# EDGAR Filing Document

**Accession Number:** 0000837274
**File Stem:** 0001752724-23-033172
**Filing Date:** 2023-2
**Character Count:** 339289
**Document Hash:** bfa81ce1720e6e51cbaa5c684841f09d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-033172.hdr.sgml**: 20230222

**ACCESSION NUMBER**: 0001752724-23-033172

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230222

**DATE AS OF CHANGE**: 20230222

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FRANKLIN TEMPLETON VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000837274
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05583
- **FILM NUMBER:** 23651838

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $593430838.29

**Total Liabilities:** $506279.43

**Net Assets:** $592924558.86

**Cash Not Reported:** $60247.50

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -319.04000000 | **1-Year:** -8528.27000000 | **5-Year:** -18461.42000000 | **10-Year:** -57830.95000000 | **30-Year:** -186216.71000000

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

- **3-Month:** 0.00000000 | **1-Year:** -811.21000000 | **5-Year:** -917.53000000 | **10-Year:** -222.85000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020103 | -1.00%               | 3.22%                | -0.68%               |
| Class ID C000020102 | -0.97%               | 3.24%                | -0.67%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2561822.03             | $-4281142.02                               |
| Month 2  | $16976.92                | $17430211.36                               |
| Month 3  | $0.00                    | $-5120567.67                               |

### Schedule of Portfolio Investments

| Name                                                  | Title                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13973 | PA      | $14590.52     | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31384WM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3233 | PA      | $3329.36      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31370LLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2417 | PA      | $2400.08      | 0.00%             | 2023-08-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296QDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83987 | PA      | $87164.14     | 0.01%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36210EKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19649 | PA      | $19936.78     | 0.00%             | 2028-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297DT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81791 | PA      | $83273.99     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213HL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4869 | PA      | $5010.46      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198QTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55327 | PA      | $53334.58     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404RUK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13206 | PA      | $13427.49     | 0.00%             | 2034-03-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394303 | PA      | $402817.73    | 0.07%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31378QHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3100 | PA      | $3042.02      | 0.00%             | 2037-12-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3530 | PA      | $3466.77      | 0.00%             | 2034-06-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293TF77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       850 | PA      | $873.26       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262763 | PA      | $277725.98    | 0.05%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402Q5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1501 | PA      | $1516.90      | 0.00%             | 2035-02-01      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21110594 | PA      | $17946814.65  | 3.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36224WSJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        42 | PA      | $42.21        | 0.00%             | 2023-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6394667 | PA      | $5731352.19   | 0.97%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 312933T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177898 | PA      | $180607.99    | 0.03%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204WWF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109 | PA      | $111.87       | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2826 | PA      | $2947.52      | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1429 | PA      | $1447.87      | 0.00%             | 2040-06-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31406TTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38517 | PA      | $38698.67     | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36212S5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12834 | PA      | $12841.37     | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3230 | PA      | $3268.47      | 0.00%             | 2027-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203S3U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        35 | PA      | $34.82        | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31386XRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19785 | PA      | $19502.08     | 0.00%             | 2028-12-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14655 | PA      | $14243.40     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31415QMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155219 | PA      | $158466.67    | 0.03%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371EWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       293 | PA      | $300.21       | 0.00%             | 2024-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204RRN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       140 | PA      | $144.08       | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23221 | PA      | $22799.90     | 0.00%             | 2033-08-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31406P3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574213 | PA      | $593967.20    | 0.10%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KNB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6780 | PA      | $6936.92      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36224NNA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65 | PA      | $64.47        | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36210VUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5840 | PA      | $5994.67      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31407JDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46358 | PA      | $49340.64     | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403NKS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6885 | PA      | $6608.37      | 0.00%             | 2033-09-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406NYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26996 | PA      | $26360.79     | 0.00%             | 2035-02-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2257 | PA      | $2209.53      | 0.00%             | 2033-05-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       757 | PA      | $778.65       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354913 | PA      | $343249.86    | 0.06%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12893 | PA      | $13445.88     | 0.00%             | 2028-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371EXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       886 | PA      | $888.94       | 0.00%             | 2024-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36291AUM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24249 | PA      | $24903.71     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4306918 | PA      | $3788999.13   | 0.64%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36212J3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24235 | PA      | $24591.37     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36292LGX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15619 | PA      | $16048.20     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202E7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47533 | PA      | $50226.98     | 0.01%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3266 | PA      | $3167.11      | 0.00%             | 2041-02-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31335GC45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2661 | PA      | $2731.98      | 0.00%             | 2024-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378982 | PA      | $366533.04    | 0.06%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204HCW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       389 | PA      | $400.54       | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3398 | PA      | $3329.35      | 0.00%             | 2035-04-01      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3140QEBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8013837 | PA      | $7080319.63   | 1.19%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1902029 | PA      | $1900092.28   | 0.32%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AM2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260458 | PA      | $258307.05    | 0.04%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200DHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17989 | PA      | $18259.23     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31376J4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42577 | PA      | $43708.91     | 0.01%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56477 | PA      | $58820.66     | 0.01%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400APR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3534 | PA      | $3447.10      | 0.00%             | 2033-02-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7335 | PA      | $7314.12      | 0.00%             | 2033-11-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31405SDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42051 | PA      | $42982.53     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3810 | PA      | $3795.15      | 0.00%             | 2027-09-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36208WGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1909 | PA      | $1907.60      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36210GEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58426 | PA      | $60132.47     | 0.01%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202BHY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        59 | PA      | $58.71        | 0.00%             | 2023-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203AUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $2.47         | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17733 | PA      | $18463.48     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36189EKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46830 | PA      | $45514.57     | 0.01%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1404 | PA      | $1418.70      | 0.00%             | 2035-05-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203U2N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        84 | PA      | $86.90        | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248455 | PA      | $257236.65    | 0.04%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14318 | PA      | $13926.38     | 0.00%             | 2035-06-01      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182WCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544638 | PA      | $525202.42    | 0.09%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201FX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20205 | PA      | $20795.54     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248538 | PA      | $250119.77    | 0.04%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433256 | PA      | $419029.27    | 0.07%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CSK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1766 | PA      | $1794.54      | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36290RQP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4659 | PA      | $4816.56      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2229718 | PA      | $2102858.98   | 0.35%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203KH23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       563 | PA      | $579.81       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 313615UR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       293 | PA      | $300.58       | 0.00%             | 2024-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9559838 | PA      | $8128066.38   | 1.37%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2587 | PA      | $2528.99      | 0.00%             | 2033-09-01      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917564 | PA      | $920724.35    | 0.16%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720719 | PA      | $719984.43    | 0.12%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184QAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39627 | PA      | $38527.19     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203V5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       414 | PA      | $413.71       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128K7ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48226 | PA      | $49076.22     | 0.01%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6172717 | PA      | $5618663.03   | 0.95%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       725 | PA      | $738.70       | 0.00%             | 2036-04-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 3622AATC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7847728 | PA      | $7960903.88   | 1.34%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292GK54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5589 | PA      | $5594.62      | 0.00%             | 2024-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54 | PA      | $55.37        | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36294SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27940 | PA      | $29108.07     | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11666363 | PA      | $9791570.17   | 1.65%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36212KXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107205 | PA      | $109020.38    | 0.02%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385HWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3864 | PA      | $3802.90      | 0.00%             | 2040-12-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5466950 | PA      | $5156002.68   | 0.87%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296YDR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81065 | PA      | $78485.87     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2349904 | PA      | $2216198.21   | 0.37%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31400TX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28386 | PA      | $28780.42     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39917 | PA      | $40769.84     | 0.01%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384VQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       342 | PA      | $338.34       | 0.00%             | 2024-12-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31400RVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26924 | PA      | $26870.51     | 0.00%             | 2026-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 15 Year                                      | CUSIP: 3140QE5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5089208 | PA      | $4560013.79   | 0.77%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3882 | PA      | $3878.85      | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3133KKY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4913093 | PA      | $4020652.14   | 0.68%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204C5Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       162 | PA      | $166.40       | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       991 | PA      | $1010.02      | 0.00%             | 2034-09-01      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18583 | PA      | $18223.45     | 0.00%             | 2038-03-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16667484 | PA      | $15621841.43  | 2.63%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34909 | PA      | $33928.46     | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27512 | PA      | $26188.72     | 0.00%             | 2042-08-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204DDZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       872 | PA      | $870.98       | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1905233 | PA      | $1799562.79   | 0.30%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36297FTW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205342 | PA      | $204217.20    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2014 | PA      | $1996.10      | 0.00%             | 2036-12-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $44.47        | 0.00%             | 2036-11-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296WUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3085 | PA      | $3117.85      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200ME74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16823 | PA      | $17269.54     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204EEK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       185 | PA      | $189.62       | 0.00%             | 2023-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QFD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17761 | PA      | $17262.08     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36205SXM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5932 | PA      | $5929.40      | 0.00%             | 2024-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31373TVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4597 | PA      | $4580.84      | 0.00%             | 2028-10-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6545 | PA      | $6312.83      | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31361ELT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1362 | PA      | $1350.44      | 0.00%             | 2026-06-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465730 | PA      | $465393.44    | 0.08%             | 2034-08-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374GXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1904 | PA      | $1877.75      | 0.00%             | 2025-11-01      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385H5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7236 | PA      | $7053.57      | 0.00%             | 2030-12-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413FKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       340 | PA      | $336.25       | 0.00%             | 2037-08-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181432 | PA      | $188058.08    | 0.03%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204DK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       355 | PA      | $365.84       | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87760 | PA      | $91395.99     | 0.02%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9383 | PA      | $9917.71      | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1007060 | PA      | $1025170.66   | 0.17%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371EYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $118.92       | 0.00%             | 2024-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184FN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5314 | PA      | $5104.07      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184YG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74302 | PA      | $71627.14     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 312945RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1016597 | PA      | $978338.73    | 0.17%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36177PER2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198684 | PA      | $182082.27    | 0.03%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3107 | PA      | $3073.50      | 0.00%             | 2033-06-01      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36294WXU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117611 | PA      | $116422.21    | 0.02%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7402 | PA      | $7270.98      | 0.00%             | 2031-09-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384V6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       482 | PA      | $475.32       | 0.00%             | 2040-04-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202BTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        28 | PA      | $28.26        | 0.00%             | 2023-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297ATW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17744 | PA      | $18220.94     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296RZY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9175 | PA      | $9419.19      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7975 | PA      | $7822.24      | 0.00%             | 2033-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1253 | PA      | $1226.74      | 0.00%             | 2033-11-01      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138ELZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757091 | PA      | $765431.17    | 0.13%             | 2038-07-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79462 | PA      | $76993.53     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183JZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18529 | PA      | $18008.26     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201TJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140001 | PA      | $145106.79    | 0.02%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 312942FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185282 | PA      | $178308.38    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138AJKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906660 | PA      | $871563.46    | 0.15%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374WF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.76         | 0.00%             | 2025-07-01      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A9PN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38410 | PA      | $39947.05     | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138A3S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59434 | PA      | $57132.58     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36224XSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       353 | PA      | $352.89       | 0.00%             | 2023-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36207UDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       312 | PA      | $311.75       | 0.00%             | 2026-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31414CNT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    978172 | PA      | $987786.34    | 0.17%             | 2035-09-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402QUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3063 | PA      | $3020.31      | 0.00%             | 2034-06-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620APKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109767 | PA      | $108657.41    | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132J9GM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151980 | PA      | $138601.84    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36294VHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112548 | PA      | $116344.20    | 0.02%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17429899 | PA      | $15592900.60  | 2.63%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204CQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101 | PA      | $103.68       | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAJ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11733 | PA      | $11955.84     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31386MVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23145 | PA      | $22830.55     | 0.00%             | 2027-10-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36212NA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2476 | PA      | $2564.10      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41798 | PA      | $41316.49     | 0.01%             | 2035-09-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403DRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       393 | PA      | $388.88       | 0.00%             | 2036-08-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307123 | PA      | $306810.52    | 0.05%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87656 | PA      | $82772.33     | 0.01%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                              | Reliance Industries Ltd.                           | CUSIP: 759470AT4<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   4593750 | PA      | $4411747.00   | 0.74%             | 2026-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204VBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       145 | PA      | $149.17       | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374NB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17396 | PA      | $17074.92     | 0.00%             | 2025-08-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231627 | PA      | $230356.53    | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36291AVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51556 | PA      | $52302.48     | 0.01%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31372RJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29 | PA      | $29.57        | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31414FXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $556.69       | 0.00%             | 2038-09-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413RZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2762 | PA      | $2786.64      | 0.00%             | 2037-10-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401DVU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4573 | PA      | $4475.76      | 0.00%             | 2033-04-01      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204BDU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        66 | PA      | $67.89        | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States International Development Finance Corp. | U.S. International Development Finance Corp. (The) | CUSIP: 6903536M4<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | UST               | US        |   2750000 | PA      | $2704308.63   | 0.46%             | 2024-03-20      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36205BXN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157 | PA      | $157.79       | 0.00%             | 2024-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384WMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       471 | PA      | $459.19       | 0.00%             | 2031-05-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295FGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20851 | PA      | $21412.36     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State of Israel                                       | Israel Government Bond                             | CUSIP: 46513EFF4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | USGA              | IL        |  12000000 | PA      | $12055523.76  | 2.03%             | 2023-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406BJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2757 | PA      | $2695.40      | 0.00%             | 2034-12-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371KEW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $77.21        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13171 | PA      | $13649.47     | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6657656 | PA      | $5651627.73   | 0.95%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16979 | PA      | $16620.90     | 0.00%             | 2035-11-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371FAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $787.23       | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3617AACV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37798 | PA      | $36736.02     | 0.01%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAMB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60386 | PA      | $59649.20     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201FTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6287 | PA      | $6469.58      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138LADF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3784146.20   | 0.64%             | 2027-07-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296KQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6498 | PA      | $6680.99      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10597 | PA      | $10446.87     | 0.00%             | 2037-08-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203TDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       846 | PA      | $870.75       | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402CUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1227 | PA      | $1201.03      | 0.00%             | 2033-07-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201J7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12289 | PA      | $12631.65     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418BSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9497391 | PA      | $8870620.75   | 1.50%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31402YJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7200 | PA      | $7226.57      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201P3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15396 | PA      | $15995.69     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201DRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9706 | PA      | $9849.16      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77028 | PA      | $81684.24     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8308531 | PA      | $7973511.78   | 1.34%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12841 | PA      | $12555.32     | 0.00%             | 2037-02-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25819 | PA      | $25093.80     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KMZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7351 | PA      | $7538.33      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                              | Reliance Industries Ltd.                           | CUSIP: 759470AV9<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2578947 | PA      | $2454680.80   | 0.41%             | 2026-01-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292GV45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8268 | PA      | $8566.04      | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88254 | PA      | $89838.15     | 0.02%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31376PMT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1460 | PA      | $1436.46      | 0.00%             | 2026-07-01      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294784 | PA      | $1284772.90   | 0.22%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201QRF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14141 | PA      | $14349.83     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391UVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20204 | PA      | $19766.83     | 0.00%             | 2033-01-01      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ED55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44730 | PA      | $46584.46     | 0.01%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KKY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14583 | PA      | $15467.89     | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204L2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1741 | PA      | $1739.29      | 0.00%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 313615TW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $113.94       | 0.00%             | 2024-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31388KXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5377 | PA      | $5296.36      | 0.00%             | 2031-11-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103052 | PA      | $99891.43     | 0.02%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31369HMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $296.51       | 0.00%             | 2023-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203KKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4334 | PA      | $4449.11      | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204GKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       555 | PA      | $569.79       | 0.00%             | 2024-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A9TV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41454 | PA      | $43133.01     | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31371LLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2265 | PA      | $2224.23      | 0.00%             | 2033-12-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403GMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       946 | PA      | $955.38       | 0.00%             | 2033-08-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 313988BB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2153 | PA      | $2210.90      | 0.00%             | 2024-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204FSC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144 | PA      | $148.06       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28669 | PA      | $30049.58     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31390UER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21138 | PA      | $20337.44     | 0.00%             | 2032-07-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36181CBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409392 | PA      | $395233.12    | 0.07%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36224WYA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       496 | PA      | $495.07       | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33065160 | PA      | $28754975.22  | 4.85%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $89.91        | 0.00%             | 2027-08-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124542 | PA      | $123744.11    | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184CSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185205 | PA      | $178576.37    | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183X2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12155 | PA      | $11763.15     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411EP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2274.66      | 0.00%             | 2037-01-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NT72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42916 | PA      | $44459.25     | 0.01%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57551 | PA      | $55763.14     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1941 | PA      | $1939.02      | 0.00%             | 2031-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404MN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9749 | PA      | $9536.29      | 0.00%             | 2034-03-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138ELMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4747946 | PA      | $4840101.91   | 0.82%             | 2037-09-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4490069 | PA      | $4184336.66   | 0.71%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59444 | PA      | $60898.46     | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5243 | PA      | $5374.31      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403LQJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3622 | PA      | $3572.12      | 0.00%             | 2033-10-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31373QMZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $93.54        | 0.00%             | 2024-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7581383 | PA      | $6195938.75   | 1.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2690 | PA      | $2676.72      | 0.00%             | 2032-01-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6038 | PA      | $5881.98      | 0.00%             | 2033-05-01      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15882 | PA      | $16353.19     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QPK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13937 | PA      | $13546.02     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27600 | PA      | $29087.95     | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374TZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       811 | PA      | $797.78       | 0.00%             | 2029-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1529 | PA      | $1511.73      | 0.00%             | 2034-08-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7390 | PA      | $7646.12      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43745 | PA      | $45562.22     | 0.01%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213EMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1840 | PA      | $1898.51      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARE56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126274 | PA      | $125465.59    | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200NZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6541 | PA      | $6780.50      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1463 | PA      | $1446.51      | 0.00%             | 2036-08-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31405PAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       407 | PA      | $399.23       | 0.00%             | 2034-10-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138MRDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55800 | PA      | $50802.39     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404GHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5468 | PA      | $5230.79      | 0.00%             | 2034-02-01      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200HF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26104 | PA      | $26488.62     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31414BEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29297 | PA      | $28666.90     | 0.00%             | 2038-03-01      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295R4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000148 | PA      | $994665.70    | 0.17%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400QSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8761 | PA      | $8599.86      | 0.00%             | 2033-03-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                          | BNP Paribas Securities Corp.                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | RA               | CORP              | US        |   2736296 | PA      | $2736296.35   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    772891 | PA      | $747514.42    | 0.13%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203XGH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360 | PA      | $359.61       | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31335GC37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       358 | PA      | $364.62       | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200MEH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8730 | PA      | $8858.52      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402VRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12949 | PA      | $12712.08     | 0.00%             | 2033-09-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295GVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203875 | PA      | $208327.12    | 0.04%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2077 | PA      | $2039.69      | 0.00%             | 2028-06-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204HKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5081 | PA      | $5228.46      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166422 | PA      | $169412.01    | 0.03%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200CSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19596 | PA      | $19885.05     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4473587 | PA      | $3932336.26   | 0.66%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7215 | PA      | $6909.94      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31386GGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22472 | PA      | $21559.27     | 0.00%             | 2030-11-01      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204NND5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        71 | PA      | $72.60        | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 15 Year                           | CUSIP: 3128PRDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14725 | PA      | $14726.47     | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36290URF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16009 | PA      | $15813.54     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5398 | PA      | $5548.98      | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3203471 | PA      | $3021219.02   | 0.51%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202BV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $3.74         | 0.00%             | 2024-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36176AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4590 | PA      | $4498.43      | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93535 | PA      | $98873.35     | 0.02%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23366 | PA      | $24105.40     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36208RDZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       776 | PA      | $799.04       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       246 | PA      | $243.81       | 0.00%             | 2032-06-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31386XY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4889 | PA      | $4743.02      | 0.00%             | 2041-02-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204JTN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       915 | PA      | $939.77       | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11697462 | PA      | $10177287.12  | 1.72%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213D3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       878 | PA      | $903.97       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204GUZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       875 | PA      | $900.72       | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201SU49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24814 | PA      | $26022.66     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31402GR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8377 | PA      | $8623.63      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3129397F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1578782 | PA      | $1602014.28   | 0.27%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202BBG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        75 | PA      | $74.75        | 0.00%             | 2023-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540704 | PA      | $494157.25    | 0.08%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4013 | PA      | $4047.34      | 0.00%             | 2037-02-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204JMW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2577 | PA      | $2651.95      | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11827 | PA      | $12197.76     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201BL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25396 | PA      | $26135.73     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424234 | PA      | $428846.00    | 0.07%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5732 | PA      | $5772.70      | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2249983 | PA      | $2176071.27   | 0.37%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15970789 | PA      | $14304716.71  | 2.41%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CLU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3613 | PA      | $3657.40      | 0.00%             | 2025-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8932 | PA      | $8734.89      | 0.00%             | 2033-11-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31390WRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4798 | PA      | $4717.36      | 0.00%             | 2033-09-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182WC35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80324 | PA      | $76538.75     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385SBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17670 | PA      | $17334.25     | 0.00%             | 2030-05-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409XZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7545 | PA      | $7494.84      | 0.00%             | 2036-02-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36177LW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10862 | PA      | $10575.58     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204926 | PA      | $208736.91    | 0.04%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184YG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77727 | PA      | $74919.96     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384VWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       499 | PA      | $491.29       | 0.00%             | 2039-09-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1347463 | PA      | $1346088.74   | 0.23%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5513 | PA      | $5569.82      | 0.00%             | 2036-09-01      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183MUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13127 | PA      | $12728.34     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $299.74       | 0.00%             | 2038-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63108 | PA      | $65670.90     | 0.01%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296WCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96169 | PA      | $97116.82     | 0.02%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3958 | PA      | $3859.85      | 0.00%             | 2040-10-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400DAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19644 | PA      | $19204.01     | 0.00%             | 2033-02-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296Q3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142824 | PA      | $141916.26    | 0.02%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31405UW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89776 | PA      | $91226.93     | 0.02%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4879200 | PA      | $4147311.94   | 0.70%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31416WVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290657 | PA      | $293023.32    | 0.05%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DS51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3835 | PA      | $3984.50      | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383567 | PA      | $370971.58    | 0.06%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138EJ4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009615 | PA      | $1028947.38   | 0.17%             | 2038-07-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASEX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72137 | PA      | $71674.67     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151358 | PA      | $157630.71    | 0.03%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204PRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       326 | PA      | $335.47       | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLB                                                  | FHLB                                               | CUSIP: 3130A6C70<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9526935.20   | 1.61%             | 2025-09-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31376KLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77942 | PA      | $79668.77     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19037 | PA      | $19591.71     | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411HGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       660 | PA      | $657.74       | 0.00%             | 2037-04-01      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400ANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8550 | PA      | $8343.15      | 0.00%             | 2033-02-01      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $510.06       | 0.00%             | 2030-03-01      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389L3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12685 | PA      | $12337.78     | 0.00%             | 2032-04-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2691 | PA      | $2671.47      | 0.00%             | 2039-08-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389GPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7150 | PA      | $6990.55      | 0.00%             | 2032-01-01      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10284 | PA      | $10519.62     | 0.00%             | 2040-09-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8708 | PA      | $8802.35      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31389X2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50057 | PA      | $51649.82     | 0.01%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31370KKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       534 | PA      | $529.91       | 0.00%             | 2023-06-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36207CMX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       160 | PA      | $159.56       | 0.00%             | 2026-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402C7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       260 | PA      | $255.20       | 0.00%             | 2034-02-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3617AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61586 | PA      | $59623.78     | 0.01%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31372YUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3201 | PA      | $3194.58      | 0.00%             | 2024-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203DHC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2490 | PA      | $2555.92      | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200MFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9476 | PA      | $9932.84      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21490 | PA      | $20924.85     | 0.00%             | 2035-07-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5346 | PA      | $5280.93      | 0.00%             | 2034-11-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31404JBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30273 | PA      | $30943.27     | 0.01%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       920 | PA      | $933.58       | 0.00%             | 2035-07-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24619 | PA      | $24549.65     | 0.00%             | 2035-09-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1228 | PA      | $1250.38      | 0.00%             | 2035-09-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36294V7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34465 | PA      | $35401.74     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31377EHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       561 | PA      | $552.79       | 0.00%             | 2027-06-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83116 | PA      | $82790.59     | 0.01%             | 2035-06-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400SM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       795 | PA      | $776.00       | 0.00%             | 2033-04-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411AP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2339 | PA      | $2302.49      | 0.00%             | 2036-11-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36202TP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38222 | PA      | $39388.00     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36209SMV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28536 | PA      | $28953.85     | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204J4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       367 | PA      | $377.78       | 0.00%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31376PEM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       819 | PA      | $795.08       | 0.00%             | 2026-09-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35893 | PA      | $37117.61     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       218 | PA      | $213.14       | 0.00%             | 2037-04-01      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35726 | PA      | $36380.86     | 0.01%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7888 | PA      | $8236.39      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5358 | PA      | $5679.36      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200SR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10062 | PA      | $10357.67     | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182GVL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3727 | PA      | $3572.62      | 0.00%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                         | Deutsche Bank Securities Inc.                      | CUSIP: N/A<br>LEI: 9J6MBOOO7BECTDTUZW19       | Long             | RA               | CORP              | US        |   2507278 | PA      | $2507277.65   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 15 Year                                | CUSIP: 3132CWPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6970086 | PA      | $6277211.78   | 1.06%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204HAP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        98 | PA      | $100.62       | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206G6P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       817 | PA      | $841.14       | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288JZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49986 | PA      | $50843.62     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12933932 | PA      | $10853101.99  | 1.83%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2860 | PA      | $2846.69      | 0.00%             | 2028-03-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298035 | PA      | $297731.82    | 0.05%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203KA79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65 | PA      | $64.55        | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182YTK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44721 | PA      | $43464.45     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391AM97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       432 | PA      | $425.97       | 0.00%             | 2032-09-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182Q2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11151 | PA      | $10666.89     | 0.00%             | 2044-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295CLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22499 | PA      | $20345.13     | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204CP70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $36.62        | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201TNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12633 | PA      | $12859.08     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9319 | PA      | $9313.49      | 0.00%             | 2035-01-01      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19128369 | PA      | $16825116.22  | 2.84%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206KSM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2062 | PA      | $2063.09      | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5263744 | PA      | $4432501.66   | 0.75%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36209GTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1856 | PA      | $1899.30      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4092874 | PA      | $3862551.99   | 0.65%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 312940M30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142805 | PA      | $141860.29    | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4580 | PA      | $4701.62      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31335GDJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       745 | PA      | $764.82       | 0.00%             | 2023-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391DND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5082 | PA      | $4988.67      | 0.00%             | 2032-09-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A3VP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305146 | PA      | $302627.03    | 0.05%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295WJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62895 | PA      | $62550.06     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC                                              | CUSIP: 3128S5VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1045180 | PA      | $1052629.70   | 0.18%             | 2037-06-01      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184KQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31696 | PA      | $30445.40     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36223YQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       388 | PA      | $388.37       | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2840 | PA      | $2958.45      | 0.00%             | 2028-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201GSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8858 | PA      | $9116.04      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36208PTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25556 | PA      | $26300.06     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41146 | PA      | $39756.72     | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21490 | PA      | $20838.16     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21815 | PA      | $22429.39     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31416BLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1348 | PA      | $1328.87      | 0.00%             | 2038-09-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4010 | PA      | $3924.51      | 0.00%             | 2033-01-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183KED6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51736 | PA      | $50300.10     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QD44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36109 | PA      | $35004.41     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17796 | PA      | $17003.33     | 0.00%             | 2042-08-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16553177 | PA      | $14829973.45  | 2.50%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174833 | PA      | $177974.58    | 0.03%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31363EHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       241 | PA      | $240.41       | 0.00%             | 2029-06-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204TFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       155 | PA      | $159.45       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9974900 | PA      | $9339250.36   | 1.58%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129424 | PA      | $134815.93    | 0.02%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21420 | PA      | $21450.81     | 0.00%             | 2035-11-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371XF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       786 | PA      | $798.80       | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204FES9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        18 | PA      | $18.31        | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385XG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33444 | PA      | $32717.52     | 0.01%             | 2033-06-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200JUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12949 | PA      | $13307.87     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20215734 | PA      | $18097775.46  | 3.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2021 | PA      | $2080.31      | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49758 | PA      | $50729.74     | 0.01%             | 2036-03-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31407F5W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12142 | PA      | $12175.18     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620C3S86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22860 | PA      | $22735.46     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JJ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10288 | PA      | $10611.65     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36185BQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10545 | PA      | $10249.14     | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65038 | PA      | $59437.18     | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295WJC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280168 | PA      | $278634.43    | 0.05%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9662 | PA      | $9205.28      | 0.00%             | 2044-10-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3126 | PA      | $3004.14      | 0.00%             | 2032-04-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203WCG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65 | PA      | $66.62        | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263458 | PA      | $272538.06    | 0.05%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36224SDN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       108 | PA      | $108.34       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138L9PU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3348538.62   | 0.56%             | 2025-04-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2534 | PA      | $2493.35      | 0.00%             | 2028-07-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200K5S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24601 | PA      | $25750.61     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296NTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41067 | PA      | $42431.08     | 0.01%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37330 | PA      | $36281.61     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277454 | PA      | $268360.01    | 0.05%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20243 | PA      | $20738.93     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374FXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247 | PA      | $243.35       | 0.00%             | 2026-08-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22526 | PA      | $23345.10     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213ADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17691 | PA      | $17986.23     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14979 | PA      | $14628.21     | 0.00%             | 2033-12-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36219QZY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158 | PA      | $157.58       | 0.00%             | 2023-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203EBM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33 | PA      | $32.65        | 0.00%             | 2023-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297U6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46267 | PA      | $47506.84     | 0.01%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71854 | PA      | $74843.08     | 0.01%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391N2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3253 | PA      | $3187.10      | 0.00%             | 2032-12-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       375 | PA      | $368.11       | 0.00%             | 2033-01-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183PL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45874 | PA      | $44324.50     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3847 | PA      | $3793.97      | 0.00%             | 2037-01-01      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RKT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148369 | PA      | $143761.93    | 0.02%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1295 | PA      | $1311.88      | 0.00%             | 2036-02-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5757 | PA      | $5676.44      | 0.00%             | 2038-09-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       489 | PA      | $478.96       | 0.00%             | 2032-12-01      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72144 | PA      | $73824.72     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6791 | PA      | $6898.24      | 0.00%             | 2034-12-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184HMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201997 | PA      | $194814.72    | 0.03%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200X4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8020 | PA      | $8253.78      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31368HWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $33.47        | 0.00%             | 2024-02-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36209FYF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       142 | PA      | $146.25       | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596022 | PA      | $606559.59    | 0.10%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183W5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69850 | PA      | $67335.48     | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1120 | PA      | $1105.88      | 0.00%             | 2029-08-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270709 | PA      | $278122.57    | 0.05%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31401EWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10329 | PA      | $10440.29     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NK89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3841 | PA      | $3918.19      | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410GMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7611 | PA      | $7522.03      | 0.00%             | 2037-10-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 362198SP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       265 | PA      | $264.84       | 0.00%             | 2023-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130651 | PA      | $138094.69    | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31407JRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11164 | PA      | $11371.51     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184QSJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20004 | PA      | $19134.70     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78342 | PA      | $78262.09     | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1290 | PA      | $1310.44      | 0.00%             | 2035-03-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88708 | PA      | $83660.95     | 0.01%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36207UGC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12 | PA      | $12.35        | 0.00%             | 2026-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213QZ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3435 | PA      | $3530.20      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413GN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15292 | PA      | $15120.77     | 0.00%             | 2037-08-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2633558 | PA      | $2401202.90   | 0.40%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200EBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75427 | PA      | $79196.85     | 0.01%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA) Inc.                            | HSBC Securities (USA) Inc.                         | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | RA               | CORP              | US        |  18612541 | PA      | $18612540.67  | 3.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7670 | PA      | $7519.30      | 0.00%             | 2036-05-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410QE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       542 | PA      | $541.46       | 0.00%             | 2036-10-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203KCF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        62 | PA      | $62.31        | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36185BPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57979 | PA      | $56177.95     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204QB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3045 | PA      | $3126.18      | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49294 | PA      | $50970.14     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116176 | PA      | $120717.04    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13123 | PA      | $12873.57     | 0.00%             | 2036-07-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36181CBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650836 | PA      | $628162.75    | 0.11%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36205A6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       419 | PA      | $418.35       | 0.00%             | 2024-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30127 | PA      | $30925.70     | 0.01%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31402LHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13742 | PA      | $14032.31     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411EC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       616 | PA      | $612.50       | 0.00%             | 2036-12-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31377EG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4990 | PA      | $4892.55      | 0.00%             | 2027-05-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4169 | PA      | $4091.50      | 0.00%             | 2033-04-01      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204QB82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2727 | PA      | $2799.46      | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162914 | PA      | $162747.76    | 0.03%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D5R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30096 | PA      | $30684.21     | 0.01%             | 2034-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.18        | 0.00%             | 2032-06-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206XT60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4139 | PA      | $4259.39      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31376HYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1632 | PA      | $1610.89      | 0.00%             | 2026-10-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94901 | PA      | $94381.11     | 0.02%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277931 | PA      | $278291.85    | 0.05%             | 2035-06-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31376XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1455 | PA      | $1434.99      | 0.00%             | 2026-09-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203DQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        20 | PA      | $19.90        | 0.00%             | 2023-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10468 | PA      | $10237.97     | 0.00%             | 2036-11-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388701 | PA      | $1295486.13   | 0.22%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403AMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3095 | PA      | $3031.56      | 0.00%             | 2033-10-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404NCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2940 | PA      | $2874.20      | 0.00%             | 2035-03-01      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200DQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13521 | PA      | $13720.36     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374VCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2047 | PA      | $2020.63      | 0.00%             | 2025-10-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31407DUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7797 | PA      | $7767.22      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31387UEG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9824 | PA      | $9656.19      | 0.00%             | 2028-11-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41825 | PA      | $43577.52     | 0.01%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374KHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1596 | PA      | $1574.17      | 0.00%             | 2024-11-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200VLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3893 | PA      | $4006.25      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201EJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5958 | PA      | $6155.54      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1844 | PA      | $1891.13      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6762535 | PA      | $6381989.10   | 1.08%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15331 | PA      | $15925.36     | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138EGG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       336 | PA      | $329.17       | 0.00%             | 2041-04-01      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3133BBSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11641805 | PA      | $10229289.50  | 1.73%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AVRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80642 | PA      | $79975.49     | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ECA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125063 | PA      | $128185.34    | 0.02%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206YRK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       273 | PA      | $273.00       | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       561 | PA      | $576.93       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394176 | PA      | $381235.09    | 0.06%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401DK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3660 | PA      | $3571.03      | 0.00%             | 2033-05-01      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31402VUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21664 | PA      | $21885.63     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 313986RH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.68        | 0.00%             | 2023-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82213 | PA      | $85259.65     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31522 | PA      | $32842.10     | 0.01%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36202SFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23211 | PA      | $24032.48     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31387UEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2271 | PA      | $2250.54      | 0.00%             | 2025-06-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31376KBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12742 | PA      | $12882.71     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6793 | PA      | $6505.18      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ADMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269152 | PA      | $267677.14    | 0.05%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204YGB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       609 | PA      | $626.30       | 0.00%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384V7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2484 | PA      | $2415.03      | 0.00%             | 2040-10-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406AGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195631 | PA      | $193876.38    | 0.03%             | 2034-12-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31407FUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5656 | PA      | $5760.78      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1014 | PA      | $1066.69      | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401B6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32137 | PA      | $31720.02     | 0.01%             | 2033-04-01      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538858 | PA      | $561223.70    | 0.09%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206HDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        76 | PA      | $78.01        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389HWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2804 | PA      | $2731.85      | 0.00%             | 2033-02-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11369970 | PA      | $9651516.99   | 1.63%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23797 | PA      | $24490.45     | 0.00%             | 2030-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288CT76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13984 | PA      | $14223.83     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4947 | PA      | $4988.99      | 0.00%             | 2037-03-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21479 | PA      | $22160.33     | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204GY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       801 | PA      | $821.95       | 0.00%             | 2023-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       867 | PA      | $850.30       | 0.00%             | 2037-01-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293P2G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1712 | PA      | $1759.83      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4093 | PA      | $4020.30      | 0.00%             | 2033-09-01      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201AVJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6508 | PA      | $6699.94      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202531 | PA      | $195875.88    | 0.03%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2063634 | PA      | $1946188.00   | 0.33%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31287SFS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8021 | PA      | $8180.69      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35339 | PA      | $37242.90     | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36208UCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3428 | PA      | $3444.46      | 0.00%             | 2027-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184CSA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89352 | PA      | $86134.94     | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204HKS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3096 | PA      | $3185.90      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296SQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23405 | PA      | $23072.89     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295QMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43770 | PA      | $46197.01     | 0.01%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203KAV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $111.29       | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404RPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4157 | PA      | $4078.31      | 0.00%             | 2034-04-01      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5018 | PA      | $4925.39      | 0.00%             | 2036-01-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73304 | PA      | $71027.90     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96497 | PA      | $101971.05    | 0.02%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31417K2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       998 | PA      | $998.89       | 0.00%             | 2039-09-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC                                              | CUSIP: 31349URQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140985 | PA      | $137644.20    | 0.02%             | 2037-05-01      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36209HMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18750 | PA      | $19296.00     | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31406P2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11050 | PA      | $11090.23     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1134454 | PA      | $1133298.99   | 0.19%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148411 | PA      | $147460.20    | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206VM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1170 | PA      | $1203.73      | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401PEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4364 | PA      | $4339.79      | 0.00%             | 2033-04-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203YQB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1550 | PA      | $1548.81      | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58360 | PA      | $60778.24     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10399 | PA      | $10560.13     | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24368 | PA      | $22832.46     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203PAK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       269 | PA      | $276.18       | 0.00%             | 2023-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17879 | PA      | $18359.23     | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31406PZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72424 | PA      | $73303.94     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31415VYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307626 | PA      | $1331674.22   | 0.22%             | 2035-10-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293QY49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1605 | PA      | $1648.02      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37658 | PA      | $38209.35     | 0.01%             | 2034-11-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203LFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       220 | PA      | $219.82       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                              | U.S. Treasury Notes                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $6692753.89   | 1.13%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138EH6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1075582 | PA      | $1077830.73   | 0.18%             | 2040-01-01      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20226 | PA      | $20497.07     | 0.00%             | 2040-06-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31409T6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111372 | PA      | $113230.27    | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48025 | PA      | $47590.95     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204EVS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       369 | PA      | $379.54       | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HJU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13730 | PA      | $14013.96     | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36210ETV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2840 | PA      | $2914.98      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                              | U.S. Treasury Notes                                | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2928515.64   | 0.49%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5749 | PA      | $5587.12      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States International Development Finance Corp. | U.S. International Development Finance Corp. (The) | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | UST               | US        |   1295000 | PA      | $1265366.18   | 0.21%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24159 | PA      | $22945.50     | 0.00%             | 2044-10-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36210LZY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1645 | PA      | $1669.07      | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402JVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5553 | PA      | $5495.99      | 0.00%             | 2033-08-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400QYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28087 | PA      | $27348.74     | 0.00%             | 2032-10-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1165 | PA      | $1215.67      | 0.00%             | 2031-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400L6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       251 | PA      | $247.63       | 0.00%             | 2037-08-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36205BYZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       602 | PA      | $619.45       | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403DK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11423 | PA      | $11274.67     | 0.00%             | 2034-07-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203CET5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157 | PA      | $156.81       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204NEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       517 | PA      | $532.11       | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                              | U.S. Treasury Notes                                | CUSIP: 912828D56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22000000 | PA      | $21233437.50  | 3.58%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298PVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11555 | PA      | $11624.49     | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2263 | PA      | $2206.64      | 0.00%             | 2036-08-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293PLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1285 | PA      | $1319.00      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145742 | PA      | $150704.98    | 0.03%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31370BF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2439 | PA      | $2421.37      | 0.00%             | 2023-07-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 15 Year                           | CUSIP: 3128PRDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23349 | PA      | $23355.12     | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68647 | PA      | $67426.63     | 0.01%             | 2034-10-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225841 | PA      | $225611.42    | 0.04%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201GBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61998 | PA      | $63825.19     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31416CAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2373 | PA      | $2340.84      | 0.00%             | 2038-12-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4939118 | PA      | $4294844.95   | 0.72%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    966612 | PA      | $983984.64    | 0.17%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298EZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19755 | PA      | $20284.52     | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203XJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        93 | PA      | $95.96        | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374FVA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $269.84       | 0.00%             | 2026-01-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213LJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5358 | PA      | $5499.60      | 0.00%             | 2031-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403HNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35217 | PA      | $35575.52     | 0.01%             | 2033-10-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 15 Year                                      | CUSIP: 31418MWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33160 | PA      | $33048.41     | 0.01%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1287 | PA      | $1285.04      | 0.00%             | 2035-12-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| United States of America                              | U.S. Treasury Notes                                | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34040000 | PA      | $31496307.90  | 5.31%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 313625FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       240 | PA      | $234.94       | 0.00%             | 2026-11-01      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        71 | PA      | $73.59        | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391BEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3598 | PA      | $3532.29      | 0.00%             | 2032-09-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201BBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1847 | PA      | $1900.86      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36185B7E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94705 | PA      | $91763.22     | 0.02%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AFYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64209 | PA      | $63262.83     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3354 | PA      | $3394.85      | 0.00%             | 2035-10-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36297FRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105105 | PA      | $104529.20    | 0.02%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213AC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49020 | PA      | $50319.73     | 0.01%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC                                              | CUSIP: 3128QTEQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    812963 | PA      | $806881.10    | 0.14%             | 2038-05-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2035 | PA      | $2070.07      | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404VDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13352 | PA      | $13158.54     | 0.00%             | 2034-06-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389MSA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29120 | PA      | $28405.29     | 0.00%             | 2032-02-01      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36290V7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66489 | PA      | $67567.29     | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385HSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       832 | PA      | $817.51       | 0.00%             | 2040-12-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11819 | PA      | $11431.96     | 0.00%             | 2033-08-01      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63138 | PA      | $65435.94     | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       962 | PA      | $947.83       | 0.00%             | 2037-08-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12588 | PA      | $13130.07     | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9450 | PA      | $9272.41      | 0.00%             | 2037-07-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288JZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54697 | PA      | $55635.18     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36291GTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19005 | PA      | $19284.82     | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182R5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15471 | PA      | $15001.39     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22590 | PA      | $23676.54     | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75160 | PA      | $78599.68     | 0.01%             | 2031-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183W5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264733 | PA      | $255240.68    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201F5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4694 | PA      | $4831.11      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66131 | PA      | $66711.55     | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13179 | PA      | $13370.42     | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404EQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39558 | PA      | $38673.41     | 0.01%             | 2034-03-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| United States of America                              | U.S. Treasury Notes                                | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6350000 | PA      | $7713716.68   | 1.30%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203SL21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3579 | PA      | $3682.90      | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31419JH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71249 | PA      | $67976.02     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CKL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5013 | PA      | $5067.15      | 0.00%             | 2025-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36207VNV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1175 | PA      | $1174.34      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        87 | PA      | $87.11        | 0.00%             | 2023-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183HMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15992 | PA      | $15398.99     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391TX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8888 | PA      | $8740.17      | 0.00%             | 2032-12-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374ACY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2569 | PA      | $2525.03      | 0.00%             | 2025-03-01      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295DLW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28458 | PA      | $29286.65     | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36201XBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5911 | PA      | $5997.12      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262693 | PA      | $268354.33    | 0.05%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18932 | PA      | $19766.87     | 0.00%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31378EPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17096 | PA      | $16886.12     | 0.00%             | 2037-09-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1539 | PA      | $1573.14      | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4671 | PA      | $4807.18      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402GVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6688 | PA      | $6589.95      | 0.00%             | 2033-07-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36296YDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7967 | PA      | $7713.35      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204ELL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3774 | PA      | $3883.68      | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36185EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1083 | PA      | $1045.98      | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1874 | PA      | $1887.16      | 0.00%             | 2035-01-01      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2572749 | PA      | $2540115.35   | 0.43%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203KBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        29 | PA      | $28.53        | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D6V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124213 | PA      | $131273.80    | 0.02%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31374VCS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11909 | PA      | $11755.22     | 0.00%             | 2025-10-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JQJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62913 | PA      | $64759.45     | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31384VQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1192 | PA      | $1160.73      | 0.00%             | 2030-01-01      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EH51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38762 | PA      | $40964.93     | 0.01%             | 2036-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128KSCM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68309 | PA      | $69902.20     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401CTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3693 | PA      | $3640.57      | 0.00%             | 2033-05-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31818 | PA      | $32423.04     | 0.01%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31368HKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       139 | PA      | $143.43       | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 15 Year                                | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3394840 | PA      | $3031906.11   | 0.51%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31409EW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184588 | PA      | $188728.15    | 0.03%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36292GHS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89768 | PA      | $92455.08     | 0.02%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13617 | PA      | $13394.35     | 0.00%             | 2033-12-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31368HC68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       144 | PA      | $142.38       | 0.00%             | 2023-10-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203MJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       249 | PA      | $255.64       | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 30 Year                                | CUSIP: 3133KKL98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2197047 | PA      | $1798477.26   | 0.30%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31406DEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157148 | PA      | $159815.67    | 0.03%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12094 | PA      | $12467.61     | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2238 | PA      | $2273.62      | 0.00%             | 2035-05-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                              | Reliance Industries Ltd.                           | CUSIP: 759470AU1<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2187500 | PA      | $2088414.02   | 0.35%             | 2026-01-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC                                              | CUSIP: 31300MEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2248279 | PA      | $2278405.68   | 0.38%             | 2040-04-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402MNK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23445 | PA      | $23116.84     | 0.00%             | 2033-09-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31387URF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1447 | PA      | $1430.07      | 0.00%             | 2030-12-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183X2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19736 | PA      | $19136.42     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36241KXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74781 | PA      | $79085.94     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36183J3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17136 | PA      | $16654.82     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202BU29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        22 | PA      | $22.67        | 0.00%             | 2023-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138ABEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621719 | PA      | $620617.79    | 0.10%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404CH37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407774 | PA      | $402472.37    | 0.07%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36185CBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40394 | PA      | $39259.65     | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36192SU65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34702 | PA      | $33727.42     | 0.01%             | 2046-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31413B3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2168 | PA      | $2135.42      | 0.00%             | 2037-07-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36209MCG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3118 | PA      | $3208.92      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36205BUS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       143 | PA      | $143.95       | 0.00%             | 2024-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2785 | PA      | $2730.42      | 0.00%             | 2032-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203CYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       472 | PA      | $486.19       | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402CRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11370 | PA      | $11153.96     | 0.00%             | 2034-01-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389R4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13365 | PA      | $12992.55     | 0.00%             | 2032-03-01      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3855 | PA      | $3778.88      | 0.00%             | 2033-03-01      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31403JD78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20743 | PA      | $20828.61     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31411JZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62843 | PA      | $65012.92     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31387A3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12484 | PA      | $12322.33     | 0.00%             | 2031-08-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                   | Petroleos Mexicanos                                | CUSIP: 71654QBT8<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |    822500 | PA      | $795223.47    | 0.13%             | 2025-04-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8310 | PA      | $8154.84      | 0.00%             | 2038-06-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45376 | PA      | $45933.52     | 0.01%             | 2034-04-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802488 | PA      | $773065.62    | 0.13%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2334 | PA      | $2309.68      | 0.00%             | 2036-07-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31379MDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4988 | PA      | $4935.84      | 0.00%             | 2038-04-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36212J2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47386 | PA      | $48116.60     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31287UWF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6367 | PA      | $6549.30      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394800 | PA      | $394783.53    | 0.07%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204VR27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1553 | PA      | $1552.74      | 0.00%             | 2024-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457089 | PA      | $439397.80    | 0.07%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    789919 | PA      | $796405.14    | 0.13%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203DEV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        66 | PA      | $66.23        | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12697 | PA      | $13157.10     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204RYL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       811 | PA      | $832.87       | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, 30 Year                                    | CUSIP: 36225BNQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16829 | PA      | $17449.25     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154446 | PA      | $157768.79    | 0.03%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203QF30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        18 | PA      | $18.25        | 0.00%             | 2023-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3932 | PA      | $3839.25      | 0.00%             | 2033-07-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36202T7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36252 | PA      | $37783.23     | 0.01%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36182XU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50106 | PA      | $48434.12     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385KCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       638 | PA      | $627.47       | 0.00%             | 2028-04-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36176WVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36721 | PA      | $35689.60     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 20 Year                           | CUSIP: 3128P7SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1062576 | PA      | $1031108.58   | 0.17%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31401BG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11765 | PA      | $11515.59     | 0.00%             | 2033-04-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                            | FHLMC Pool, 15 Year                                | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10632158 | PA      | $9219750.30   | 1.55%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148418 | PA      | $148267.32    | 0.03%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10814967 | PA      | $9396713.64   | 1.58%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355296 | PA      | $354934.60    | 0.06%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295HF54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428504 | PA      | $424981.52    | 0.07%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400FDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3383 | PA      | $3294.86      | 0.00%             | 2033-02-01      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6248 | PA      | $6228.28      | 0.00%             | 2036-05-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138APCG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964112 | PA      | $926786.47    | 0.16%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36206GQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22603 | PA      | $23396.27     | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36290UP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66084 | PA      | $65278.29     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       500 | PA      | $491.17       | 0.00%             | 2030-12-01      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12798 | PA      | $12338.52     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138L9Y97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2297571 | PA      | $2183785.77   | 0.37%             | 2025-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409DSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34020 | PA      | $33178.51     | 0.01%             | 2036-03-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296MQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63476 | PA      | $63921.02     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASEH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120984 | PA      | $120212.93    | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056998 | PA      | $1052691.85   | 0.18%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3844 | PA      | $3751.87      | 0.00%             | 2032-05-01      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC                                              | CUSIP: 3128S5LY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    458964 | PA      | $455452.80    | 0.08%             | 2036-03-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402DG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2848 | PA      | $2787.47      | 0.00%             | 2034-06-01      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31385YCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3516 | PA      | $3517.11      | 0.00%             | 2040-06-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 3138EJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753957 | PA      | $1772411.65   | 0.30%             | 2036-08-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132GLJE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167455 | PA      | $1123493.27   | 0.19%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 15 Year                           | CUSIP: 3128PRDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109149 | PA      | $108951.32    | 0.02%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31410F7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       646 | PA      | $628.73       | 0.00%             | 2034-07-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31403HPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32828 | PA      | $33256.94     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31378EN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17765 | PA      | $17535.66     | 0.00%             | 2037-08-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204YGJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       192 | PA      | $198.04       | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1479 | PA      | $1503.28      | 0.00%             | 2033-09-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2024735 | PA      | $1909536.18   | 0.32%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406RGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3194 | PA      | $3132.00      | 0.00%             | 2035-09-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31403BM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25630 | PA      | $25268.15     | 0.00%             | 2033-11-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154412 | PA      | $151086.16    | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5707 | PA      | $5902.33      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198QTS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19990 | PA      | $19278.05     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 312942KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516132 | PA      | $512720.83    | 0.09%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36291JGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8868 | PA      | $9016.47      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31400Q5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1246 | PA      | $1226.93      | 0.00%             | 2033-04-01      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A3ZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    554014 | PA      | $549486.46    | 0.09%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8647 | PA      | $9029.58      | 0.00%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4402344 | PA      | $4156698.61   | 0.70%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       338 | PA      | $332.74       | 0.00%             | 2033-12-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                 | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132GFLR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52514 | PA      | $51563.23     | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36295ERD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35590 | PA      | $36563.99     | 0.01%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406G2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6367 | PA      | $6280.82      | 0.00%             | 2035-03-01      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31370NUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5689 | PA      | $5642.71      | 0.00%             | 2023-09-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36204H4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12 | PA      | $12.50        | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36184B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66097 | PA      | $63717.98     | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628870 | PA      | $593090.12    | 0.10%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36210MQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3181 | PA      | $3227.52      | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6819 | PA      | $6627.81      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9047 | PA      | $8991.31      | 0.00%             | 2036-01-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA                                               | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30096 | PA      | $29670.75     | 0.01%             | 2035-06-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42019 | PA      | $42774.50     | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261398 | PA      | $264944.46    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43157 | PA      | $42823.48     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36213FUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264787 | PA      | $276405.06    | 0.05%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36292LEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56925 | PA      | $58197.80     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                  | FNMA, 30 Year                                      | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14358984 | PA      | $12188770.63  | 2.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                  | GNMA I, Single-family, 30 Year                     | CUSIP: 36203QJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       274 | PA      | $281.64       | 0.00%             | 2024-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

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

**Signature:** Ryan Wheeler

**Name of Signer:** Ryan Wheeler

**Title:** Assistant Treasurer