# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-26-000146
**Filing Date:** 2026-3
**Character Count:** 224927
**Document Hash:** 8bad00251d6240873dd5516206b3dbca
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-26-000146.hdr.sgml**: 20260331

**ACCESSION NUMBER**: 0000106444-26-000146

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260331

**DATE AS OF CHANGE**: 20260331

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUNDS
- **CENTRAL INDEX KEY:** 0000106444

**ORGANIZATION NAME:**
- **EIN:** 231899003
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02368
- **FILM NUMBER:** 26819664

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTMINSTER BOND FUND INC
- **DATE OF NAME CHANGE:** 19800619

## Series and Classes Contracts Data

### Vanguard Short-Term Federal Fund (Series ID: S000002590)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007105 | Investor Shares | VSGBX           |
| C000007106 | Admiral Shares  | VSGDX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD FIXED INCOME SECURITIES FUNDS

- **b. Investment Company Act file number:** 811-02368

- **c. CIK number of Registrant:** 0000106444

- **d. LEI of Registrant:** 549300F3N7VQKU6I4K64

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD SHORT-TERM FEDERAL FUND

- **b. EDGAR series identifier (if any):** S000002590

- **c. LEI of Series:** K4A6QLIWM1594TB2F156

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2026-01-31

**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:** $5235571353.61

**Total Liabilities:** $748567151.72

**Net Assets:** $4487004201.89

**Delayed Delivery Securities:** $567884380.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -19961.26848571 | **1-Year:** -323747.00902496 | **5-Year:** -468606.88298541 | **10-Year:** -87225.02416604 | **30-Year:** -3573.31096517

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007105 | 0.60%                | 0.22%                | 0.22%                |
| Class ID C000007106 | 0.61%                | 0.23%                | 0.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2008978.91              | $10930714.56                               |
| Month 2  | $1429071.00              | $-4383211.30                               |
| Month 3  | $2710484.83              | $-5562290.47                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. 1-5 Year Government Bond Index

- **Index Identifier:** I00640

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae Pool                                              | FN CC1148                          | CUSIP: 3140Y7H27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3155720 | PA      | $3166300.07    | 0.07%             | 2055-10-01      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4945                          | CUSIP: 3140Q0P71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3460000 | PA      | $3493230.53    | 0.08%             | 2030-09-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                          | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10600000 | PA      | $10581660.94   | 0.24%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1455                          | CUSIP: 3132CXTL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4177630 | PA      | $4274023.16    | 0.10%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3766                          | CUSIP: 3140NYFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3350000 | PA      | $3367365.40    | 0.08%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5198 FA                        | CUSIP: 3137H5KF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     503180 | PA      | $443214.63     | 0.01%             | 2052-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AT7858                          | CUSIP: 3138WVWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10903777 | PA      | $10765121.74   | 0.24%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18547                          | CUSIP: 3128MMTD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     445222 | PA      | $432265.36     | 0.01%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7915                          | CUSIP: 3140JCYM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     489027 | PA      | $494620.59     | 0.01%             | 2056-01-01      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0635                          | CUSIP: 3132CWV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10358383 | PA      | $9973851.66    | 0.22%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M1 A2                     | CUSIP: 3136AY7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4160233 | PA      | $4101342.68    | 0.09%             | 2027-12-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J33761                          | CUSIP: 31307QFA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293550 | PA      | $285548.06     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4597                          | CUSIP: 3131X8DA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53881 | PA      | $53440.94      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-192 HG                    | CUSIP: 38385JG72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4075391 | PA      | $4033401.40    | 0.09%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $20523437.40   | 0.46%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8710                          | CUSIP: 3132A9VB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     769612 | PA      | $749339.81     | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18611                          | CUSIP: 3128MMVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119793 | PA      | $116277.04     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM5328                          | CUSIP: 3140X84N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3962544 | PA      | $3787452.97    | 0.08%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4343                          | CUSIP: 3131X7ZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60804 | PA      | $60333.17      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3830                          | CUSIP: 3131X7HF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11040 | PA      | $10972.86      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4262                          | CUSIP: 3131X7WX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33736 | PA      | $33474.56      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2058                          | CUSIP: 3132XGJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3752003 | PA      | $3630917.08    | 0.08%             | 2027-05-01      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.850000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -25650000 | NC      | $-138627.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M12 A2                    | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1049952 | PA      | $1038851.37    | 0.02%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M11 A2                    | CUSIP: 3136AX3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16412581 | PA      | $15941346.08   | 0.36%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $39481250.00   | 0.88%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3954                          | CUSIP: 3131X7MB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44296 | PA      | $43996.76      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM0309                          | CUSIP: 3138L0KX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     955758 | PA      | $922139.88     | 0.02%             | 2032-08-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA PRIN STP                      | CUSIP: 31358DDR2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   36600000 | PA      | $30982778.40   | 0.69%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4261                          | CUSIP: 3140LEWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100399 | PA      | $1042983.01    | 0.02%             | 2028-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9079                          | CUSIP: 3140LLCR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3153248.08    | 0.07%             | 2028-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.950000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    3810000 | NC      | $8985.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2685                          | CUSIP: 3140NW6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2377183 | PA      | $2418499.63    | 0.05%             | 2029-12-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2671                          | CUSIP: 3138LE6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4446507 | PA      | $4297011.80    | 0.10%             | 2028-08-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7051                          | CUSIP: 3138WGZR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378662 | PA      | $368270.52     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K081 A2                       | CUSIP: 3137FJEH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27882000 | PA      | $27915692.61   | 0.62%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN AA8333                          | CUSIP: 36178GHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     173574 | PA      | $171582.07     | 0.00%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C6060                          | CUSIP: 3142BGWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1026547 | PA      | $1027470.17    | 0.02%             | 2055-10-01      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K547 A2                       | CUSIP: 3137HN6B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10215000 | PA      | $10362126.65   | 0.23%             | 2030-05-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR QO4309                          | CUSIP: 3133WNYE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     703672 | PA      | $719248.79     | 0.02%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3109                          | CUSIP: 3140H4N34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42740 | PA      | $41145.35      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4514 Z                         | CUSIP: 3137BLFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4573311 | PA      | $4426884.71    | 0.10%             | 2040-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35715                          | CUSIP: 31307SK44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163163 | PA      | $158235.79     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -44700000 | PA      | $-44691270.09  | -1.00%            | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K083 A2                       | CUSIP: 3137FJXV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29245000 | PA      | $29364638.37   | 0.65%             | 2028-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2032                          | CUSIP: 3132XGHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4747244 | PA      | $4688937.02    | 0.10%             | 2026-10-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4041                          | CUSIP: 3131X7P28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8601 | PA      | $8538.27       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS6141                          | CUSIP: 3138WFZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5295 | PA      | $5162.42       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS3563                          | CUSIP: 3140XJ5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3850080 | PA      | $3749678.78    | 0.08%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34500                          | CUSIP: 31307Q7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2131397 | PA      | $2073310.66    | 0.05%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2691                          | CUSIP: 3140W27D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2722869 | PA      | $2786546.55    | 0.06%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-227 F                     | CUSIP: 38383FQM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177116 | PA      | $152571.88     | 0.00%             | 2051-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8621                          | CUSIP: 3132A9SJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23959 | PA      | $23229.81      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8241                          | CUSIP: 3138WJEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     617020 | PA      | $598003.07     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8B0503                          | CUSIP: 3142AWRY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     469869 | PA      | $476534.68     | 0.01%             | 2055-11-01      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4846                          | CUSIP: 3140Q0L42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2940000 | PA      | $2961992.96    | 0.07%             | 2030-09-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4.5 1/26                      | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42700000 | PA      | $41852674.01   | 0.93%             | 2056-01-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3913                          | CUSIP: 3131X7K23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28651 | PA      | $28475.57      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-192 GH                    | CUSIP: 38385JF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21821348 | PA      | $21501222.10   | 0.48%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97250000 | PA      | $99700243.90   | 2.22%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2024-M6 A2                     | CUSIP: 3136BTGM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  134451463 | PA      | $133086995.77  | 2.97%             | 2027-07-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K078 A2                       | CUSIP: 3137FGR31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9940000 | PA      | $9942495.93    | 0.22%             | 2028-06-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.282050 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   29000000 | NC      | $214005.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4871                          | CUSIP: 36179TMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   28629399 | PA      | $27943223.76   | 0.62%             | 2032-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $40750000.00   | 0.91%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1157                          | CUSIP: 3142BBJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     348199 | PA      | $353968.88     | 0.01%             | 2055-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 1/26                      | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   88150000 | PA      | $89486027.85   | 1.99%             | 2056-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0138                          | CUSIP: 36179MEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      62284 | PA      | $61707.25      | 0.00%             | 2027-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB9503                          | CUSIP: 31417GRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6872666 | PA      | $6750664.43    | 0.15%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF2961                          | CUSIP: 3140BTJF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     585054 | PA      | $594547.42     | 0.01%             | 2055-10-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1950                          | CUSIP: 3140HTEY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3253390 | PA      | $3215759.25    | 0.07%             | 2029-03-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8700                          | CUSIP: 3132A9UZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2791343 | PA      | $2718745.43    | 0.06%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK6692                          | CUSIP: 3131XANH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175529 | PA      | $173273.73     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7895                          | CUSIP: 3140JCXZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22725709 | PA      | $23059627.06   | 0.51%             | 2055-12-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5831                          | CUSIP: 3138LJPR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38200000 | PA      | $37708117.70   | 0.84%             | 2027-07-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4425                          | CUSIP: 36179S4J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12208067 | PA      | $11936340.15   | 0.27%             | 2032-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K082 A2                       | CUSIP: 3137FJKE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9940000 | PA      | $9954251.97    | 0.22%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2019-3 BA                      | CUSIP: 3136B3G61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1892027 | PA      | $1832429.47    | 0.04%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM1649                          | CUSIP: 3140X4ZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3250032 | PA      | $3213402.32    | 0.07%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4077                          | CUSIP: 3131X7Q68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9755 | PA      | $9701.62       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3238                          | CUSIP: 3140LDS42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7988743 | PA      | $7548993.48    | 0.17%             | 2028-09-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M1 A2                     | CUSIP: 3136AUG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20816225 | PA      | $20589669.30   | 0.46%             | 2026-10-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2898                          | CUSIP: 31418CGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2103 | PA      | $2035.17       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS7923                          | CUSIP: 3140LJYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2413532.40    | 0.05%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 2.5 2/26                      | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15700000 | PA      | $13323534.96   | 0.30%             | 2026-02-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3006                          | CUSIP: 3138LFKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28595941 | PA      | $27622315.35   | 0.62%             | 2028-11-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5369                          | CUSIP: 3140HW6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4134820 | PA      | $4067820.23    | 0.09%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1115                          | CUSIP: 3142BBGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14124143 | PA      | $14331630.45   | 0.32%             | 2055-09-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0492                          | CUSIP: 3132CWRM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5340686 | PA      | $4954096.94    | 0.11%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0750                          | CUSIP: 3140NUZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7800000 | PA      | $8035753.44    | 0.18%             | 2029-04-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M13 A2                    | CUSIP: 3136AY2C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1821171 | PA      | $1797274.52    | 0.04%             | 2027-09-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7046                          | CUSIP: 3138WGZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282414 | PA      | $274784.57     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1706                          | CUSIP: 3132CX3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2954526 | PA      | $3023621.15    | 0.07%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35097                          | CUSIP: 31307RUW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2250426 | PA      | $2185253.35    | 0.05%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4212 MB                        | CUSIP: 3137B2R51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21354678 | PA      | $20674144.88   | 0.46%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8583                          | CUSIP: 3138LMRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     550000 | PA      | $546349.10     | 0.01%             | 2028-04-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC2777                          | CUSIP: 3140EXCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227091 | PA      | $220759.67     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8471                          | CUSIP: 3140XCMV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5215056 | PA      | $4937228.39    | 0.11%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4104 KJ                        | CUSIP: 3137ATTJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1642701 | PA      | $1596694.48    | 0.04%             | 2032-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-63 BW                     | CUSIP: 3136AK7H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8946600 | PA      | $8765246.60    | 0.20%             | 2034-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BD8034                          | CUSIP: 3140FF4U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     710913 | PA      | $689270.75     | 0.02%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZT1989                          | CUSIP: 3132AEF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9374690 | PA      | $9256193.20    | 0.21%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1371                          | CUSIP: 3138LDQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14700000 | PA      | $14336223.51   | 0.32%             | 2028-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                          | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3219024 | PA      | $3034057.28    | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8893                          | CUSIP: 3138WJ3B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     639910 | PA      | $619365.17     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.427700 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   29000000 | NC      | $51663.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K089 A2                       | CUSIP: 3137FL6P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17500000 | PA      | $17352996.50   | 0.39%             | 2029-01-25      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-60 CB                     | CUSIP: 3136AEU21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3389673 | PA      | $3300997.55    | 0.07%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2308                          | CUSIP: 3140W2R60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1901956 | PA      | $1973689.99    | 0.04%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3578                          | CUSIP: 3140J76Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5705 | PA      | $5521.78       | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1476                          | CUSIP: 3132CXT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3991053 | PA      | $3995884.09    | 0.09%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5705                          | CUSIP: 3140HXKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7685107 | PA      | $7546063.35    | 0.17%             | 2027-03-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8208                          | CUSIP: 3138WJDN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10500 | PA      | $10175.95      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3081                          | CUSIP: 3140LDM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6955000 | PA      | $6553521.23    | 0.15%             | 2028-10-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9748                          | CUSIP: 3140LLZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $7124670.70    | 0.16%             | 2028-10-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB1469                          | CUSIP: 3140QLT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     680282 | PA      | $628913.70     | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0983                          | CUSIP: 3132CXCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6929402 | PA      | $6793131.48    | 0.15%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18665                          | CUSIP: 3128MMW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77320 | PA      | $74619.06      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4324                          | CUSIP: 3140HVYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     881654 | PA      | $835879.20     | 0.02%             | 2029-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K093 A2                       | CUSIP: 3137FMCR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4412094 | PA      | $4297753.74    | 0.10%             | 2029-05-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS8089                          | CUSIP: 3140XP7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11659005 | PA      | $11378655.99   | 0.25%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3505                          | CUSIP: 3140LD3P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2670000 | PA      | $2503543.92    | 0.06%             | 2028-10-01      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8245                          | CUSIP: 3138WJET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191853 | PA      | $186022.57     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4149                          | CUSIP: 3131X7TE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47595 | PA      | $47261.06      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB6531                          | CUSIP: 3140QSHH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2297578 | PA      | $2345551.94    | 0.05%             | 2053-06-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K070 A2                       | CUSIP: 3137FCJK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4065570.25    | 0.09%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4274                          | CUSIP: 3131X7XB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12976 | PA      | $12875.96      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6210                          | CUSIP: 3138LJ3U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1682036 | PA      | $1662798.54    | 0.04%             | 2027-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7502                          | CUSIP: 3138LLKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4507318 | PA      | $4457164.36    | 0.10%             | 2027-11-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                     | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   14117000 | PA      | $11523085.95   | 0.26%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK8908                          | CUSIP: 3131XC3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26503 | PA      | $25526.85      | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0191                          | CUSIP: 3140BQF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6807837 | PA      | $6958441.70    | 0.16%             | 2055-09-01      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9318                          | CUSIP: 3138WKK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4888 | PA      | $4729.19       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5861                          | CUSIP: 31418FQP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     481662 | PA      | $492324.08     | 0.01%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K090 A2                       | CUSIP: 3137FLMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9280000 | PA      | $9163446.91    | 0.20%             | 2029-02-25      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| FREMF 2026-K554 Mortgage Trust                               | FHMS K554 A2                       | CUSIP: 3137HPUA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7300000 | PA      | $7338829.43    | 0.16%             | 2030-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.600000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   25650000 | NC      | $187124.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K087 A2                       | CUSIP: 3137FKUP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12811601 | PA      | $12780568.96   | 0.28%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA7509                          | CUSIP: 3140QFKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4924499 | PA      | $4461776.92    | 0.10%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4 2/26                        | CUSIP: 01F040420<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3750000 | PA      | $3700488.38    | 0.08%             | 2026-02-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4294                          | CUSIP: 36179SXX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   25774147 | PA      | $25207958.52   | 0.56%             | 2032-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8193                          | CUSIP: 3138WJC71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7488 | PA      | $7257.22       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9244                          | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $810047.04     | 0.02%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0427                          | CUSIP: 3140XFPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12420139 | PA      | $11482285.61   | 0.26%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1615                          | CUSIP: 3140Y7YM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6184037 | PA      | $6254633.07    | 0.14%             | 2055-12-01      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| New Issuer: BB Company ID:69419330                           | FHMR 2021-P007 A1                  | CUSIP: 3137F92D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4303135 | PA      | $4097925.79    | 0.09%             | 2027-11-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0513                          | CUSIP: 36179MSA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     471050 | PA      | $465932.71     | 0.01%             | 2027-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3290                          | CUSIP: 3140LDUQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1821211 | PA      | $1714423.80    | 0.04%             | 2028-10-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0204                          | CUSIP: 36179MGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     695894 | PA      | $689155.62     | 0.02%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31851                          | CUSIP: 31307NBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46598 | PA      | $45185.90      | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                          | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3049615.20    | 0.07%             | 2030-01-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783809                          | CUSIP: 3622A2GS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     761281 | PA      | $753091.04     | 0.02%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3764                          | CUSIP: 3131X7FD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7307 | PA      | $7269.51       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4168                          | CUSIP: 3140NYT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4220000 | PA      | $4238001.68    | 0.09%             | 2030-08-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.500000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   24320000 | NC      | $94714.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7906                          | CUSIP: 3140JCYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2370551 | PA      | $2418249.95    | 0.05%             | 2055-12-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18658                          | CUSIP: 3128MMWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2050 | PA      | $1979.92       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1885                          | CUSIP: 3140LCCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4087659.55    | 0.09%             | 2028-05-01      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5556                          | CUSIP: 31418FE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4057076 | PA      | $4004320.16    | 0.09%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4815 DA                        | CUSIP: 3137FGT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2829084 | PA      | $2825973.31    | 0.06%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7858                          | CUSIP: 3140JCWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3113582 | PA      | $3155785.47    | 0.07%             | 2055-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                          | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $881294.40     | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4048                          | CUSIP: 3131X7P93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27589 | PA      | $27410.14      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18654                          | CUSIP: 3128MMWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3858978 | PA      | $3728954.44    | 0.08%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5913                          | CUSIP: 3131X9SA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229234 | PA      | $226863.54     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2036                          | CUSIP: 3132XGHN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5278789 | PA      | $5211860.10    | 0.12%             | 2026-10-01      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7683                          | CUSIP: 3138LLRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1510000 | PA      | $1486532.03    | 0.03%             | 2028-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0160                          | CUSIP: 3140NUFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13092483 | PA      | $13404707.80   | 0.30%             | 2028-12-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2495                          | CUSIP: 3138LEXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2836273 | PA      | $2751810.70    | 0.06%             | 2028-09-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J36873                          | CUSIP: 31307TT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3858 | PA      | $3732.13       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZA3720                          | CUSIP: 31329MDZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245775 | PA      | $242718.81     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4058                          | CUSIP: 3131X7QK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29659 | PA      | $29458.90      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1065                          | CUSIP: 3132XFFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13200000 | PA      | $12578038.44   | 0.28%             | 2027-10-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K071 A2                       | CUSIP: 3137FCLD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22500000 | PA      | $22301030.25   | 0.50%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-144 HP                    | CUSIP: 3136ABJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3379878 | PA      | $3198705.94    | 0.07%             | 2042-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0993                          | CUSIP: 3132CXC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21831288 | PA      | $20722821.91   | 0.46%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6778                          | CUSIP: 31417DQ89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1770884 | PA      | $1745124.73    | 0.04%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8300                          | CUSIP: 3132D6GH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1785620 | PA      | $1762958.63    | 0.04%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8682                          | CUSIP: 31417FUG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4241168 | PA      | $4191664.88    | 0.09%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3793                          | CUSIP: 3140J8GB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11425 | PA      | $11142.84      | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M22 A2                    | CUSIP: 3136B6XJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8451105 | PA      | $8084395.63    | 0.18%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3158                          | CUSIP: 31418CQL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     698623 | PA      | $691141.80     | 0.02%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-139 BV                    | CUSIP: 38381QA92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8282054 | PA      | $8406929.71    | 0.19%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ5932                          | CUSIP: 3140Q1SW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5800000 | PA      | $5827527.38    | 0.13%             | 2030-12-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1155                          | CUSIP: 3140XGH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3350323 | PA      | $3284522.16    | 0.07%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1140                          | CUSIP: 3142BBHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9961079 | PA      | $10150670.78   | 0.23%             | 2055-09-01      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1139                          | CUSIP: 3142BBHQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     787079 | PA      | $801201.19     | 0.02%             | 2055-09-01      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5097 KE                        | CUSIP: 3137FYP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7101394 | PA      | $6693741.13    | 0.15%             | 2031-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4200                          | CUSIP: 31418DU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5474123 | PA      | $5236119.85    | 0.12%             | 2030-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH0187                          | CUSIP: 3140GNF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3602 | PA      | $3484.82       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5927                          | CUSIP: 3131X9SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215596 | PA      | $213426.16     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8764                          | CUSIP: 3138WJW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3054 | PA      | $2953.53       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4367                          | CUSIP: 31418DZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9416263 | PA      | $8960811.47    | 0.20%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH9242                          | CUSIP: 3140GYHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11065 | PA      | $10657.39      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7061                          | CUSIP: 3138LKZ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4140000 | PA      | $4080759.50    | 0.09%             | 2027-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8592                          | CUSIP: 3138WJRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228187 | PA      | $220956.96     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8622                          | CUSIP: 3132A9SK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     502510 | PA      | $492151.27     | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS5872                          | CUSIP: 3138WFQ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6127 | PA      | $5973.41       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2016-M7 A2                     | CUSIP: 3136AS4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7680328 | PA      | $7633143.00    | 0.17%             | 2026-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-22 MD                     | CUSIP: 38383MTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17871768 | PA      | $16792165.16   | 0.37%             | 2051-09-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5770                          | CUSIP: 31418FMU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2714616 | PA      | $2717053.97    | 0.06%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -867 | NC      | $476995.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K074 A2                       | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11278368 | PA      | $11230191.51   | 0.25%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4402                          | CUSIP: 31418D3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9717985 | PA      | $8783593.80    | 0.20%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          5 | NC      | $390.20        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 2/26                        | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  128500000 | PA      | $128474903.95  | 2.86%             | 2026-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8704                          | CUSIP: 3132A9U54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     894970 | PA      | $871669.02     | 0.02%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3346                          | CUSIP: 3140LDWG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3752167.20    | 0.08%             | 2028-10-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL0863                          | CUSIP: 3140HR5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8200000 | PA      | $8184902.16    | 0.18%             | 2028-12-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82500000 | PA      | $82954394.33   | 1.85%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4749                          | CUSIP: 36179TH24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   24841316 | PA      | $24245732.59   | 0.54%             | 2032-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC9043                          | CUSIP: 3140F5BM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181293 | PA      | $175623.14     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2803                          | CUSIP: 31418CDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     252794 | PA      | $244892.46     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4318                          | CUSIP: 3131X7YP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34532 | PA      | $34249.89      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8503                          | CUSIP: 3132D6NU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   71536434 | PA      | $66358219.33   | 1.48%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA0742                          | CUSIP: 3140W0ZG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4852051 | PA      | $5030774.84    | 0.11%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1577                          | CUSIP: 3132CXXE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1880113 | PA      | $1881801.35    | 0.04%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0489                          | CUSIP: 3140NURK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13650000 | PA      | $13915263.18   | 0.31%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61427                          | CUSIP: 3132KFSQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     530510 | PA      | $514725.91     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7605                          | CUSIP: 3138WHNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3976 | PA      | $3857.25       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                    | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   31141425 | PA      | $31020995.23   | 0.69%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4012                          | CUSIP: 3131X7N53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47294 | PA      | $46988.09      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZA2676                          | CUSIP: 31329K6M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27482 | PA      | $27323.13      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS7502                          | CUSIP: 3132A8KP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337298 | PA      | $328536.59     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-102 HA                    | CUSIP: 3136A8RL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     919383 | PA      | $876762.62     | 0.02%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-110 DA                    | CUSIP: 3136A9KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4016471 | PA      | $3800739.51    | 0.08%             | 2032-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4368                          | CUSIP: 3131X7Z92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78574 | PA      | $77948.74      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18480                          | CUSIP: 3128MMRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7935 | PA      | $7787.25       | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4624                          | CUSIP: 36179TD51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   14785424 | PA      | $14443688.54   | 0.32%             | 2032-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3746                          | CUSIP: 3140H5EU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     428809 | PA      | $413369.57     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16000                          | CUSIP: 3128ME3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     798047 | PA      | $773931.61     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34184                          | CUSIP: 31307QUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86621 | PA      | $84298.19      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K072 A2                       | CUSIP: 3137FEBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27060000 | PA      | $26882667.70   | 0.60%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7617                          | CUSIP: 3138WHPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5471 | PA      | $5313.84       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH7081                          | CUSIP: 3140GV2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1393 | PA      | $1343.08       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6088                          | CUSIP: 3140LGXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1494391 | PA      | $1486107.11    | 0.03%             | 2030-08-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37836                          | CUSIP: 31307UV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     644496 | PA      | $639803.56     | 0.01%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K086 A2                       | CUSIP: 3137FKSH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8673000 | PA      | $8671409.37    | 0.19%             | 2028-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M14 A2                    | CUSIP: 3136AY2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3350455 | PA      | $3290688.87    | 0.07%             | 2027-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC1077                          | CUSIP: 3140Y7FT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1828329 | PA      | $1833998.13    | 0.04%             | 2055-09-01      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61479                          | CUSIP: 3132KFUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1882882 | PA      | $1825248.31    | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K068 A2                       | CUSIP: 3137FBBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21580000 | PA      | $21402929.63   | 0.48%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4150                          | CUSIP: 3131X7TF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152696 | PA      | $151625.83     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8195                          | CUSIP: 3138WJC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13742 | PA      | $13324.49      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 4.090000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -5270000 | NC      | $-114560.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8019                          | CUSIP: 3138LL4D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3755492 | PA      | $3691947.64    | 0.08%             | 2028-01-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3868                          | CUSIP: 3131X7JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45507 | PA      | $45228.69      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-83 P                      | CUSIP: 3136ALY88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8427121 | PA      | $8191202.00    | 0.18%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K740 AM                       | CUSIP: 3137F72C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67111000 | PA      | $64076663.38   | 1.43%             | 2027-10-25      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6496                          | CUSIP: 3140JBGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5180857 | PA      | $4594219.52    | 0.10%             | 2030-12-01      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 ATS2                  | CUSIP: 3136AY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47931060 | PA      | $47439665.84   | 1.06%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  443437000 | PA      | $379723971.84  | 8.46%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA3748                          | CUSIP: 3140QBEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5637 | PA      | $5445.63       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTR 2.870000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -47090000 | NC      | $-49406.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5804                          | CUSIP: 3131X9NV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129147 | PA      | $127883.02     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4063                          | CUSIP: 3140NYQR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5050000 | PA      | $5121817.57    | 0.11%             | 2030-07-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8240                          | CUSIP: 3138WJEN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200584 | PA      | $194316.23     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4359                          | CUSIP: 3131X7ZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11459 | PA      | $11385.37      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7060                          | CUSIP: 3138LKZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2070000 | PA      | $2040379.75    | 0.05%             | 2027-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF3558                          | CUSIP: 3140BT5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4028972 | PA      | $4052009.22    | 0.09%             | 2055-11-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K153 A3                       | CUSIP: 3137BXHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $2938319.19    | 0.07%             | 2031-10-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0674                          | CUSIP: 36179MXB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3025397 | PA      | $2990316.94    | 0.07%             | 2028-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K744 A2                       | CUSIP: 3137H1Z33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3922152 | PA      | $3740141.94    | 0.08%             | 2028-07-25      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTR 3.270000 16-JUL-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   47090000 | NC      | $144255.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6219                          | CUSIP: 3138LJ4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2234446 | PA      | $2216210.01    | 0.05%             | 2027-07-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M7 A2                     | CUSIP: 3136B1K86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   62754092 | PA      | $61854675.05   | 1.38%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1290                          | CUSIP: 3132XFNG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4145919.59    | 0.09%             | 2028-11-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3103                          | CUSIP: 31418CNV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     623542 | PA      | $618806.24     | 0.01%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2417                          | CUSIP: 3138LEVK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4053225.97    | 0.09%             | 2026-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K088 A2                       | CUSIP: 3137FKZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52982000 | PA      | $52696564.77   | 1.17%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS5302                          | CUSIP: 3138WE3L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1263363 | PA      | $1232741.10    | 0.03%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL3495                          | CUSIP: 3138EK3D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2967468 | PA      | $2941856.62    | 0.07%             | 2028-04-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4108                          | CUSIP: 3131X7R59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107375 | PA      | $106622.20     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1141                          | CUSIP: 3142BBHS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     824832 | PA      | $837628.13     | 0.02%             | 2055-09-01      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G14686                          | CUSIP: 3128MDNB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7996070 | PA      | $7870319.01    | 0.18%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3918                          | CUSIP: 3140J8K85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     344299 | PA      | $336963.69     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2053                          | CUSIP: 3132XGH74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8807504 | PA      | $8550973.25    | 0.19%             | 2027-04-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4.5 1/26                      | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -42700000 | PA      | $-41852674.01  | -0.93%            | 2056-01-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4225                          | CUSIP: 31418DVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17577904 | PA      | $16788977.37   | 0.37%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4 2/26                        | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -84000000 | PA      | $-80187189.60  | -1.79%            | 2026-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4206                          | CUSIP: 3131X7U71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30941 | PA      | $30723.60      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1323                          | CUSIP: 3142BBPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2640000 | PA      | $2648982.07    | 0.06%             | 2056-01-01      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9878                          | CUSIP: 3138WK6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2057 | PA      | $1987.05       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6.5 2/26                      | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21250000 | PA      | $22004540.75   | 0.49%             | 2026-02-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 842074                          | CUSIP: 31288RJT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1173383 | PA      | $1189659.81    | 0.03%             | 2055-12-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4635                          | CUSIP: 3140Q0EH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10540000 | PA      | $10601031.87   | 0.24%             | 2030-09-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7546                          | CUSIP: 3138LLL45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2472166 | PA      | $2437834.58    | 0.05%             | 2027-12-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC1756                          | CUSIP: 3133L75R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20777676 | PA      | $18805860.27   | 0.42%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5156                          | CUSIP: 3140HWWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1508884.48    | 0.03%             | 2029-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5591                          | CUSIP: 31418FF93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5237757 | PA      | $5356974.19    | 0.12%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G15860                          | CUSIP: 3128MEWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90971 | PA      | $88490.24      | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1203 | NC      | $-85345.73     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35760                          | CUSIP: 31307SMH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1437887 | PA      | $1394471.11    | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ2987                          | CUSIP: 3140H4J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48492 | PA      | $46668.39      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM9087                          | CUSIP: 3138LACZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20476428 | PA      | $20267228.39   | 0.45%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3901                          | CUSIP: 3131X7KN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122183 | PA      | $121393.96     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5265                          | CUSIP: 3133LPZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7325051 | PA      | $7427202.75    | 0.17%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3822                          | CUSIP: 3131X7G77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79945 | PA      | $79455.56      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3263                          | CUSIP: 3140LDTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6790000 | PA      | $6387541.08    | 0.14%             | 2028-10-01      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K745 A2                       | CUSIP: 3137H2NE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10350000 | PA      | $9823961.25    | 0.22%             | 2028-08-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2557                          | CUSIP: 3140W2ZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13655531 | PA      | $13811825.29   | 0.31%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4245                          | CUSIP: 3131X7WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64706 | PA      | $64205.50      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2003-90 BA                     | CUSIP: 31393ETS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3712564 | PA      | $3833579.81    | 0.09%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8441                          | CUSIP: 3138L9LX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4366698 | PA      | $4324297.87    | 0.10%             | 2027-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8386                          | CUSIP: 3138WJJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3231131 | PA      | $3130169.02    | 0.07%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M2 A2                     | CUSIP: 3136AVKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21830340 | PA      | $21629200.11   | 0.48%             | 2027-02-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.388930 31-MAY-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   12000000 | NC      | $39259.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                          | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3172475.52    | 0.07%             | 2030-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9041                          | CUSIP: 3140LLBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2140000 | PA      | $2177181.86    | 0.05%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K069 A2                       | CUSIP: 3137FBU79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26825103 | PA      | $26564604.61   | 0.59%             | 2027-09-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4569                          | CUSIP: 3131X8CE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84979 | PA      | $84284.92      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0755                          | CUSIP: 3618N5ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3022074 | PA      | $3038560.41    | 0.07%             | 2055-11-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund            | Vanguard Market Liquidity Fund     | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |  123368254 | NS      | $123368254.11  | 2.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5171                          | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $794948.48     | 0.02%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                     | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  232107000 | PA      | $196754318.62  | 4.38%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2021-83 FN                     | CUSIP: 38382QWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431004 | PA      | $356510.54     | 0.01%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2017-180 VB                    | CUSIP: 38380UDY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3375064 | PA      | $3317038.55    | 0.07%             | 2038-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G15606                          | CUSIP: 3128MENX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8469037 | PA      | $8373043.87    | 0.19%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM9637                          | CUSIP: 3140XDV78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43173961 | PA      | $39927356.39   | 0.89%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ0958                          | CUSIP: 3140H2B49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8345 | PA      | $8034.86       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0881                          | CUSIP: 3618N56T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19050000 | PA      | $19148591.37   | 0.43%             | 2056-01-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4278                          | CUSIP: 31418DXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11443695 | PA      | $10357680.42   | 0.23%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8712                          | CUSIP: 3138WJVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3606 | PA      | $3487.02       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6335                          | CUSIP: 31417DBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12114 | PA      | $11937.42      | 0.00%             | 2027-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4913                          | CUSIP: 3140Q0N73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3350000 | PA      | $3374597.04    | 0.08%             | 2030-09-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.128310 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  140000000 | NC      | $467936.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4282                          | CUSIP: 3131X7XK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150867 | PA      | $149738.09     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BP7591                          | CUSIP: 3140KFNH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4556398 | PA      | $4133960.06    | 0.09%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6 2/26                        | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42000000 | PA      | $43010625.00   | 0.96%             | 2026-02-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 842048                          | CUSIP: 31288RHZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     611487 | PA      | $622096.67     | 0.01%             | 2055-11-01      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4356                          | CUSIP: 36179SZV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   14490528 | PA      | $14172156.74   | 0.32%             | 2032-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0632                          | CUSIP: 3618N5V22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1959901 | PA      | $1971237.86    | 0.04%             | 2055-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5367                          | CUSIP: 3140HW6D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2199373 | PA      | $2163734.19    | 0.05%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK                   | CUSIP: 3130B0EE5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  100000000 | PA      | $100121900.00  | 2.23%             | 2028-03-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8008                          | CUSIP: 3138WH3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     313493 | PA      | $303964.82     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4691                          | CUSIP: 3140Q0F98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3525000 | PA      | $3611800.31    | 0.08%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8383                          | CUSIP: 3132D6J43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5032671 | PA      | $5037191.32    | 0.11%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4804                          | CUSIP: 3131X8KR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19577 | PA      | $19409.64      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5554 EV                        | CUSIP: 3137HMAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26488886 | PA      | $26981757.17   | 0.60%             | 2036-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK5542                          | CUSIP: 3131X9EP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199316 | PA      | $197365.25     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7697                          | CUSIP: 3138WHRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160354 | PA      | $155479.66     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA5269                          | CUSIP: 3140QC2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6732877 | PA      | $6399436.21    | 0.14%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1276                          | CUSIP: 3140HSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4995312.00    | 0.11%             | 2029-01-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8546                          | CUSIP: 31417FP85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4174268 | PA      | $4104798.90    | 0.09%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3187                          | CUSIP: 31418CRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87161 | PA      | $84026.30      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18559                          | CUSIP: 3128MMTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130654 | PA      | $126538.93     | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA8380                          | CUSIP: 3140QGJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     965708 | PA      | $894899.22     | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $19843750.00   | 0.44%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3979                          | CUSIP: 3131X7M47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12628 | PA      | $12539.12      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4750 PA                        | CUSIP: 3137FDDJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1603470 | PA      | $1565160.16    | 0.03%             | 2046-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31975                          | CUSIP: 31307NFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277452 | PA      | $268868.94     | 0.01%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-16 KA                     | CUSIP: 3136BMNF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15033096 | PA      | $14312576.31   | 0.32%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4497                          | CUSIP: 31418D7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9289496 | PA      | $8588040.10    | 0.19%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5554 VA                        | CUSIP: 3137HMB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7304094 | PA      | $7457740.37    | 0.17%             | 2036-05-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4139 EB                        | CUSIP: 3137AWXK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1394144 | PA      | $1352988.17    | 0.03%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA3776                          | CUSIP: 3140W4FS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11077399 | PA      | $10842714.06   | 0.24%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4808                          | CUSIP: 36179TKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   30858759 | PA      | $30119265.60   | 0.67%             | 2032-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2510                          | CUSIP: 31418BYG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93660 | PA      | $91226.91      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG                   | CUSIP: 742651EA6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   34000000 | PA      | $34484124.98   | 0.77%             | 2028-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K513 A2                       | CUSIP: 3137HBFY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1265000 | PA      | $1291729.58    | 0.03%             | 2028-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37643                          | CUSIP: 31307UP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2146 | PA      | $2070.76       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4337                          | CUSIP: 3131X7ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75092 | PA      | $74494.71      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8508                          | CUSIP: 3132D6NZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30188453 | PA      | $27974938.87   | 0.62%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA3288                          | CUSIP: 3140W3UN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16164246 | PA      | $15700057.55   | 0.35%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC0257                          | CUSIP: 3140EUJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     276031 | PA      | $268984.66     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZA2704                          | CUSIP: 31329LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18207 | PA      | $18095.39      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 2.5 2/26                      | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -15700000 | PA      | $-13323534.96  | -0.30%            | 2026-02-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4155                          | CUSIP: 3131X7TL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106217 | PA      | $105445.82     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS6640                          | CUSIP: 3140LHLW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2749382 | PA      | $2716285.64    | 0.06%             | 2029-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AT2769                          | CUSIP: 3138WQCF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     429520 | PA      | $421893.00     | 0.01%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73500000 | PA      | $74556562.50   | 1.66%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS0274                          | CUSIP: 3140LAJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3564079.20    | 0.08%             | 2031-01-01      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4386                          | CUSIP: 3131X72T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66162 | PA      | $65621.37      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4 2/26                        | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $190921.88     | 0.00%             | 2026-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8509                          | CUSIP: 3132D6N22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42986671 | PA      | $39834751.16   | 0.89%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9270                          | CUSIP: 3140LLJQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $10138759.00   | 0.23%             | 2028-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN7661                          | CUSIP: 3138LLQP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15810920 | PA      | $15596679.26   | 0.35%             | 2027-12-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 4.092500 21-JAN-2038 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    5210000 | NC      | $11263.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6.5 1/26                      | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21875000 | PA      | $22647458.75   | 0.50%             | 2056-01-14      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2472                          | CUSIP: 3138LEXA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11866495 | PA      | $11456413.47   | 0.26%             | 2028-09-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR QS0204                          | CUSIP: 3133HMGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5059566 | PA      | $4794284.58    | 0.11%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM1543                          | CUSIP: 3140J5WD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     355689 | PA      | $351304.19     | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J22872                          | CUSIP: 31307BFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3471385 | PA      | $3416775.25    | 0.08%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC2277                          | CUSIP: 3133L8Q65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     931157 | PA      | $842207.19     | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2019-M5 A2                     | CUSIP: 3136B4KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4152986 | PA      | $4085099.99    | 0.09%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 2 2/26                        | CUSIP: 01F020422<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5540859.60    | 0.12%             | 2026-02-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K073 A2                       | CUSIP: 3137FETN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3930000 | PA      | $3897165.64    | 0.09%             | 2028-01-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3895                          | CUSIP: 3131X7KG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76217 | PA      | $75702.47      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783707                          | CUSIP: 3622A2DL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2598378 | PA      | $2570423.94    | 0.06%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS0001                          | CUSIP: 3138W9AB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116386 | PA      | $114173.77     | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G14725                          | CUSIP: 3128MDPJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7807847 | PA      | $7721503.78    | 0.17%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3622                          | CUSIP: 3140NYAY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10840000 | PA      | $10940460.78   | 0.24%             | 2030-04-01      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  105000000 | PA      | $106533983.85  | 2.37%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS6029                          | CUSIP: 3140XMVX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17436709 | PA      | $16876392.31   | 0.38%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8991                          | CUSIP: 3140XC7D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30178906 | PA      | $28637164.87   | 0.64%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  109400000 | PA      | $110959803.32  | 2.47%             | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 1/26                        | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -66950000 | PA      | $-67017994.42  | -1.49%            | 2056-01-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 2/26                      | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -130400000 | PA      | $-132259217.12 | -2.95%            | 2026-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0601                          | CUSIP: 36179MU24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2242455 | PA      | $2217260.74    | 0.05%             | 2027-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4522                          | CUSIP: 31418EAY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6123088 | PA      | $5797710.92    | 0.13%             | 2032-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK6693                          | CUSIP: 3131XANJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385619 | PA      | $380821.94     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS2194                          | CUSIP: 3140LCNL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $376736.12     | 0.01%             | 2028-06-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTP 3.460000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -18950000 | NC      | $-134852.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS4598                          | CUSIP: 3140LFDC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1313413.92    | 0.03%             | 2029-02-01      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K080 A2                       | CUSIP: 3137FHPJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24290000 | PA      | $24334045.06   | 0.54%             | 2028-07-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5868                          | CUSIP: 31418FQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4896121 | PA      | $4964399.63    | 0.11%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3920                          | CUSIP: 3131X7K98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42575 | PA      | $42299.42      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1717                          | CUSIP: 3132CX4A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3931305 | PA      | $3934835.34    | 0.09%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4383                          | CUSIP: 3131X72Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46459 | PA      | $46110.19      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8D0898                          | CUSIP: 3142BN7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     408716 | PA      | $414091.69     | 0.01%             | 2055-10-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6611                          | CUSIP: 3138LKKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1081590 | PA      | $1067680.43    | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3908                          | CUSIP: 3138LGKW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2918870 | PA      | $2862783.47    | 0.06%             | 2029-01-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0545                          | CUSIP: 3132CWTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10039514 | PA      | $9312796.99    | 0.21%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3977                          | CUSIP: 3140FPM30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5155 | PA      | $4987.12       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K747 AM                       | CUSIP: 3137H5DY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44550000 | PA      | $42010128.77   | 0.94%             | 2028-12-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M10 A2                    | CUSIP: 3136B2HA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4652548 | PA      | $4608495.38    | 0.10%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9563                          | CUSIP: 3140J2TV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2881043 | PA      | $2739983.81    | 0.06%             | 2027-12-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4968                          | CUSIP: 3138LHQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6655000 | PA      | $6591628.43    | 0.15%             | 2027-03-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16661                          | CUSIP: 3128MFTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1677618 | PA      | $1618304.55    | 0.04%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 3.750000 21-JAN-2027   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -48640000 | NC      | $-109588.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2015-M10 A2                    | CUSIP: 3136AN6U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8762412 | PA      | $8698393.39    | 0.19%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1201                          | CUSIP: 3142BBKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     839198 | PA      | $850522.34     | 0.02%             | 2055-11-01      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 1.5 2/26                      | CUSIP: 01F012429<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2257951.00    | 0.05%             | 2026-02-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DC9067                          | CUSIP: 3140AXCD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1403662 | PA      | $1436715.52    | 0.03%             | 2055-05-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8693                          | CUSIP: 3132A9US4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1118006 | PA      | $1089898.11    | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16186                          | CUSIP: 3128MFCX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4586 | PA      | $4474.09       | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS6195                          | CUSIP: 3140XM3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219949 | PA      | $218463.10     | 0.00%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 4.5 2/26                      | CUSIP: 01F042426<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6500000 | PA      | $6504316.65    | 0.14%             | 2026-02-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1079                          | CUSIP: 3140NVFV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2682365 | PA      | $2771667.16    | 0.06%             | 2029-06-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1153                          | CUSIP: 3142BBH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     694949 | PA      | $703856.07     | 0.02%             | 2055-09-01      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18626                          | CUSIP: 3128MMVU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     232445 | PA      | $225230.16     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8009                          | CUSIP: 3138WH3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5996 | PA      | $5810.84       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M8 A2                     | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9531248 | PA      | $9434926.46    | 0.21%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 2Y RTP 4.100000 20-JAN-2028   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -25650000 | NC      | $-101517.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1881                          | CUSIP: 3138LECT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8294897 | PA      | $8162590.47    | 0.18%             | 2028-05-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 5.5 2/26                      | CUSIP: 01F052425<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1022031.20    | 0.02%             | 2026-02-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 5 2/26                        | CUSIP: 01F050429<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5561875.00    | 0.12%             | 2026-02-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 1/26                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   66950000 | PA      | $67017994.42   | 1.49%             | 2056-01-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA 0 11/15/2030                  | CUSIP: 31358DDS0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    7000000 | PA      | $5797981.00    | 0.13%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G14726                          | CUSIP: 3128MDPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7918025 | PA      | $7830467.95    | 0.17%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3800                          | CUSIP: 3131X7GH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19406 | PA      | $19300.13      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K059 A2                       | CUSIP: 3137BSRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15023880 | PA      | $14937500.31   | 0.33%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7907                          | CUSIP: 3140JCYD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1098116 | PA      | $1114788.68    | 0.02%             | 2055-12-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL9994                          | CUSIP: 3138ESC89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     323349 | PA      | $313095.65     | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4681 DA                        | CUSIP: 3137BYFS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2384293 | PA      | $2344987.46    | 0.05%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3246                          | CUSIP: 31418CTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138880 | PA      | $133765.44     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3963                          | CUSIP: 3140FPMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5735 | PA      | $5550.57       | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CC0929                          | CUSIP: 3140Y7A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1101063 | PA      | $1111644.96    | 0.02%             | 2055-08-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC0255                          | CUSIP: 3140EUH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258659 | PA      | $252051.13     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M7 A2                     | CUSIP: 3136AV7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32754056 | PA      | $32453721.39   | 0.72%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5679                          | CUSIP: 3138LJJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12196686 | PA      | $12072542.92   | 0.27%             | 2027-07-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4798                          | CUSIP: 3140HWKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $2668243.14    | 0.06%             | 2026-11-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4484                          | CUSIP: 36179S6V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    6867810 | PA      | $6711044.01    | 0.15%             | 2032-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-24 PD                     | CUSIP: 3136AB7F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5867909 | PA      | $5577619.81    | 0.12%             | 2033-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.750000 09-MAR-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -7620000 | NC      | $-4491.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8011                          | CUSIP: 3138WH3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     541091 | PA      | $524645.24     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4481                          | CUSIP: 3140HV6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99620000 | PA      | $98305514.10   | 2.19%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC2863                          | CUSIP: 3140EXFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1587047 | PA      | $1538744.24    | 0.03%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0374                          | CUSIP: 36179MMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1091222 | PA      | $1079784.65    | 0.02%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4860                          | CUSIP: 3138LHMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4070407.84    | 0.09%             | 2027-03-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0625                          | CUSIP: 3132CWVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6751953 | PA      | $6520292.34    | 0.15%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7031                          | CUSIP: 31417DY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1752492 | PA      | $1726053.42    | 0.04%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BR1050                          | CUSIP: 3140KYEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     966437 | PA      | $877741.49     | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K095 A2                       | CUSIP: 3137FNAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25300000 | PA      | $24445140.83   | 0.54%             | 2029-06-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3753                          | CUSIP: 3140J8E33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     327515 | PA      | $325770.05     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1648                          | CUSIP: 3132CXZM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2179946 | PA      | $2204896.70    | 0.05%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8717                          | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $295554.57     | 0.01%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM7428                          | CUSIP: 3140XBHE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13149550 | PA      | $11963286.56   | 0.27%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-17 BA                     | CUSIP: 3136BMPR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14353564 | PA      | $13994423.91   | 0.31%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0819                          | CUSIP: 3140XF4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6929380 | PA      | $6575380.90    | 0.15%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K079 A2                       | CUSIP: 3137FGZT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8621000 | PA      | $8636504.01    | 0.19%             | 2028-06-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1548                          | CUSIP: 3140LBWJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $31348053.00   | 0.70%             | 2028-03-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF8681                          | CUSIP: 3140U0UF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248360 | PA      | $252853.98     | 0.01%             | 2055-12-01      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8440                          | CUSIP: 31417FLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4119845 | PA      | $4053370.68    | 0.09%             | 2028-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL9102                          | CUSIP: 3138ERDG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     766918 | PA      | $751623.64     | 0.02%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1712                          | CUSIP: 3140XG3W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8478257 | PA      | $8295118.56    | 0.18%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6.5 2/26                      | CUSIP: 01F062622<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -42250000 | PA      | $-43750204.55  | -0.98%            | 2026-02-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 AE                        | CUSIP: 3137H5R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13150122 | PA      | $11748359.96   | 0.26%             | 2049-08-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7832                          | CUSIP: 3140JCV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1228965 | PA      | $1250577.35    | 0.03%             | 2055-09-01      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 5Y RTP 3.690000 08-APR-2026   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   37890000 | NC      | $87397.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4340                          | CUSIP: 3131X7ZD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49781 | PA      | $49432.35      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1156                          | CUSIP: 3142BBH94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     675524 | PA      | $685723.81     | 0.02%             | 2055-10-01      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM4130                          | CUSIP: 3140J8SU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     951872 | PA      | $947253.48     | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2921                          | CUSIP: 31418CG73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3103 | PA      | $3001.75       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5055                          | CUSIP: 3133LPTL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6392358 | PA      | $6091942.80    | 0.14%             | 2031-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2017-164 GB                    | CUSIP: 38380KHV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6119905 | PA      | $5907310.92    | 0.13%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8629                          | CUSIP: 3132A9SS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254918 | PA      | $246945.46     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3834                          | CUSIP: 3131X7HK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23882 | PA      | $23735.88      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8194                          | CUSIP: 3138WJC89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208875 | PA      | $202438.49     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                    | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $76203124.80   | 1.70%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4279                          | CUSIP: 3131X7XG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15988 | PA      | $15864.87      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35338                          | CUSIP: 31307R4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128708 | PA      | $124869.46     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4666 PM                        | CUSIP: 3137BWNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1986764 | PA      | $1951307.63    | 0.04%             | 2046-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3271                          | CUSIP: 3140LDT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2670000 | PA      | $2499776.02    | 0.06%             | 2028-10-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4665                          | CUSIP: 3140Q0FF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4550000 | PA      | $4564087.26    | 0.10%             | 2030-08-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM6866                          | CUSIP: 3140JBTY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     452722 | PA      | $436316.63     | 0.01%             | 2051-08-01      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1625                          | CUSIP: 3132CXYW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9289489 | PA      | $9401617.37    | 0.21%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8429                          | CUSIP: 3138WJLK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     481153 | PA      | $466322.19     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5364                          | CUSIP: 3140HW6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3518996 | PA      | $3461974.62    | 0.08%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18469                          | CUSIP: 3128MMQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6955976 | PA      | $6830769.33    | 0.15%             | 2028-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37112                          | CUSIP: 31307T3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2351 | PA      | $2267.99       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5325                          | CUSIP: 3132XK4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6600000 | PA      | $6577794.30    | 0.15%             | 2030-09-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7028                          | CUSIP: 31417DY23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1791547 | PA      | $1764517.97    | 0.04%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8346                          | CUSIP: 3132D6HX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5317807 | PA      | $5248657.32    | 0.12%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4935                          | CUSIP: 36179TPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   18018981 | PA      | $17582056.64   | 0.39%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34888                          | CUSIP: 31307RND3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5221573 | PA      | $5079286.46    | 0.11%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS0046                          | CUSIP: 3140LABQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2990000 | PA      | $2852317.68    | 0.06%             | 2027-12-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM6278                          | CUSIP: 3140X96Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12800525 | PA      | $11625747.57   | 0.26%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8990                          | CUSIP: 3140XC7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26215395 | PA      | $24900713.71   | 0.55%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4515                          | CUSIP: 31418EAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11786420 | PA      | $10649463.81   | 0.24%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4690                          | CUSIP: 36179TF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   21039190 | PA      | $20540828.68   | 0.46%             | 2032-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK4057                          | CUSIP: 3131X7QJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14283 | PA      | $14187.11      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35072                          | CUSIP: 31307RT54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     445453 | PA      | $432362.11     | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0982                          | CUSIP: 3132CXCT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4145080 | PA      | $4060970.92    | 0.09%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8388                          | CUSIP: 3138WJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275210 | PA      | $266490.65     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2012-M14 AL                    | CUSIP: 3136A9MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8839335 | PA      | $8702493.32    | 0.19%             | 2027-09-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18622                          | CUSIP: 3128MMVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2646269 | PA      | $2565256.02    | 0.06%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9129                          | CUSIP: 3140LLEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1990000 | PA      | $2016395.16    | 0.04%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2021-28 NG                     | CUSIP: 3136BHKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9688754 | PA      | $8851401.89    | 0.20%             | 2041-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.573500 21-JAN-2030 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   22370000 | NC      | $6905.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0072                          | CUSIP: 36179MCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     441850 | PA      | $437945.87     | 0.01%             | 2027-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9595                          | CUSIP: 3140J2UV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16500000 | PA      | $15707694.75   | 0.35%             | 2027-12-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 1/26                      | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -88150000 | PA      | $-89486027.85  | -1.99%            | 2056-01-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2411                          | CUSIP: 3138LEVD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19820980.00   | 0.44%             | 2026-08-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8B6048                          | CUSIP: 3142B3WH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     714872 | PA      | $727144.44     | 0.02%             | 2055-10-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MB0756                          | CUSIP: 3618N5ZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1085344 | PA      | $1102234.41    | 0.02%             | 2055-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5110 HG                        | CUSIP: 3137H0FB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4848487 | PA      | $4475163.98    | 0.10%             | 2041-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS6268                          | CUSIP: 3138WF6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209385 | PA      | $204126.15     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Mar26            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -421 | NC      | $-113470.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Non Gold Pool                                    | FH 8C1195                          | CUSIP: 3142BBKG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     388891 | PA      | $394749.99     | 0.01%             | 2055-11-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DF0571                          | CUSIP: 3140BQT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4286467 | PA      | $4356297.02    | 0.10%             | 2055-09-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2017-1 JP                      | CUSIP: 3136AVBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     338065 | PA      | $335438.60     | 0.01%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61321                          | CUSIP: 3132KFPE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184379 | PA      | $178890.45     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ4341                          | CUSIP: 3140NYZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6180602 | PA      | $6311088.83    | 0.14%             | 2030-10-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9743                          | CUSIP: 3140J2ZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6590151 | PA      | $6276496.37    | 0.14%             | 2027-12-01      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18669                          | CUSIP: 3128MMW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2008233 | PA      | $1937251.04    | 0.04%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                          | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3784150.95    | 0.08%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FSWP: OIS 3.230150 15-DEC-2027 SOF | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   27000000 | NC      | $45113.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3828                          | CUSIP: 3140J8HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2225460 | PA      | $2213170.00    | 0.05%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K057 A2                       | CUSIP: 3137BRQJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   61194839 | PA      | $60824744.85   | 1.36%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC9254                          | CUSIP: 3140F5H89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228414 | PA      | $221953.04     | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM7912                          | CUSIP: 3140JCYJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     699049 | PA      | $703768.37     | 0.02%             | 2055-12-01      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783796                          | CUSIP: 3622A2GD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     728864 | PA      | $720757.33     | 0.02%             | 2028-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK3813                          | CUSIP: 3131X7GW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58110 | PA      | $57733.53      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | FWDP 30Y RTR 3.690000 16-JUL-2026  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    5270000 | NC      | $32645.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA2637                          | CUSIP: 3140W24X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4103931 | PA      | $4066721.84    | 0.09%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5543 DC                        | CUSIP: 3137HLL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15846555 | PA      | $15920366.69   | 0.35%             | 2052-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3631                          | CUSIP: 3140LEA98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8319494.85    | 0.19%             | 2026-11-01      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC2193                          | CUSIP: 3133L8NJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3787110 | PA      | $3523628.73    | 0.08%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                          | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1428763.14    | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB0405                          | CUSIP: 3140QKNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6407933 | PA      | $5924065.23    | 0.13%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7030                          | CUSIP: 31417DY49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1775097 | PA      | $1748316.24    | 0.04%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1040                          | CUSIP: 3140NVEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2757702 | PA      | $2876164.57    | 0.06%             | 2029-06-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K739 AM                       | CUSIP: 3137F64Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60766000 | PA      | $58024390.00   | 1.29%             | 2027-09-25      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 A2                    | CUSIP: 3136AY6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8051043 | PA      | $7958177.43    | 0.18%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8788                          | CUSIP: 31417FXS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5984909 | PA      | $5885305.59    | 0.13%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4235                          | CUSIP: 36179SV46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   27197815 | PA      | $26616126.84   | 0.59%             | 2032-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 6.5 1/26                      | CUSIP: 01F062614<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -21875000 | PA      | $-22647458.75  | -0.50%            | 2056-01-14      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DD8703                          | CUSIP: 3140B9U56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7341143 | PA      | $7551637.55    | 0.17%             | 2055-09-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6627                          | CUSIP: 3140HYLH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3115736 | PA      | $3029795.02    | 0.07%             | 2027-05-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M8 A2                     | CUSIP: 3136AW7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14863969 | PA      | $14726712.45   | 0.33%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9882                          | CUSIP: 3140LL6U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4791179 | PA      | $4922323.80    | 0.11%             | 2028-11-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4559                          | CUSIP: 36179TB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   11466411 | PA      | $11204661.83   | 0.25%             | 2032-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** VANGUARD FIXED INCOME SECURITIES FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer