $2858236.04   | 0.75%             | 2030-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402JXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1765 | PA      | $1795.01      | 0.00%             | 2033-08-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8263 | PA      | $8202.94      | 0.00%             | 2036-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1985 | PA      | $1966.53      | 0.00%             | 2027-07-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394766 | PA      | $405787.29    | 0.11%             | 2037-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406KA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       516 | PA      | $530.69       | 0.00%             | 2035-04-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4545 | PA      | $4627.94      | 0.00%             | 2032-04-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56007 | PA      | $57447.50     | 0.01%             | 2033-09-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9588 | PA      | $9662.74      | 0.00%             | 2035-12-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388RPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78842 | PA      | $79685.46     | 0.02%             | 2033-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175306 | PA      | $175853.20    | 0.05%             | 2041-01-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43967 | PA      | $45041.83     | 0.01%             | 2036-04-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5L51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1576760 | PA      | $1629738.53   | 0.43%             | 2037-06-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30251 | PA      | $30962.27     | 0.01%             | 2036-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311142 | PA      | $320339.64    | 0.08%             | 2036-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407LJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180817 | PA      | $184615.57    | 0.05%             | 2035-07-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5F66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207803 | PA      | $211813.41    | 0.06%             | 2037-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4673 | PA      | $4698.05      | 0.00%             | 2032-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44478 | PA      | $44935.26     | 0.01%             | 2038-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22582 | PA      | $22942.57     | 0.01%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916152 | PA      | $946358.95    | 0.25%             | 2036-01-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12973 | PA      | $13349.93     | 0.00%             | 2035-07-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419ACM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417282 | PA      | $426073.59    | 0.11%             | 2036-01-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107268 | PA      | $108588.45    | 0.03%             | 2044-10-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       286 | PA      | $292.80       | 0.00%             | 2037-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5667 | PA      | $5759.33      | 0.00%             | 2033-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24748 | PA      | $25059.21     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230865 | PA      | $231929.18    | 0.06%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139122 | PA      | $140751.30    | 0.04%             | 2034-02-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391QWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5818 | PA      | $5934.34      | 0.00%             | 2032-11-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6149 | PA      | $6324.92      | 0.00%             | 2036-07-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $35.09        | 0.00%             | 2035-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142550 | PA      | $145933.36    | 0.04%             | 2036-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403K4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131330 | PA      | $134776.01    | 0.04%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412ECK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253779 | PA      | $262275.79    | 0.07%             | 2036-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37184 | PA      | $38043.70     | 0.01%             | 2036-03-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418WMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185288 | PA      | $191318.28    | 0.05%             | 2040-08-01      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14099 | PA      | $14153.16     | 0.00%             | 2044-04-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125362 | PA      | $126511.51    | 0.03%             | 2035-10-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406G4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30747 | PA      | $31309.85     | 0.01%             | 2035-03-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15389 | PA      | $15562.43     | 0.00%             | 2035-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11890 | PA      | $11973.47     | 0.00%             | 2037-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5QV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342584 | PA      | $351964.42    | 0.09%             | 2037-09-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $302.07       | 0.00%             | 2036-04-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6097 | PA      | $5966.51      | 0.00%             | 2033-05-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410D4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6300 | PA      | $6421.16      | 0.00%             | 2036-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406J3L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       842 | PA      | $858.50       | 0.00%             | 2035-02-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19010 | PA      | $19120.63     | 0.00%             | 2034-10-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4393615 | PA      | $4556262.20   | 1.19%             | 2046-11-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12969 | PA      | $13143.55     | 0.00%             | 2034-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402TL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66813 | PA      | $67854.41     | 0.02%             | 2033-09-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2585 | PA      | $2612.76      | 0.00%             | 2034-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13466 | PA      | $13651.19     | 0.00%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QGQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1541625 | PA      | $1598403.18   | 0.42%             | 2044-01-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G7A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       589 | PA      | $602.62       | 0.00%             | 2033-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10676 | PA      | $10888.00     | 0.00%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181616 | PA      | $186359.98    | 0.05%             | 2037-09-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27148 | PA      | $27781.90     | 0.01%             | 2034-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406C6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45927 | PA      | $45360.51     | 0.01%             | 2034-12-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402YQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177877 | PA      | $182264.91    | 0.05%             | 2033-10-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2860 | PA      | $2954.98      | 0.00%             | 2037-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401GY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49603 | PA      | $50581.52     | 0.01%             | 2033-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237043 | PA      | $242077.07    | 0.06%             | 2037-11-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410WFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3082 | PA      | $3149.64      | 0.00%             | 2037-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11277 | PA      | $11397.26     | 0.00%             | 2034-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401BYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11857 | PA      | $12054.74     | 0.00%             | 2033-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3680 | PA      | $3753.58      | 0.00%             | 2033-03-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       446 | PA      | $453.11       | 0.00%             | 2035-05-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       232 | PA      | $237.39       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498704 | PA      | $515030.64    | 0.13%             | 2037-03-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730810 | PA      | $752867.27    | 0.20%             | 2039-09-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       483 | PA      | $485.24       | 0.00%             | 2033-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130981 | PA      | $133171.18    | 0.03%             | 2035-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404CAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21928 | PA      | $22502.44     | 0.01%             | 2034-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2215 | PA      | $2257.20      | 0.00%             | 2033-09-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513492 | PA      | $509215.77    | 0.13%             | 2037-08-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244299 | PA      | $248726.39    | 0.06%             | 2035-12-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26723 | PA      | $27468.17     | 0.01%             | 2035-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406XXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51228 | PA      | $52572.12     | 0.01%             | 2035-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401DL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $458.92       | 0.00%             | 2033-05-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411S6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86652 | PA      | $88337.91     | 0.02%             | 2037-03-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405QCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6304 | PA      | $6469.02      | 0.00%             | 2034-10-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11123 | PA      | $11347.95     | 0.00%             | 2038-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4418 | PA      | $4488.27      | 0.00%             | 2032-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10132 | PA      | $10337.90     | 0.00%             | 2033-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       603 | PA      | $601.08       | 0.00%             | 2026-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304714 | PA      | $312214.81    | 0.08%             | 2040-05-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402LLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25904 | PA      | $26433.96     | 0.01%             | 2033-08-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4107, Class KF                                                     | CUSIP: 3137AUFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1428729 | PA      | $1413865.27   | 0.37%             | 2038-06-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98701 | PA      | $101029.99    | 0.03%             | 2036-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295817 | PA      | $302086.60    | 0.08%             | 2035-09-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413H5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3499 | PA      | $3600.87      | 0.00%             | 2037-09-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44740 | PA      | $45055.06     | 0.01%             | 2033-07-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3788 | PA      | $3816.54      | 0.00%             | 2036-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374VCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $110.20       | 0.00%             | 2025-09-01      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10268 | PA      | $10626.90     | 0.00%             | 2036-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401HVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14938 | PA      | $15122.03     | 0.00%             | 2033-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31373KHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8852 | PA      | $8780.43      | 0.00%             | 2032-10-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ESAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100093 | PA      | $2164450.83   | 0.57%             | 2040-04-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DUD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       362 | PA      | $364.44       | 0.00%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410S6D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       835 | PA      | $853.01       | 0.00%             | 2036-05-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63703 | PA      | $65158.66     | 0.02%             | 2034-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401KMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18975 | PA      | $19379.57     | 0.01%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4989, Class FA                                                     | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4105572 | PA      | $4054294.80   | 1.06%             | 2040-08-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17574 | PA      | $17798.29     | 0.00%             | 2033-10-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       965 | PA      | $970.81       | 0.00%             | 2034-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300M4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398191 | PA      | $408729.79    | 0.11%             | 2035-09-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26902 | PA      | $27156.94     | 0.01%             | 2032-09-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401YYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29278 | PA      | $29964.06     | 0.01%             | 2033-08-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10850 | PA      | $11135.81     | 0.00%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175273 | PA      | $179636.04    | 0.05%             | 2036-02-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82 | PA      | $80.49        | 0.00%             | 2036-05-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11077 | PA      | $11353.99     | 0.00%             | 2034-06-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406F6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21867 | PA      | $22056.83     | 0.01%             | 2035-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413NKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23510 | PA      | $23467.72     | 0.01%             | 2037-08-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AJH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183108 | PA      | $186494.21    | 0.05%             | 2035-09-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4KY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151637 | PA      | $155876.16    | 0.04%             | 2037-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400YDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65732 | PA      | $68013.51     | 0.02%             | 2033-06-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1380 | PA      | $1387.39      | 0.00%             | 2029-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323381 | PA      | $324429.97    | 0.08%             | 2034-11-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2178 | PA      | $2226.17      | 0.00%             | 2038-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414CNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6247 | PA      | $6306.69      | 0.00%             | 2036-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404WAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22845 | PA      | $23445.28     | 0.01%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400WEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2209 | PA      | $2271.78      | 0.00%             | 2033-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413JFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1088.67      | 0.00%             | 2037-09-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20190 | PA      | $20597.08     | 0.01%             | 2034-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $260.37       | 0.00%             | 2027-07-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411AJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129443 | PA      | $133007.69    | 0.03%             | 2036-11-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1384683 | PA      | $1429571.67   | 0.37%             | 2034-11-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433510 | PA      | $445893.69    | 0.12%             | 2036-05-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31415MU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94472 | PA      | $97208.06     | 0.03%             | 2038-01-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29331 | PA      | $29812.66     | 0.01%             | 2037-02-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128LUFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278087 | PA      | $285280.69    | 0.07%             | 2036-11-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3473 | PA      | $3528.86      | 0.00%             | 2034-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386M2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3194 | PA      | $3214.65      | 0.00%             | 2030-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389HEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5250 | PA      | $5348.59      | 0.00%             | 2032-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Bonds                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -77 | NC      | $-50640.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402MNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       635 | PA      | $645.23       | 0.00%             | 2033-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25231 | PA      | $25222.97     | 0.01%             | 2040-06-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13547 | PA      | $13667.46     | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15694 | PA      | $15991.51     | 0.00%             | 2034-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31531 | PA      | $32015.78     | 0.01%             | 2035-10-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1879383 | PA      | $1870974.61   | 0.49%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EM2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938584 | PA      | $965774.98    | 0.25%             | 2038-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55705 | PA      | $56519.56     | 0.01%             | 2036-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411YPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       385 | PA      | $396.17       | 0.00%             | 2037-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       750 | PA      | $768.10       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401MHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3280 | PA      | $3364.02      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410UXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188724 | PA      | $195438.23    | 0.05%             | 2036-09-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20119 | PA      | $20601.91     | 0.01%             | 2033-01-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311672 | PA      | $318147.56    | 0.08%             | 2035-03-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276311 | PA      | $279177.02    | 0.07%             | 2034-05-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7141 | PA      | $7166.47      | 0.00%             | 2027-12-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62714 | PA      | $63351.68     | 0.02%             | 2034-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1821 | PA      | $1853.09      | 0.00%             | 2034-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JR3X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490889 | PA      | $499821.74    | 0.13%             | 2035-11-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785348 | PA      | $815242.65    | 0.21%             | 2041-10-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404ULF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129976 | PA      | $131523.50    | 0.03%             | 2034-05-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26870 | PA      | $27191.10     | 0.01%             | 2034-08-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $1998.19      | 0.00%             | 2036-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       663 | PA      | $668.71       | 0.00%             | 2034-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4895, Class GF                                                     | CUSIP: 3137FMQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4717913 | PA      | $4655332.44   | 1.22%             | 2043-11-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2545 | PA      | $2575.79      | 0.00%             | 2035-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31710 | PA      | $31971.20     | 0.01%             | 2044-10-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12978 | PA      | $13112.68     | 0.00%             | 2033-06-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413EE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173229 | PA      | $177038.10    | 0.05%             | 2037-09-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $869.48       | 0.00%             | 2034-02-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       803 | PA      | $823.55       | 0.00%             | 2034-10-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33103 | PA      | $33392.54     | 0.01%             | 2034-01-01      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932235 | PA      | $963251.95    | 0.25%             | 2037-01-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50314 | PA      | $51644.32     | 0.01%             | 2036-01-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65390 | PA      | $67191.63     | 0.02%             | 2035-11-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2024-105, Class FC                                                  | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2746669 | PA      | $2745648.46   | 0.72%             | 2055-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3207 | PA      | $3276.16      | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402JXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20799 | PA      | $21171.98     | 0.01%             | 2033-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181 | PA      | $183.44       | 0.00%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414SKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107223 | PA      | $109244.13    | 0.03%             | 2038-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405X5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21293 | PA      | $21764.80     | 0.01%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90974 | PA      | $92572.50     | 0.02%             | 2037-08-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $670.56       | 0.00%             | 2035-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5201 | PA      | $5302.47      | 0.00%             | 2034-10-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138YBWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63436 | PA      | $65131.64     | 0.02%             | 2045-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401G4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16300 | PA      | $16571.70     | 0.00%             | 2033-04-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2019-59, Class BF                                                   | CUSIP: 3136B6LC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4921463 | PA      | $4870051.43   | 1.27%             | 2049-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50480 | PA      | $50835.62     | 0.01%             | 2034-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87819 | PA      | $89552.45     | 0.02%             | 2034-07-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52671 | PA      | $54578.60     | 0.01%             | 2036-03-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12937 | PA      | $13196.75     | 0.00%             | 2034-09-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40186 | PA      | $40521.42     | 0.01%             | 2036-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22228 | PA      | $22370.95     | 0.01%             | 2032-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17369 | PA      | $17527.17     | 0.00%             | 2033-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566126 | PA      | $583502.65    | 0.15%             | 2034-10-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409VSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24838 | PA      | $25199.23     | 0.01%             | 2033-10-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403UYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4829 | PA      | $4902.80      | 0.00%             | 2033-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31806 | PA      | $32632.71     | 0.01%             | 2035-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405FTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30132 | PA      | $30924.26     | 0.01%             | 2034-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407HD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114335 | PA      | $116695.06    | 0.03%             | 2035-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8969 | PA      | $9094.14      | 0.00%             | 2036-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403JP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40116 | PA      | $41158.60     | 0.01%             | 2033-10-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4032 | PA      | $4137.88      | 0.00%             | 2035-12-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36625 | PA      | $36930.72     | 0.01%             | 2037-08-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93329 | PA      | $95894.99     | 0.03%             | 2036-03-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221197 | PA      | $228923.95    | 0.06%             | 2040-12-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412HRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25184 | PA      | $25112.30     | 0.01%             | 2037-12-01      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30493 | PA      | $31053.37     | 0.01%             | 2036-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4155 | PA      | $4195.92      | 0.00%             | 2035-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8134746 | PA      | $8408196.58   | 2.20%             | 2047-04-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5476 | PA      | $5468.95      | 0.00%             | 2040-11-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407VNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317127 | PA      | $324955.34    | 0.08%             | 2035-09-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5662 | PA      | $5734.21      | 0.00%             | 2033-02-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       538 | PA      | $556.70       | 0.00%             | 2036-04-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402VNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5991 | PA      | $6123.09      | 0.00%             | 2033-09-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247179 | PA      | $244970.84    | 0.06%             | 2033-08-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185494 | PA      | $190258.77    | 0.05%             | 2037-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2491 | PA      | $2545.53      | 0.00%             | 2035-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403YV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3237 | PA      | $3305.84      | 0.00%             | 2034-04-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10792 | PA      | $10969.32     | 0.00%             | 2035-03-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390PQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6390 | PA      | $6544.46      | 0.00%             | 2032-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20336 | PA      | $20258.21     | 0.01%             | 2035-04-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391UJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7937 | PA      | $8062.79      | 0.00%             | 2033-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111235 | PA      | $114485.25    | 0.03%             | 2036-06-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12030 | PA      | $12205.42     | 0.00%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QSAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901937 | PA      | $926358.58    | 0.24%             | 2036-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5285 | PA      | $5389.63      | 0.00%             | 2037-02-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391RYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15117 | PA      | $15155.48     | 0.00%             | 2031-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190550 | PA      | $192986.94    | 0.05%             | 2035-07-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10058 | PA      | $10208.61     | 0.00%             | 2034-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1523 | PA      | $1531.60      | 0.00%             | 2033-09-01      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38716 | PA      | $39672.22     | 0.01%             | 2036-09-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31415CML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89760 | PA      | $92365.01     | 0.02%             | 2048-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90507 | PA      | $92143.42     | 0.02%             | 2036-11-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407E6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $468.77       | 0.00%             | 2035-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4146 | PA      | $4227.00      | 0.00%             | 2034-08-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2069 | PA      | $2110.67      | 0.00%             | 2038-04-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457503 | PA      | $466165.59    | 0.12%             | 2035-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43645 | PA      | $45033.32     | 0.01%             | 2037-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13356 | PA      | $13541.91     | 0.00%             | 2033-06-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106439 | PA      | $107388.75    | 0.03%             | 2034-12-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5803 | PA      | $5895.18      | 0.00%             | 2034-08-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413JB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6493 | PA      | $6584.06      | 0.00%             | 2037-09-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       973 | PA      | $992.73       | 0.00%             | 2034-01-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10808 | PA      | $10990.23     | 0.00%             | 2034-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1324 | PA      | $1347.96      | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114191 | PA      | $116709.79    | 0.03%             | 2034-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154047 | PA      | $157092.20    | 0.04%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98211 | PA      | $100311.31    | 0.03%             | 2034-06-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2019-38, Class AF                                                   | CUSIP: 3136B5DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3222801 | PA      | $3194431.67   | 0.83%             | 2049-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96871 | PA      | $99791.45     | 0.03%             | 2035-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136557 | PA      | $138187.50    | 0.04%             | 2033-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36079 | PA      | $36843.45     | 0.01%             | 2035-11-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1785 | PA      | $1799.67      | 0.00%             | 2034-10-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209907 | PA      | $213412.04    | 0.06%             | 2035-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403GCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2462 | PA      | $2511.01      | 0.00%             | 2033-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407JWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10884 | PA      | $11004.58     | 0.00%             | 2035-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35253 | PA      | $35919.48     | 0.01%             | 2035-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LFK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139982 | PA      | $142565.55    | 0.04%             | 2038-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345393 | PA      | $356948.41    | 0.09%             | 2036-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338765 | PA      | $346499.04    | 0.09%             | 2035-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386C3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47715 | PA      | $47819.51     | 0.01%             | 2040-09-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22094 | PA      | $22269.40     | 0.01%             | 2044-07-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4608 | PA      | $4666.64      | 0.00%             | 2033-10-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402ENR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19067 | PA      | $19595.47     | 0.01%             | 2033-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3888 | PA      | $3964.60      | 0.00%             | 2036-07-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6772 | PA      | $6826.22      | 0.00%             | 2034-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102686 | PA      | $104745.74    | 0.03%             | 2033-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26355 | PA      | $26080.37     | 0.01%             | 2033-08-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78365 | PA      | $80838.38     | 0.02%             | 2033-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3830 | PA      | $3875.59      | 0.00%             | 2033-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297626 | PA      | $304360.84    | 0.08%             | 2037-12-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34091 | PA      | $34792.70     | 0.01%             | 2035-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411UN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4870 | PA      | $4926.92      | 0.00%             | 2037-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403GWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10206 | PA      | $10380.13     | 0.00%             | 2033-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391JKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6540 | PA      | $6700.25      | 0.00%             | 2032-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15263 | PA      | $15454.23     | 0.00%             | 2035-04-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13566 | PA      | $13683.48     | 0.00%             | 2033-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403GCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6427 | PA      | $6576.16      | 0.00%             | 2033-08-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64330 | PA      | $65536.87     | 0.02%             | 2039-11-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4325 | PA      | $4480.03      | 0.00%             | 2034-04-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21254 | PA      | $21807.58     | 0.01%             | 2034-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4926 | PA      | $5066.45      | 0.00%             | 2034-06-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140J5FX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209903 | PA      | $216172.24    | 0.06%             | 2037-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391BC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5195 | PA      | $5291.40      | 0.00%             | 2032-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 15 Year                                                                    | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413MFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204794 | PA      | $207812.93    | 0.05%             | 2037-06-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Institutional Fiduciary Trust - Money Market Portfolio  | Institutional Fiduciary Trust - Money Market Portfolio                           | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  14922440 | NS      | $14922439.59  | 3.90%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9811 | PA      | $10004.28     | 0.00%             | 2035-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401PFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53321 | PA      | $53344.97     | 0.01%             | 2033-04-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18291 | PA      | $18714.62     | 0.00%             | 2033-08-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30175 | PA      | $30742.16     | 0.01%             | 2034-01-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3434 | PA      | $3538.32      | 0.00%             | 2037-08-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQ5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522375 | PA      | $538163.36    | 0.14%             | 2042-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149 | PA      | $153.84       | 0.00%             | 2034-04-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       174 | PA      | $176.97       | 0.00%             | 2032-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2219 | PA      | $2243.12      | 0.00%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329055 | PA      | $328887.92    | 0.09%             | 2037-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28325 | PA      | $28463.14     | 0.01%             | 2036-11-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402VZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11723 | PA      | $11868.22     | 0.00%             | 2033-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1413 | PA      | $1436.84      | 0.00%             | 2033-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9584 | PA      | $9605.64      | 0.00%             | 2033-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577564 | PA      | $592009.13    | 0.15%             | 2035-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ENA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217558 | PA      | $220287.85    | 0.06%             | 2042-01-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25584 | PA      | $25797.05     | 0.01%             | 2034-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5375 | PA      | $5448.42      | 0.00%             | 2033-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391XEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88138 | PA      | $90146.42     | 0.02%             | 2032-08-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108206 | PA      | $110568.69    | 0.03%             | 2034-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1624 | PA      | $1621.05      | 0.00%             | 2038-01-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6176 | PA      | $6300.20      | 0.00%             | 2035-08-01      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404B2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4034 | PA      | $4062.54      | 0.00%             | 2034-01-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418NAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8691 | PA      | $8917.55      | 0.00%             | 2040-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5693 | PA      | $5666.61      | 0.00%             | 2038-06-01      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79705 | PA      | $82062.77     | 0.02%             | 2034-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400H5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59996 | PA      | $61283.83     | 0.02%             | 2033-03-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5293 | PA      | $5409.27      | 0.00%             | 2035-10-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575464 | PA      | $591074.15    | 0.15%             | 2038-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404RUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12290 | PA      | $12490.72     | 0.00%             | 2034-03-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20022656.20  | 5.23%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       828 | PA      | $823.25       | 0.00%             | 2027-12-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029515 | PA      | $2098611.54   | 0.55%             | 2042-07-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410PMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2527 | PA      | $2603.96      | 0.00%             | 2036-08-01      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2664 | PA      | $2710.31      | 0.00%             | 2034-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39517 | PA      | $40664.96     | 0.01%             | 2036-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402BSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1615 | PA      | $1656.44      | 0.00%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137876 | PA      | $140768.98    | 0.04%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88707 | PA      | $89738.21     | 0.02%             | 2034-12-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3503 | PA      | $3588.68      | 0.00%             | 2035-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401KSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55107 | PA      | $56372.33     | 0.01%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6510 | PA      | $6654.68      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2859 | PA      | $2881.66      | 0.00%             | 2034-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ARR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10971 | PA      | $11222.76     | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13381 | PA      | $13640.10     | 0.00%             | 2035-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3183 | PA      | $3250.56      | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5XQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502961 | PA      | $521612.42    | 0.14%             | 2037-06-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418UHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60907 | PA      | $62625.41     | 0.02%             | 2040-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41046 | PA      | $42301.21     | 0.01%             | 2036-10-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DLD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12138 | PA      | $12154.79     | 0.00%             | 2035-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60643 | PA      | $60942.18     | 0.02%             | 2033-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31361ML80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215 | PA      | $213.72       | 0.00%             | 2026-09-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3318176 | PA      | $3428279.50   | 0.90%             | 2047-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35312 | PA      | $35904.80     | 0.01%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8732 | PA      | $8763.97      | 0.00%             | 2040-11-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55850 | PA      | $57253.64     | 0.01%             | 2036-01-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399989 | PA      | $406631.53    | 0.11%             | 2037-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400QZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1541 | PA      | $1557.81      | 0.00%             | 2033-04-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431864 | PA      | $436163.88    | 0.11%             | 2035-02-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52214 | PA      | $54047.61     | 0.01%             | 2035-02-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15362 | PA      | $15822.63     | 0.00%             | 2035-06-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406XTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191750 | PA      | $199205.89    | 0.05%             | 2035-06-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       733 | PA      | $724.45       | 0.00%             | 2036-05-01      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402MPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2347 | PA      | $2404.98      | 0.00%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30455 | PA      | $30690.25     | 0.01%             | 2036-05-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393695 | PA      | $405211.95    | 0.11%             | 2036-07-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401L4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1512 | PA      | $1542.18      | 0.00%             | 2033-05-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $26.88        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89916 | PA      | $92129.57     | 0.02%             | 2037-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13970089 | PA      | $14559995.10  | 3.80%             | 2044-04-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRGX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1449457 | PA      | $1494413.32   | 0.39%             | 2035-07-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1949681 | PA      | $2023233.39   | 0.53%             | 2045-09-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61874 | PA      | $62602.62     | 0.02%             | 2036-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705138 | PA      | $724716.15    | 0.19%             | 2037-08-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3134 | PA      | $3178.92      | 0.00%             | 2036-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404H4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3961 | PA      | $4040.30      | 0.00%             | 2034-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410G6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186190 | PA      | $189729.99    | 0.05%             | 2036-09-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       737 | PA      | $761.60       | 0.00%             | 2036-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       818 | PA      | $846.83       | 0.00%             | 2035-05-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5919 | PA      | $6018.95      | 0.00%             | 2035-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407QG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15387 | PA      | $15777.71     | 0.00%             | 2035-09-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4590 | PA      | $4690.20      | 0.00%             | 2037-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3380015 | PA      | $3519757.95   | 0.92%             | 2046-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11401723 | PA      | $11368341.22  | 2.97%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2374 | PA      | $2381.65      | 0.00%             | 2032-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71919 | PA      | $72636.35     | 0.02%             | 2035-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70823 | PA      | $73393.42     | 0.02%             | 2035-07-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390K5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70443 | PA      | $71071.05     | 0.02%             | 2032-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1549 | PA      | $1589.26      | 0.00%             | 2035-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4158 | PA      | $4235.91      | 0.00%             | 2035-12-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2025-55, Class FG                                                   | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985796 | PA      | $1985132.74   | 0.52%             | 2055-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4197, Class KF                                                     | CUSIP: 3137B1TL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1271787 | PA      | $1226454.66   | 0.32%             | 2037-09-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4204755 | PA      | $4344690.74   | 1.13%             | 2047-06-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36693 | PA      | $37395.49     | 0.01%             | 2035-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5297 | PA      | $5450.34      | 0.00%             | 2035-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7938 | PA      | $8023.97      | 0.00%             | 2036-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375HEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       746 | PA      | $744.81       | 0.00%             | 2026-02-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3529 | PA      | $3564.48      | 0.00%             | 2035-06-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402JBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5364 | PA      | $5301.86      | 0.00%             | 2033-08-01      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389PVL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90981 | PA      | $91462.04     | 0.02%             | 2032-03-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       475 | PA      | $477.35       | 0.00%             | 2039-09-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137731 | PA      | $140784.97    | 0.04%             | 2036-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       369 | PA      | $373.29       | 0.00%             | 2034-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400KQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5431 | PA      | $5480.93      | 0.00%             | 2033-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3628 | PA      | $3667.41      | 0.00%             | 2032-12-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5651 | PA      | $5744.66      | 0.00%             | 2036-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391FFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5249 | PA      | $5240.27      | 0.00%             | 2027-08-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404QF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3460 | PA      | $3529.01      | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99744 | PA      | $102117.01    | 0.03%             | 2036-02-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148769 | PA      | $152267.18    | 0.04%             | 2037-03-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2023 | PA      | $1998.48      | 0.00%             | 2027-11-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403QQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1261 | PA      | $1294.81      | 0.00%             | 2034-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1978 | PA      | $2011.21      | 0.00%             | 2035-03-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140FCAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    785329 | PA      | $813171.76    | 0.21%             | 2046-03-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404KRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17854 | PA      | $18114.97     | 0.00%             | 2034-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1214 | PA      | $1254.17      | 0.00%             | 2035-05-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33450 | PA      | $34117.45     | 0.01%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15948 | PA      | $16172.45     | 0.00%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391MCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16864 | PA      | $17027.88     | 0.00%             | 2033-11-01      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404EAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18488 | PA      | $18838.83     | 0.00%             | 2034-02-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21007 | PA      | $21338.21     | 0.01%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2021-44, Class FA                                                   | CUSIP: 3136BHC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3969019 | PA      | $3877405.51   | 1.01%             | 2045-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223555 | PA      | $225599.21    | 0.06%             | 2036-04-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157933 | PA      | $159768.34    | 0.04%             | 2034-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4496 | PA      | $4573.71      | 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        |     25010 | PA      | $25160.45     | 0.01%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ANG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8084 | PA      | $8217.94      | 0.00%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179210 | PA      | $182458.81    | 0.05%             | 2036-12-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364976 | PA      | $376501.16    | 0.10%             | 2037-02-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390RZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       702 | PA      | $718.56       | 0.00%             | 2032-11-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1006 | PA      | $1040.92      | 0.00%             | 2033-10-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406H3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3547 | PA      | $3605.29      | 0.00%             | 2034-12-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391T4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3011 | PA      | $3067.58      | 0.00%             | 2032-11-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689919 | PA      | $711825.31    | 0.19%             | 2034-12-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29123 | PA      | $29231.05     | 0.01%             | 2039-09-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98373 | PA      | $99292.84     | 0.03%             | 2044-04-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43458 | PA      | $44507.70     | 0.01%             | 2034-11-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222539 | PA      | $226440.39    | 0.06%             | 2034-10-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407KKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146058 | PA      | $149143.64    | 0.04%             | 2035-09-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8919 | PA      | $9168.59      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-02

**Name of Applicant:** Franklin Investors Securities Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer