# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0002071691-26-015529
**Filing Date:** 2026-6
**Character Count:** 276393
**Document Hash:** 5f52b7573aafc61fdadd1b19e5e4645c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-015529.hdr.sgml**: 20260626

**ACCESSION NUMBER**: 0002071691-26-015529

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260626

**DATE AS OF CHANGE**: 20260626

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 261128680

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Janus ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Mortgage-Backed Securities ETF (Series ID: S000063007)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000204446 | Janus Henderson Mortgage-Backed Securities ETF | JMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000063007

- **c. LEI of Series:** 549300V6TVE4ZJCDWY16

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $12978220402.47

**Total Liabilities:** $6360966578.08

**Net Assets:** $6617253824.39

**Delayed Delivery Securities:** $24636171.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -29794.24384077 | **1-Year:** -479409.08958518 | **5-Year:** -1236134.92901631 | **10-Year:** -2150395.09493029 | **30-Year:** -664715.95853974

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

- **3-Month:** -3612.16103984 | **1-Year:** -37153.15912999 | **5-Year:** -62869.97822312 | **10-Year:** -124237.36640044 | **30-Year:** -14747.34241517

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204446 | 1.66%                | -1.94%               | 0.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2292943.59              | $85840823.40                               |
| Month 2  | $6516643.63              | $-167313364.49                             |
| Month 3  | $-9683255.66             | $985536.81                                 |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities (Statistics Universe)

- **Index Identifier:** LEHM.MC.LEHM000095UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class B                                   | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1131214 | PA      | $1138741.18    | 0.02%             | 2031-04-25      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                   | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     528423 | PA      | $531163.12     | 0.01%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                            | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4840000 | PA      | $4856149.63    | 0.07%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| Acacia LLC                                     | Acacia LLC, Series 2025-1, Class A                                         | CUSIP: 00401PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8901229 | PA      | $8911315.40    | 0.13%             | 2037-11-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class A                              | CUSIP: 00449TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6596311 | PA      | $6738266.00    | 0.10%             | 2039-05-25      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                              | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     599665 | PA      | $613205.81     | 0.01%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2025-X2, Class C                 | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4499867.42    | 0.07%             | 2030-10-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  360986255 | PA      | $288817521.91  | 4.36%             | 2056-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1577739894 | PA      | $1321122077.98 | 19.96%            | 2056-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  303281354 | PA      | $265506144.95  | 4.01%             | 2056-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  155843000 | PA      | $141896609.93  | 2.14%             | 2056-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -549133893 | PA      | $-515054643.60 | -7.78%            | 2056-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -556339333 | PA      | $-535183417.18 | -8.09%            | 2056-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6896757.00    | 0.10%             | 2056-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -632421561 | PA      | $-623093975.40 | -9.42%            | 2056-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  202396901 | PA      | $203419005.35  | 3.07%             | 2056-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -203902428 | PA      | $-204932135.26 | -3.10%            | 2056-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18080424 | PA      | $18151480.07   | 0.27%             | 2056-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -69035795 | PA      | $-70466216.67  | -1.06%            | 2056-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  413948985 | PA      | $422526007.97  | 6.39%             | 2056-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44682662 | PA      | $45562016.79   | 0.69%             | 2056-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  137850000 | PA      | $142984912.50  | 2.16%             | 2056-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class C                 | CUSIP: 02007G5F6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9245446 | PA      | $9251445.41    | 0.14%             | 2033-06-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class D                 | CUSIP: 02007G5G4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6005831 | PA      | $6000678.44    | 0.09%             | 2033-06-15      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class C                 | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2067450 | PA      | $2091997.67    | 0.03%             | 2032-05-17      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class D                 | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1181400 | PA      | $1195837.10    | 0.02%             | 2032-05-17      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class A                           | CUSIP: 02157JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7753515 | PA      | $7765098.47    | 0.12%             | 2039-05-16      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class A      | CUSIP: 039943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     522603 | PA      | $523978.45     | 0.01%             | 2028-04-17      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class A                                             | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $14000230.97   | 0.21%             | 2041-06-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-21M, Class A                     | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862801 | PA      | $862823.96     | 0.01%             | 2036-10-15      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class C                                        | CUSIP: 05609RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2958012 | PA      | $2957102.54    | 0.04%             | 2026-10-15      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                        | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2488884 | PA      | $2483580.16    | 0.04%             | 2026-10-15      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class B         | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    2306744 | PA      | $2311739.58    | 0.03%             | 2031-12-26      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class C         | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    1122615 | PA      | $1125914.54    | 0.02%             | 2031-12-26      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class A                           | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     665516 | PA      | $668596.45     | 0.01%             | 2030-11-15      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8705017 | PA      | $8573738.60    | 0.13%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1             | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5991291 | PA      | $5960414.11    | 0.09%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-SDMF, Class A                                        | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5355350 | PA      | $5353711.15    | 0.08%             | 2034-09-15      | Floating      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class B                 | CUSIP: 20469AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     620000 | PA      | $629137.08     | 0.01%             | 2049-02-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2M2            | CUSIP: 20753CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9254000 | PA      | $9267228.02    | 0.14%             | 2045-07-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B1            | CUSIP: 20753UAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4103599.34    | 0.06%             | 2044-01-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B2            | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8793401 | PA      | $9390047.00    | 0.14%             | 2042-03-25      | Floating      | 13.15%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2            | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1016761.40    | 0.02%             | 2042-03-25      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2            | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3678892 | PA      | $3724846.94    | 0.06%             | 2042-01-25      | Floating      | 6.65%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B2            | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9637000 | PA      | $10049308.94   | 0.15%             | 2042-01-25      | Floating      | 11.30%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B1            | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11170460 | PA      | $11694406.19   | 0.18%             | 2043-07-25      | Floating      | 7.55%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B2            | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5616000 | PA      | $5756825.12    | 0.09%             | 2041-11-25      | Floating      | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2            | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8116382 | PA      | $8342042.08    | 0.13%             | 2041-12-25      | Floating      | 9.65%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1B2            | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3206201 | PA      | $3577658.58    | 0.05%             | 2042-06-25      | Floating      | 15.65%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M2            | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4397000 | PA      | $4574081.03    | 0.07%             | 2042-06-25      | Floating      | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2            | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1596475 | PA      | $1740777.16    | 0.03%             | 2042-05-25      | Floating      | 14.25%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1            | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750000 | PA      | $3911749.64    | 0.06%             | 2043-10-25      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M2            | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2280000 | PA      | $2344963.29    | 0.04%             | 2042-07-25      | Floating      | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M2            | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7526000 | PA      | $7532113.60    | 0.11%             | 2045-01-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2            | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2919840 | PA      | $2923726.61    | 0.04%             | 2044-09-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R05, Class 1B1            | CUSIP: 207942AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312000 | PA      | $331346.87     | 0.01%             | 2043-06-25      | Floating      | 8.40%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2026-CES1, Class A1B              | CUSIP: 21689GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7230576 | PA      | $7190875.48    | 0.11%             | 2061-02-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2026-CES1, Class A2               | CUSIP: 21689GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2949000 | PA      | $2925689.91    | 0.04%             | 2061-02-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES3, Class A1A              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7310449 | PA      | $7252290.53    | 0.11%             | 2060-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  710603414 | PA      | $608438539.96  | 9.19%             | 2056-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  182289962 | PA      | $162168978.28  | 2.45%             | 2056-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  132283377 | PA      | $119453873.68  | 1.81%             | 2056-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  102070688 | PA      | $95126717.02   | 1.44%             | 2056-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  113901488 | PA      | $109778140.23  | 1.66%             | 2056-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  198508194 | PA      | $196813529.55  | 2.97%             | 2056-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  164697000 | PA      | $165836703.24  | 2.51%             | 2056-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-RTL1, Class A1                                           | CUSIP: 26846FAA7<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    3108000 | PA      | $3106903.50    | 0.05%             | 2040-11-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A1B            | CUSIP: 26846MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2512773 | PA      | $2501054.87    | 0.04%             | 2060-12-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A2             | CUSIP: 26846MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3881000 | PA      | $3854673.05    | 0.06%             | 2060-12-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A3             | CUSIP: 26846MAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4250000 | PA      | $4226830.23    | 0.06%             | 2060-12-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class M1             | CUSIP: 26846MAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1166000 | PA      | $1154819.61    | 0.02%             | 2060-12-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                | Easy Street Mortgage Loan Trust, Series 2025-RTL2, Class A1                | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $4092622.87    | 0.06%             | 2040-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE1, Class B                                      | CUSIP: 30249NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3669715 | PA      | $3654325.94    | 0.06%             | 2056-01-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE1, Class C                                      | CUSIP: 30249NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5465235 | PA      | $5452290.74    | 0.08%             | 2056-01-25      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust, Series 2019-KF70, Class C                            | CUSIP: 30298UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     890414 | PA      | $884282.37     | 0.01%             | 2029-09-25      | Floating      | 9.77%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2023-2A, Class A2                                 | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     845085 | PA      | $851558.94     | 0.01%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-2A, Class A1                                 | CUSIP: 30343DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3501859 | PA      | $3502165.64    | 0.05%             | 2026-12-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49186 | PA      | $47741.90      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XCKS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6285 | PA      | $6049.72       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29165 | PA      | $28278.56      | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131XVQW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11674 | PA      | $10526.35      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y2M21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88972 | PA      | $87069.67      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76591 | PA      | $76917.02      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y3DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     886439 | PA      | $841946.73     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                    | CUSIP: 3131Y6WK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1601 | PA      | $1455.41       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22405 | PA      | $22094.79      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131YAV98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245521 | PA      | $240890.28     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131YDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298487 | PA      | $283433.77     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154649 | PA      | $151128.07     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43162 | PA      | $42199.07      | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ACH52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16343 | PA      | $14747.54      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ACNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285870 | PA      | $273529.95     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155080 | PA      | $147300.81     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104461 | PA      | $100077.84     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                    | CUSIP: 3132AED78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     743853 | PA      | $679648.34     | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1127414 | PA      | $1069225.89    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132AEVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38969669 | PA      | $37756072.34   | 0.57%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206757 | PA      | $199132.90     | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469545 | PA      | $445159.70     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1719282 | PA      | $1591639.53    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNCW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15748506 | PA      | $15451178.05   | 0.23%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   78705202 | PA      | $74584619.42   | 1.13%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3120372 | PA      | $2974528.46    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25390499 | PA      | $24847697.71   | 0.38%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     430555 | PA      | $408332.99     | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3449941 | PA      | $3376187.38    | 0.05%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1781394 | PA      | $1692034.36    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3132DP3P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5453994 | PA      | $5317013.26    | 0.08%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319993 | PA      | $302056.95     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQ4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2708696 | PA      | $2395964.39    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQAQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4739965 | PA      | $4623506.20    | 0.07%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2464258 | PA      | $2506634.96    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5322921 | PA      | $5414456.41    | 0.08%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23368609 | PA      | $23900721.18   | 0.36%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSTS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20284372 | PA      | $20748456.46   | 0.31%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSYU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5799717 | PA      | $5963180.02    | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9335221 | PA      | $9599162.29    | 0.15%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DT2K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14164410 | PA      | $13869100.68   | 0.21%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12618674 | PA      | $12974327.03   | 0.20%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTUT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12291339 | PA      | $12028573.43   | 0.18%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUJB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11665571 | PA      | $11994360.96   | 0.18%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUU62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2575092 | PA      | $2645294.64    | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUXS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19392331 | PA      | $19622097.18   | 0.30%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1191371 | PA      | $1129882.31    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170684 | PA      | $166490.07     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571891 | PA      | $557839.64     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43387236 | PA      | $44257531.84   | 0.67%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVG25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8044631 | PA      | $8220131.04    | 0.12%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E05R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1604995 | PA      | $1522158.79    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E0GW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5179814 | PA      | $5343278.12    | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132Y1W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2685089 | PA      | $2553498.99    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1489871 | PA      | $1416718.15    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334XYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267030 | PA      | $245882.28     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74798 | PA      | $65606.78      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2410, Class FX                                        | CUSIP: 31339NJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8238 | PA      | $8225.77       | 0.00%             | 2032-02-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2426, Class FL                                        | CUSIP: 31339W7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14926 | PA      | $14976.34      | 0.00%             | 2032-03-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     384383 | PA      | $352499.68     | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494194 | PA      | $456102.24     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107366 | PA      | $103947.13     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642357 | PA      | $592845.01     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BGDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2549080 | PA      | $2602622.71    | 0.04%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BJP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2616056 | PA      | $2671005.65    | 0.04%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2292153 | PA      | $2340298.47    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BPZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1171227 | PA      | $1199536.00    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BVCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3950507 | PA      | $4047720.48    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BVVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3338362 | PA      | $3420512.45    | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BX5Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4776220 | PA      | $4881200.92    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BXJV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2555463 | PA      | $2613651.56    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2672056 | PA      | $2772430.05    | 0.04%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1131196 | PA      | $1173880.04    | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2051836 | PA      | $2084693.59    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C3X27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348993 | PA      | $358860.79     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4J62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     964631 | PA      | $1000866.85    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6816133 | PA      | $6925283.56    | 0.10%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1293797 | PA      | $1342397.72    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7HP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1094313 | PA      | $1119230.62    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7QG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11619175 | PA      | $11883748.00   | 0.18%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7WH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885766 | PA      | $905934.88     | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C8EK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767346 | PA      | $789041.80     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133CC4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3368708 | PA      | $3445414.59    | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133CDHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3463817 | PA      | $3542689.83    | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CDUZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7493942 | PA      | $7731730.79    | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CEQL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4208175 | PA      | $4323056.51    | 0.07%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFRM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14422936 | PA      | $14816676.21   | 0.22%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9915830 | PA      | $10269148.58   | 0.16%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFVA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     886025 | PA      | $900213.18     | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CG2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9122195 | PA      | $9371227.10    | 0.14%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CG6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4354435 | PA      | $4473308.81    | 0.07%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5553930 | PA      | $5705550.08    | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CHX91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3694116 | PA      | $3875919.82    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CJWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3111660 | PA      | $3161488.43    | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CKYJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162326 | PA      | $171754.25     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CKZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5660099 | PA      | $5814616.72    | 0.09%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CLL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3148019 | PA      | $3233958.91    | 0.05%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133D1B81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17896781 | PA      | $17733280.40   | 0.27%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133D1CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4806904 | PA      | $4942384.74    | 0.07%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1015565 | PA      | $992443.85     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201645 | PA      | $196673.10     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGGH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4645483 | PA      | $4406693.24    | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1018773 | PA      | $995578.97     | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     718749 | PA      | $702385.55     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133KN3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9705904 | PA      | $9462133.53    | 0.14%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1908239 | PA      | $1812461.26    | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133USKN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37825890 | PA      | $35928440.85   | 0.54%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133WBM37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1686749 | PA      | $1734289.32    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133WFD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3320670 | PA      | $3414262.54    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31346YWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263850 | PA      | $257327.77     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-100, Class FG                                     | CUSIP: 3136A8QW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7217 | PA      | $7184.38       | 0.00%             | 2042-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-126, Class SY                                     | CUSIP: 3136A9ZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473554 | PA      | $240771.33     | 0.00%             | 2042-11-25      | Floating      | 0.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-2, Class QF                                       | CUSIP: 3136AB4P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22526 | PA      | $22472.03      | 0.00%             | 2043-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-130, Class FN                                     | CUSIP: 3136AHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84222 | PA      | $83443.65      | 0.00%             | 2042-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2017-9, Class VL                                       | CUSIP: 3136AVYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215282 | PA      | $213518.87     | 0.00%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2020-98, Class AI                                      | CUSIP: 3136BDLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18265759 | PA      | $3790344.19    | 0.06%             | 2061-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2022-65, Class FB                                      | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7756130 | PA      | $7712569.82    | 0.12%             | 2052-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3721, Class FB                                        | CUSIP: 3137GAD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39015 | PA      | $39024.76      | 0.00%             | 2040-09-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3738, Class FD                                        | CUSIP: 3137GAYQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4409 | PA      | $4409.20       | 0.00%             | 2040-08-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 5164, Class FA                                        | CUSIP: 3137H3PY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9420551 | PA      | $8584352.16    | 0.13%             | 2051-11-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577982 | PA      | $553211.43     | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3138W7HB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313112 | PA      | $284668.94     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WGR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1203092 | PA      | $1088551.99    | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080872 | PA      | $1028843.54    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3138WHP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7300 | PA      | $7040.59       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3138WJDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8227 | PA      | $7932.99       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3138WJP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70468 | PA      | $63173.46      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WJTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300189 | PA      | $269786.61     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138YR6F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481183 | PA      | $460543.99     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-16, Class VF                                      | CUSIP: 31392CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6105 | PA      | $6117.50       | 0.00%             | 2032-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-53, Class FK                                      | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14644 | PA      | $14621.33      | 0.00%             | 2032-04-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2469, Class FE                                        | CUSIP: 31392RC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        950 | PA      | $949.68        | 0.00%             | 2032-07-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2003-87, Class FG                                      | CUSIP: 31393E4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6999 | PA      | $7008.14       | 0.00%             | 2033-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2551, Class FD                                        | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10773 | PA      | $10756.31      | 0.00%             | 2033-01-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2005-83, Class KT                                      | CUSIP: 31394FUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12776 | PA      | $12683.70      | 0.00%             | 2035-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2006-20, Class GF                                      | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50387 | PA      | $50120.87      | 0.00%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3028, Class FM                                        | CUSIP: 31396AFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7217 | PA      | $7198.71       | 0.00%             | 2035-09-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2007-89, Class GF                                      | CUSIP: 31396XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12175 | PA      | $12198.75      | 0.00%             | 2037-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3380, Class FM                                        | CUSIP: 31397KTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39645 | PA      | $39628.50      | 0.00%             | 2037-10-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-123, Class FL                                     | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8346 | PA      | $8322.41       | 0.00%             | 2040-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-95, Class FB                                      | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5229 | PA      | $5218.04       | 0.00%             | 2040-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-109, Class BS                                     | CUSIP: 31398NTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41248 | PA      | $52012.16      | 0.00%             | 2040-10-25      | Floating      | 13.55%                | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A0A41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7728486 | PA      | $7939470.70    | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A0BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1845089 | PA      | $1925369.62    | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1T23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5875819 | PA      | $6062263.06    | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1VT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14480376 | PA      | $14875683.55   | 0.22%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A34Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1682226 | PA      | $1728150.28    | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A35K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2205650 | PA      | $2314200.10    | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A5SH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4567166 | PA      | $4791937.14    | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A5T65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3395637 | PA      | $3543382.18    | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ACME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172351 | PA      | $1192417.52    | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ADPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5853413 | PA      | $6018389.41    | 0.09%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ADPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4917984 | PA      | $5052058.72    | 0.08%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ANNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2411049 | PA      | $2384239.63    | 0.04%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ATJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4567402 | PA      | $4518540.11    | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140AUYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4885410 | PA      | $4943293.28    | 0.07%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140AXYF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1393412 | PA      | $1431398.86    | 0.02%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B3U91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3758657 | PA      | $3864720.65    | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B4VP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1548025 | PA      | $1591655.29    | 0.02%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B6E68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5272443 | PA      | $5421224.36    | 0.08%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BDJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10794952 | PA      | $11099571.10   | 0.17%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BFEM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2334282 | PA      | $2402491.22    | 0.04%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BJWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11457836 | PA      | $11781160.14   | 0.18%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BJWL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5647997 | PA      | $5856619.86    | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BLUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3674162 | PA      | $3781522.64    | 0.06%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BLUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5477428 | PA      | $5631993.52    | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BNM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4325523 | PA      | $4451916.79    | 0.07%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BQK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2197656 | PA      | $2261872.30    | 0.03%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BRDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1765045 | PA      | $1816620.49    | 0.03%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BRDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3383611 | PA      | $3478680.71    | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BS6P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6228165 | PA      | $6403662.65    | 0.10%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140EU6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35434 | PA      | $32903.21      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64607 | PA      | $58301.72      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140FPAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215262 | PA      | $206173.42     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11988117 | PA      | $10821901.81   | 0.16%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18422905 | PA      | $15253032.20   | 0.23%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17199916 | PA      | $15578029.01   | 0.24%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21187036 | PA      | $19125941.24   | 0.29%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1351898 | PA      | $1167428.07    | 0.02%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21403472 | PA      | $19672144.07   | 0.30%             | 2058-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42986449 | PA      | $35670534.05   | 0.54%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47268801 | PA      | $39220403.56   | 0.59%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32105512 | PA      | $28995001.68   | 0.44%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14467810 | PA      | $11996544.50   | 0.18%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20076885 | PA      | $18915208.87   | 0.29%             | 2063-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1132121 | PA      | $1136981.61    | 0.02%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587556 | PA      | $559908.95     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7264 | PA      | $7000.93       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108914 | PA      | $101249.78     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261792 | PA      | $248659.64     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17131655 | PA      | $16765412.10   | 0.25%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813531 | PA      | $772721.63     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JWB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42450 | PA      | $41407.51      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187758 | PA      | $168423.83     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41729 | PA      | $40068.74      | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31413 | PA      | $30228.47      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140K54D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207254 | PA      | $202131.04     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140LW5M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1375296 | PA      | $1409139.50    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     991969 | PA      | $915509.27     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2823415 | PA      | $2605790.49    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128084 | PA      | $123994.05     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160446 | PA      | $155321.73     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403031 | PA      | $390196.19     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309654 | PA      | $299792.67     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     998117 | PA      | $921183.54     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135307 | PA      | $130985.21     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227961 | PA      | $220679.94     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     582838 | PA      | $564223.19     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MYAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3825603 | PA      | $3905958.56    | 0.06%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N43N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117050 | PA      | $1140364.08    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N4PF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9635021 | PA      | $9837400.81    | 0.15%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NAUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4915652 | PA      | $5027583.67    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NAYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3257026 | PA      | $3440894.78    | 0.05%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NC6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1862283 | PA      | $1903215.55    | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NCWW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1249754 | PA      | $1273491.54    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NDU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2737503 | PA      | $2797673.38    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NELG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4431575 | PA      | $4528980.53    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NG2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738333 | PA      | $754912.51     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NG6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693072 | PA      | $705376.46     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228835 | PA      | $1274720.43    | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3216144 | PA      | $3293970.48    | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4748049 | PA      | $4952449.45    | 0.07%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1899189 | PA      | $1983444.62    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGMK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1512883 | PA      | $1575554.90    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NJDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1351340 | PA      | $1372980.22    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NNSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2305215 | PA      | $2357705.96    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NRPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2297938 | PA      | $2397921.93    | 0.04%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101326 | PA      | $94195.60      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q7YC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5096640 | PA      | $4848113.17    | 0.07%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1379324 | PA      | $1349836.95    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102249 | PA      | $99727.59      | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155252 | PA      | $151423.96     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168442 | PA      | $164288.49     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QC6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6182603 | PA      | $6010278.37    | 0.09%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407086 | PA      | $368239.35     | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1385749 | PA      | $1314440.67    | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QECU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     915870 | PA      | $892832.14     | 0.01%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QFWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1964309 | PA      | $1916046.78    | 0.03%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1629503 | PA      | $1508652.04    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4270873 | PA      | $3953797.57    | 0.06%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421236 | PA      | $388972.56     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19394832 | PA      | $19821129.81   | 0.30%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652532 | PA      | $650888.64     | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QU7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968373 | PA      | $978829.63     | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QV2V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  129734424 | PA      | $129053884.52  | 1.95%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVWQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50589075 | PA      | $50323703.37   | 0.76%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0LV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6385391 | PA      | $6527966.21    | 0.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10498785 | PA      | $10794689.53   | 0.16%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60013273 | PA      | $59954296.60   | 0.91%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0T88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65681887 | PA      | $67114789.17   | 1.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0U52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31203201 | PA      | $30536135.48   | 0.46%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33797956 | PA      | $34518046.34   | 0.52%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W17L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28332454 | PA      | $26851308.10   | 0.41%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19707087 | PA      | $20535881.29   | 0.31%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1HF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19306269 | PA      | $20162775.73   | 0.30%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1J46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18307442 | PA      | $17916063.06   | 0.27%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16473076 | PA      | $16129634.09   | 0.24%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17565249 | PA      | $17940879.80   | 0.27%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31802245 | PA      | $32698580.77   | 0.49%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29517065 | PA      | $30176132.18   | 0.46%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1YK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7422549 | PA      | $7415254.17    | 0.11%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2EZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33774281 | PA      | $34761182.94   | 0.53%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2P88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48961579 | PA      | $49979136.77   | 0.76%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W35Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13207490 | PA      | $13515368.96   | 0.20%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W36J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45797854 | PA      | $45752847.23   | 0.69%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  114446306 | PA      | $111787756.55  | 1.69%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84040163 | PA      | $86036763.43   | 1.30%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   73501363 | PA      | $75174949.44   | 1.14%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67151221 | PA      | $68554825.35   | 1.04%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3NX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29781203 | PA      | $30603491.49   | 0.46%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3PN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46764244 | PA      | $47875253.99   | 0.72%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3RC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   78220259 | PA      | $80481518.54   | 1.22%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3RM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31391371 | PA      | $32047518.44   | 0.48%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3Y94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41923456 | PA      | $41882555.86   | 0.63%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W42U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21515354 | PA      | $22016897.25   | 0.33%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W46J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1781413 | PA      | $1737644.13    | 0.03%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30553700 | PA      | $31196645.73   | 0.47%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4DU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24326478 | PA      | $24317050.37   | 0.37%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4F69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3994219 | PA      | $4087328.08    | 0.06%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4NS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54931183 | PA      | $54877200.47   | 0.83%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28833970 | PA      | $28289591.47   | 0.43%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4TM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45965504 | PA      | $45920661.31   | 0.69%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4U47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44591772 | PA      | $44469004.24   | 0.67%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4W86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58737402 | PA      | $58575746.27   | 0.89%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W52S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19584565 | PA      | $19863024.72   | 0.30%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W5BX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   87263716 | PA      | $87178583.44   | 1.32%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W5GT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9850995 | PA      | $10076375.40   | 0.15%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W5L77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31281076 | PA      | $31238757.67   | 0.47%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W5RL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58956479 | PA      | $58716980.53   | 0.89%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W5TC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57175811 | PA      | $57018396.66   | 0.86%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W6AV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  143250236 | PA      | $138804863.99  | 2.10%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W6EX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   94248775 | PA      | $93387219.54   | 1.41%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X4WA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3183412 | PA      | $3019776.21    | 0.05%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961287 | PA      | $913065.85     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348870 | PA      | $332057.13     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6427300 | PA      | $6095575.68    | 0.09%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X85L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12752202 | PA      | $12438885.76   | 0.19%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8HQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15517037 | PA      | $14719793.09   | 0.22%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2878158 | PA      | $2733782.07    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738028 | PA      | $1648592.35    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3474670 | PA      | $3295336.18    | 0.05%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  103098688 | PA      | $97777584.30   | 1.48%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5743632 | PA      | $5620844.43    | 0.08%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBSP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1234196 | PA      | $1203198.71    | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22385393 | PA      | $21230043.27   | 0.32%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1182589 | PA      | $1123267.22    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5631182 | PA      | $5366214.68    | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  108981455 | PA      | $103356731.34  | 1.56%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5708450 | PA      | $5433351.93    | 0.08%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2080129 | PA      | $1972629.19    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9944468 | PA      | $9182796.69    | 0.14%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3872843 | PA      | $3678570.23    | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281035 | PA      | $266937.90     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150180 | PA      | $142646.88     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289098 | PA      | $274176.74     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3576768 | PA      | $3500303.36    | 0.05%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18582520 | PA      | $17608202.99   | 0.27%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2060798 | PA      | $1954436.94    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3950187 | PA      | $4047392.91    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XKZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6087248 | PA      | $6259357.24    | 0.09%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10379771 | PA      | $10157870.67   | 0.15%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21751578 | PA      | $20628940.63   | 0.31%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XLSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19211768 | PA      | $18220214.53   | 0.28%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XM4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9667881 | PA      | $10099263.58   | 0.15%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XMPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10925398 | PA      | $10656966.06   | 0.16%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XN4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8455016 | PA      | $8832280.49    | 0.13%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20443882 | PA      | $19418361.45   | 0.29%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XNML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10181371 | PA      | $9655892.28    | 0.15%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21672315 | PA      | $20585173.19   | 0.31%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5751145 | PA      | $5913239.35    | 0.09%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12310184 | PA      | $11674834.21   | 0.18%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10491739 | PA      | $10267445.47   | 0.16%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQ2P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39036622 | PA      | $38077509.52   | 0.58%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQ7F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   61715621 | PA      | $63460547.54   | 0.96%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28522678 | PA      | $27912916.56   | 0.42%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27011785 | PA      | $26434324.11   | 0.40%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17672442 | PA      | $17294638.27   | 0.26%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQVK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11803296 | PA      | $12135968.55   | 0.18%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41091370 | PA      | $41756537.46   | 0.63%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26126726 | PA      | $26436282.56   | 0.40%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRBJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16231971 | PA      | $15833158.78   | 0.24%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14039889 | PA      | $14435598.78   | 0.22%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23292550 | PA      | $22794599.57   | 0.34%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XSAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10142904 | PA      | $10132935.76   | 0.15%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y6DB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12959212 | PA      | $13254286.20   | 0.20%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y7C48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     788055 | PA      | $785884.90     | 0.01%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y7KH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21480311 | PA      | $21459354.88   | 0.32%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y8BN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10174001 | PA      | $10405657.86   | 0.16%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y8D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42177986 | PA      | $42152419.51   | 0.64%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y8EC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29371473 | PA      | $29290608.71   | 0.44%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y8G26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33875645 | PA      | $34646975.39   | 0.52%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y8G42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46489359 | PA      | $47461085.90   | 0.72%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187472 | PA      | $171290.18     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156591 | PA      | $143449.98     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31417GJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125868 | PA      | $114791.77     | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     847592 | PA      | $773095.88     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418ALK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140018 | PA      | $128284.15     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225371 | PA      | $205918.64     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418ATD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74629 | PA      | $67849.50      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2784897 | PA      | $2725361.32    | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1731955 | PA      | $1645075.72    | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1214660 | PA      | $1155486.18    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1458788 | PA      | $1385611.37    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12954055 | PA      | $12677121.35   | 0.19%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4293 | PA      | $4187.23       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224644 | PA      | $213050.01     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217790 | PA      | $212439.30     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3238847 | PA      | $3072439.71    | 0.05%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3006868 | PA      | $2852379.67    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31425USJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6907660 | PA      | $6989503.73    | 0.11%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426A2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3099659 | PA      | $3187021.82    | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426CPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3747918 | PA      | $3853679.57    | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426DHJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1760245 | PA      | $1809916.44    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426HA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5878738 | PA      | $6041055.30    | 0.09%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426SHR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1421784 | PA      | $1463329.26    | 0.02%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426TXH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16051901 | PA      | $16500311.07   | 0.25%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426U6L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7683523 | PA      | $7900340.99    | 0.12%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426U6V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2150535 | PA      | $2213375.27    | 0.03%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426XFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4359819 | PA      | $4487215.19    | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3253595 | PA      | $3348666.57    | 0.05%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BSV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2716319 | PA      | $2792969.60    | 0.04%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1411191 | PA      | $1452426.85    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427CQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2903032 | PA      | $2987859.98    | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427M5L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18867704 | PA      | $18265222.43   | 0.28%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35813262 | PA      | $36822646.84   | 0.56%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MHQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29505864 | PA      | $29351087.28   | 0.44%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MHR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49021026 | PA      | $48763879.71   | 0.74%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36851593 | PA      | $35536894.58   | 0.54%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55471451 | PA      | $56584141.43   | 0.86%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 31427NNH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29643216 | PA      | $28086674.33   | 0.42%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NY60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36174913 | PA      | $34275396.72   | 0.52%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80313145 | PA      | $78447497.35   | 1.19%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28342772 | PA      | $29132230.89   | 0.44%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427R4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24708083 | PA      | $25696050.01   | 0.39%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427R5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35278856 | PA      | $35244438.67   | 0.53%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427RKM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  110329379 | PA      | $109750381.67  | 1.66%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427RNB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66563039 | PA      | $65976399.56   | 1.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427RNE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13915196 | PA      | $13901620.36   | 0.21%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427SAR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64916900 | PA      | $64344768.27   | 0.97%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427SE87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12980642 | PA      | $12866239.87   | 0.19%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427SQ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13295000 | PA      | $13186985.80   | 0.20%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427SWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   79703795 | PA      | $78975199.43   | 1.19%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142GUZ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   73481202 | PA      | $75154328.78   | 1.14%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class A2                                 | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1566496 | PA      | $1573440.58    | 0.02%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class B                                      | CUSIP: 31684LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3956890 | PA      | $3973329.92    | 0.06%             | 2055-05-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class C                                      | CUSIP: 31684LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3719476 | PA      | $3740172.63    | 0.06%             | 2055-05-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE5, Class B                                      | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1268790 | PA      | $1267475.36    | 0.02%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class B                                      | CUSIP: 31684NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6040489 | PA      | $5968020.12    | 0.09%             | 2055-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class C                                      | CUSIP: 31684NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6853199 | PA      | $6768826.16    | 0.10%             | 2055-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class A                                      | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5674203 | PA      | $5679890.61    | 0.09%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class B                                      | CUSIP: 31684PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8289567 | PA      | $8327238.98    | 0.13%             | 2055-07-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class C                                      | CUSIP: 31684PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10707108 | PA      | $10720387.38   | 0.16%             | 2055-07-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-FL1, Class A1                                     | CUSIP: 31684QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3945053 | PA      | $3938477.03    | 0.06%             | 2055-07-25      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                      | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2490869 | PA      | $2488077.62    | 0.04%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE4, Class A                                      | CUSIP: 31685MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $6490328.65    | 0.10%             | 2056-05-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE4, Class D                                      | CUSIP: 31685MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2299965.27    | 0.03%             | 2056-05-25      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1   | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |   13575265 | PA      | $13369851.80   | 0.20%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1   | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |   19249306 | PA      | $18877738.34   | 0.29%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1   | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3332663 | PA      | $3291223.80    | 0.05%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1   | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |   20206415 | PA      | $19646034.49   | 0.30%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                     | Flagship Credit Auto Trust, Series 2023-1, Class B                         | CUSIP: 337955AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     440722 | PA      | $440796.95     | 0.01%             | 2028-01-18      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNA LLC                                        | FNA LLC, Series 2026-1, Class A                                            | CUSIP: 34411JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $6497299.90    | 0.10%             | 2046-04-16      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A           | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5038000 | PA      | $5047568.17    | 0.08%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-2A, Class B                          | CUSIP: 35042NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12522312 | PA      | $12489407.54   | 0.19%             | 2052-04-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class A                          | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1653604 | PA      | $1699615.45    | 0.03%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M2                        | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    9166000 | PA      | $9743525.98    | 0.15%             | 2042-09-25      | Floating      | 9.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |     610034 | PA      | $612219.12     | 0.01%             | 2034-01-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                        | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   23964288 | PA      | $24064727.72   | 0.36%             | 2041-09-25      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    2504211 | PA      | $2548817.26    | 0.04%             | 2041-09-25      | Floating      | 9.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA7, Class M2                        | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $10856167.28   | 0.16%             | 2052-03-25      | Floating      | 10.65%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   19937000 | PA      | $20490747.05   | 0.31%             | 2041-10-25      | Floating      | 11.15%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class B2                        | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4129467.42    | 0.06%             | 2041-12-25      | Floating      | 10.65%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                        | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   35277125 | PA      | $36011298.40   | 0.54%             | 2042-02-25      | Floating      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR Trust, Series 2022-DNA2, Class B1                              | CUSIP: 35564KSJ9<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    4921687 | PA      | $5065278.83    | 0.08%             | 2042-02-25      | Floating      | 8.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class B2                        | CUSIP: 35564KSQ3<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   11519000 | PA      | $12155559.04   | 0.18%             | 2042-02-25      | Floating      | 12.15%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                        | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |   45421486 | PA      | $47020424.16   | 0.71%             | 2042-03-25      | Floating      | 8.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M2                        | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    2528314 | PA      | $2607378.38    | 0.04%             | 2042-04-25      | Floating      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M2                        | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |   15050000 | PA      | $15697325.06   | 0.24%             | 2042-05-25      | Floating      | 8.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                        | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   19321656 | PA      | $20545543.79   | 0.31%             | 2042-06-25      | Floating      | 10.40%                | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                        | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   23060148 | PA      | $23057832.38   | 0.35%             | 2045-02-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR Trust, Series 2020-DNA1, Class B2                              | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |    2560595 | PA      | $2842260.45    | 0.04%             | 2050-01-25      | Floating      | 9.01%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR Trust, Series 2020-DNA2, Class B2                              | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |     728791 | PA      | $798937.13     | 0.01%             | 2050-02-25      | Floating      | 8.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     868130 | PA      | $852646.96     | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207876 | PA      | $197862.33     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     693176 | PA      | $659786.08     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                             | CUSIP: 36179UMA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135701 | PA      | $125410.66     | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                             | CUSIP: 36179UQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130700 | PA      | $121223.48     | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617GDT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125099 | PA      | $121851.90     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617J6Q80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110338 | PA      | $107885.69     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617J6W91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8879 | PA      | $8935.40       | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GWT                                            | GWT, Series 2024-WLF2, Class A                                             | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2904276.75    | 0.04%             | 2041-05-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A2            | CUSIP: 36277LAB9<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6949243.85    | 0.11%             | 2056-05-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A3            | CUSIP: 36277LAC7<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3976614.22    | 0.06%             | 2056-05-25      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                               | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13904675 | PA      | $13979010.44   | 0.21%             | 2026-07-31      | Floating      | 2.38%                 | No            |                  3 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13598444 | PA      | $13321915.93   | 0.20%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-16, Class FC                                             | CUSIP: 383742FU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18122 | PA      | $18053.05      | 0.00%             | 2038-02-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-59, Class FP                                             | CUSIP: 38374HYS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16810 | PA      | $16767.06      | 0.00%             | 2034-08-16      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-69, Class CF                                             | CUSIP: 38374JAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23894 | PA      | $23869.40      | 0.00%             | 2034-07-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-48, Class AF                                             | CUSIP: 38374LHM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14474 | PA      | $14362.80      | 0.00%             | 2035-06-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                             | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17179 | PA      | $16981.70      | 0.00%             | 2035-08-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-18, Class FD                                             | CUSIP: 38375JC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6680 | PA      | $6605.21       | 0.00%             | 2037-04-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-37, Class FW                                             | CUSIP: 38375KNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17871 | PA      | $17683.59      | 0.00%             | 2037-06-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-40, Class FG                                             | CUSIP: 38375KZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28445 | PA      | $28184.84      | 0.00%             | 2037-07-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-61, Class FA                                             | CUSIP: 38375LLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9100 | PA      | $9066.69       | 0.00%             | 2037-10-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-59, Class FA                                             | CUSIP: 38375LPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22435 | PA      | $22351.61      | 0.00%             | 2037-10-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-13, Class FB                                             | CUSIP: 38375PNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37274 | PA      | $37121.09      | 0.00%             | 2038-02-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-6, Class FG                                              | CUSIP: 38376TSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6359 | PA      | $6354.90       | 0.00%             | 2040-01-16      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-125, Class VF                                            | CUSIP: 38377JYJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        316 | PA      | $314.84        | 0.00%             | 2040-06-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-133, Class FD                                            | CUSIP: 38377MHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19216 | PA      | $19210.31      | 0.00%             | 2040-10-16      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-75, Class FP                                             | CUSIP: 38378EZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10111 | PA      | $10115.57      | 0.00%             | 2041-07-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 1999-27, Class FE                                             | CUSIP: 3837H2WA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        736 | PA      | $736.12        | 0.00%             | 2029-08-16      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-163, Class LO                                            | CUSIP: 38380KNA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3108477 | PA      | $2371646.46    | 0.04%             | 2041-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-116, Class LF                                            | CUSIP: 38384EFT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3883022 | PA      | $3916995.92    | 0.06%             | 2053-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                    | HOMES Trust, Series 2026-INV1, Class A1D                                   | CUSIP: 43761FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6157451 | PA      | $6134637.79    | 0.09%             | 2060-08-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10475000 | PA      | $10482137.67   | 0.16%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4682000 | PA      | $4689980.00    | 0.07%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                            | Hotwire Funding LLC, Series 2021-1, Class B                                | CUSIP: 44148JAB5<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $295869.41     | 0.00%             | 2051-11-20      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class B           | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4988816 | PA      | $5000758.08    | 0.08%             | 2033-03-21      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B1          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7478229 | PA      | $7566364.47    | 0.11%             | 2032-05-20      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11365346 | PA      | $11451789.23   | 0.17%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                          | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12541821 | PA      | $12907675.68   | 0.20%             | 2057-10-25      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                          | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1839628 | PA      | $1898544.16    | 0.03%             | 2057-10-25      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                    | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2812955 | PA      | $2765424.07    | 0.04%             | 2050-02-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M2                    | CUSIP: 46591HBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1652611 | PA      | $1613646.35    | 0.02%             | 2050-02-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                    | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1834516 | PA      | $1789853.68    | 0.03%             | 2050-02-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                    | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2060062 | PA      | $2053947.19    | 0.03%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-CES1, Class A2                     | CUSIP: 46660BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3947869.96    | 0.06%             | 2056-06-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-CES1, Class A3                     | CUSIP: 46660BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4944680.33    | 0.07%             | 2056-06-25      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                           | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9960000 | PA      | $9996206.59    | 0.15%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                           | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5293684 | PA      | $5300094.65    | 0.08%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                           | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6870000 | PA      | $6882892.93    | 0.10%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                           | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    9325000 | PA      | $9332430.16    | 0.14%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance              | Mello Mortgage Capital Acceptance, Series 2024-SD1, Class A1               | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6842799 | PA      | $6738636.77    | 0.10%             | 2054-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Meridian Arc Holdco LLC                        | Meridian Arc Holdco LLC                                                    | CUSIP: 58990CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6398000 | PA      | $6396543.75    | 0.10%             | 2031-04-30      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC             | MetroNet Infrastructure Issuer LLC, Series 2025-2A, Class A2               | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   10600000 | PA      | $10663224.65   | 0.16%             | 2055-08-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class A2 | CUSIP: 61780XAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2285052 | PA      | $2264124.47    | 0.03%             | 2070-12-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A1 | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5607493 | PA      | $5464695.61    | 0.08%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes         | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1602477 | PA      | $1594506.96    | 0.02%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24486030 | PA      | $24752046.33   | 0.37%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                        | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    9213000 | PA      | $9255379.80    | 0.14%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2            | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2774656.50    | 0.04%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36049859 | PA      | $36412279.08   | 0.55%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class A2            | CUSIP: 64832LAF0<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |    9530941 | PA      | $9445476.90    | 0.14%             | 2065-11-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2026-HE1, Class A1B                                      | CUSIP: 67124BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3300204 | PA      | $3299967.49    | 0.05%             | 2056-02-25      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2026-HE1, Class M1                                       | CUSIP: 67124BAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2707000 | PA      | $2705286.12    | 0.04%             | 2056-02-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2026-CES1, Class A1B                                     | CUSIP: 67124LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2500759.61    | 0.04%             | 2056-04-25      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2026-CES1, Class A2                                      | CUSIP: 67124LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4007283.51    | 0.06%             | 2056-04-25      | Variable      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                       | Oceanview Mortgage Trust, Series 2025-4, Class AF1                         | CUSIP: 67647DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4915362 | PA      | $4915350.98    | 0.07%             | 2055-12-25      | Floating      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL3, Class A1                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21788075 | PA      | $21246898.95   | 0.32%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF4, Class A1                                       | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4535116 | PA      | $4490112.98    | 0.07%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2026-RCF1, Class A2                                     | CUSIP: 69383VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2492150.75    | 0.04%             | 2056-01-25      | Variable      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2026-RCF1, Class A3                                     | CUSIP: 69383VAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2492083.50    | 0.04%             | 2056-01-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                     | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14823661 | PA      | $14322852.98   | 0.22%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                     | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6327127 | PA      | $6223364.98    | 0.09%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL3, Class A1                                       | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5879329 | PA      | $5682910.93    | 0.09%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A1                                       | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13063687 | PA      | $13031568.70   | 0.20%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A2                                       | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2380125 | PA      | $2379028.24    | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A3                                       | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1691090.81    | 0.03%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-5, Class A1                                          | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5114857 | PA      | $5100709.77    | 0.08%             | 2030-07-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL5, Class A1                                     | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12513647 | PA      | $12070615.82   | 0.18%             | 2070-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-6, Class A1                                          | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6823418 | PA      | $6807606.28    | 0.10%             | 2028-08-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2024-RCF2, Class A1                                       | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2172830 | PA      | $2134384.86    | 0.03%             | 2054-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10646126 | PA      | $10653438.78   | 0.16%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL4, Class A1                                       | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8161098 | PA      | $7826361.30    | 0.12%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3023933 | PA      | $3018253.10    | 0.05%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES1, Class A1B                           | CUSIP: 74939BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3204003 | PA      | $3181492.32    | 0.05%             | 2056-01-25      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class C                                        | CUSIP: 74939RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2750000 | PA      | $2746015.30    | 0.04%             | 2034-07-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1B                           | CUSIP: 74939WAB6<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    6305082 | PA      | $6273640.65    | 0.09%             | 2055-08-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class B2A                           | CUSIP: 74939WAS9<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    5040000 | PA      | $4925569.11    | 0.07%             | 2055-08-25      | Variable      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES4, Class A2                            | CUSIP: 74940CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6516000 | PA      | $6488016.60    | 0.10%             | 2056-04-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES4, Class A3                            | CUSIP: 74940CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7331000 | PA      | $7307280.43    | 0.11%             | 2056-04-25      | Variable      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES2, Class A2                            | CUSIP: 74940EAC1<br>LEI: 254900JZ559190WVJ551 | Long             | ABS-O            | CORP              | US        |   14268000 | PA      | $14069248.42   | 0.21%             | 2056-02-25      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES2, Class A3                            | CUSIP: 74940EAD9<br>LEI: 254900JZ559190WVJ551 | Long             | ABS-O            | CORP              | US        |   20600000 | PA      | $20326502.57   | 0.31%             | 2056-02-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                           | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5702562 | PA      | $5725662.25    | 0.09%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                           | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7618577 | PA      | $7635729.00    | 0.12%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                           | CUSIP: 74942BAB7<br>LEI: 2549001985H26N17CK52 | Long             | ABS-O            | CORP              | US        |    3153521 | PA      | $3155377.87    | 0.05%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1B                           | CUSIP: 74942JAB0<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |   17943746 | PA      | $17774563.06   | 0.27%             | 2055-09-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1B                           | CUSIP: 74943AAB8<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |    7297303 | PA      | $7289004.46    | 0.11%             | 2055-07-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                            | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1665633 | PA      | $1666393.32    | 0.03%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     545373 | PA      | $546735.55     | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust       | Research-Driven Pagaya Motor Asset Trust, Series 2026-R1A, Class A         | CUSIP: 76089TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6173934 | PA      | $6183547.67    | 0.09%             | 2034-07-25      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| SF Abs Issuer LLC                              | SF Abs Issuer LLC, Series 2025-1A, Class A2                                | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5750000 | PA      | $5552935.26    | 0.08%             | 2055-11-25      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1B       | CUSIP: 79581XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15693000 | PA      | $15785012.52   | 0.24%             | 2055-10-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Saluds Grade Alternative Mortgage Trust        | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class A1       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7388000 | PA      | $7366169.20    | 0.11%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76547 | PA      | $76394.44      | 0.00%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A2        | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4804500 | PA      | $4793459.26    | 0.07%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2026-RTL7, Class A1        | CUSIP: 79584UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17370000 | PA      | $17207442.86   | 0.26%             | 2031-03-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2026-RTL7, Class A2        | CUSIP: 79584UAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9418000 | PA      | $9326904.40    | 0.14%             | 2031-03-25      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1        | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15216666 | PA      | $15291970.24   | 0.23%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7099521 | PA      | $7105520.67    | 0.11%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2026-HB1, Class A1B        | CUSIP: 795939AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15089712 | PA      | $15075579.13   | 0.23%             | 2056-04-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class B            | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1391202 | PA      | $1402806.88    | 0.02%             | 2033-12-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B            | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1739015 | PA      | $1755096.10    | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2013-5, Class A1                            | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     597805 | PA      | $530963.18     | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2019-CH3, Class A19                         | CUSIP: 81748GBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68892 | PA      | $63913.14      | 0.00%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Switch ABS Issuer LLC                          | Switch ABS Issuer LLC, Series 2026-1A, Class A21                           | CUSIP: 871044BA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14000000 | PA      | $14045305.27   | 0.21%             | 2056-03-27      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX1, Class A1                      | CUSIP: 89183MAA1<br>LEI: 2549009GWN99QN2XSG71 | Long             | ABS-O            | CORP              | US        |   11414892 | PA      | $11342789.86   | 0.17%             | 2065-09-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX2, Class A1                      | CUSIP: 89183RAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |   10845789 | PA      | $10821273.56   | 0.16%             | 2065-10-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| TVC Mortgage Trust                             | TVC Mortgage Trust, Series 2025-RRTL1, Class A2                            | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5597000 | PA      | $5676468.44    | 0.09%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding                                | US Auto Funding, Series 2021-1A, Class C                                   | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1167857 | PA      | $904917.93     | 0.01%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                         | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2535018 | PA      | $2552955.80    | 0.04%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2026-CES1, Class A2               | CUSIP: 92790EAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2600000 | PA      | $2577532.65    | 0.04%             | 2056-02-25      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2026-CES1, Class A3               | CUSIP: 92790EAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4169000 | PA      | $4124079.13    | 0.06%             | 2056-02-25      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2025-CES2, Class A1               | CUSIP: 92842UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11013415 | PA      | $11044157.09   | 0.17%             | 2055-08-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                         | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15444000 | PA      | $15596975.91   | 0.24%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  102703238 | NS      | $102703237.80  | 1.55%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         62 | NC      | $-106134.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3274 | NC      | $-409134.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2593 | NC      | $4121624.45    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1888 | NC      | $3155964.29    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -306 | NC      | $1715474.56    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer