# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-009315
**Filing Date:** 2026-4
**Character Count:** 134462
**Document Hash:** e6ec37314f8061199cb4f3c5b3d5c002
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009315.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009315

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 26912558

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Government Bond Fund (Series ID: S000003485)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009631 | Class R6     | OGGYX           |
| C000009632 | Class I      | HLGAX           |
| C000009633 | Class A      | OGGAX           |
| C000009635 | Class C      | OGVCX           |
| C000070640 | Class R2     | JGBZX           |
| C000171356 | Class R3     | OGGPX           |
| C000171357 | Class R4     | OGGQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Government Bond Fund

- **b. EDGAR series identifier (if any):** S000003485

- **c. LEI of Series:** 549300SMSIKAH2NAKR95

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $2009501740.95

**Total Liabilities:** $49925053.03

**Net Assets:** $1959576687.92

**Cash Not Reported:** $537094.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 208.61767000 | **1-Year:** 36070.42950000 | **5-Year:** 291003.84637000 | **10-Year:** 158021.38251000 | **30-Year:** 0.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009631 | -0.31%               | 0.18%                | 1.82%                |
| Class ID C000009632 | -0.32%               | 0.27%                | 1.70%                |
| Class ID C000009633 | -0.34%               | 0.14%                | 1.78%                |
| Class ID C000009635 | -0.28%               | 0.10%                | 1.65%                |
| Class ID C000070640 | -0.37%               | 0.11%                | 1.76%                |
| Class ID C000171356 | -0.35%               | 0.24%                | 1.67%                |
| Class ID C000171357 | -0.33%               | 0.16%                | 1.80%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-11097611.39                              |
| Month 2  | $-4680974.43             | $3574831.46                                |
| Month 3  | $1696107.82              | $25954683.66                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                       | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA/FHLMC                                 | FNMA/FHLMC UMBS, Single Family, 30 Year                                           | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11860000 | PA      | $9822853.11   | 0.50%             | 2056-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                 | FNMA/FHLMC UMBS, Single Family, 30 Year                                           | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19160000 | PA      | $19467188.26  | 0.99%             | 2056-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                 | FNMA/FHLMC UMBS, Single Family, 30 Year                                           | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18980000 | PA      | $19467563.36  | 0.99%             | 2056-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       357 | PA      | $360.17       | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 264, Class 30                                               | CUSIP: 3128HXMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2441808 | PA      | $2280704.69   | 0.12%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 267, Class 30                                               | CUSIP: 3128HXRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1447216 | PA      | $1347196.57   | 0.07%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5120 | PA      | $5314.24      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292GZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12708 | PA      | $13189.02     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8078 | PA      | $8377.94      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292K7A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246835 | PA      | $250307.45    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31296QZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38205 | PA      | $38853.57     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31298GDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72336 | PA      | $75861.07     | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10940862 | PA      | $11037315.12  | 0.56%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DTJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7708385 | PA      | $7902103.52   | 0.40%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3981267 | PA      | $3521822.48   | 0.18%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13708814 | PA      | $13978920.85  | 0.71%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5798891 | PA      | $5915653.52   | 0.30%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 358, Class 300                                              | CUSIP: 3132J0Q67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8125504 | PA      | $7496276.32   | 0.38%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC Gold Pools, Other                                                           | CUSIP: 3132WVBJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10203338 | PA      | $9592360.22   | 0.49%             | 2034-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132XXNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1719002 | PA      | $1696846.18   | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                         | FFCB Funding Corp.                                                                | CUSIP: 31331VYY6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $10035813.60  | 0.51%             | 2026-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2367, Class ME                                               | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72672 | PA      | $76290.85     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5909083 | PA      | $5983296.28   | 0.31%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KPZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11628702 | PA      | $11774750.87  | 0.60%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 406                                                         | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5749169 | PA      | $5135772.41   | 0.26%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 1999, Class PU                                               | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $308.62       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2031, Class PG                                               | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9638 | PA      | $9766.35      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2035, Class PC                                               | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25883 | PA      | $26143.98     | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2064, Class PD                                               | CUSIP: 3133TELJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18718 | PA      | $19041.97     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2095, Class PE                                               | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17865 | PA      | $18188.09     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2152, Class BD                                               | CUSIP: 3133TKX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4431 | PA      | $4479.21      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2162, Class TH                                               | CUSIP: 3133TLBV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40193 | PA      | $40849.14     | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133WAQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4729031 | PA      | $4819197.89   | 0.25%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2001-33, Class ID                                             | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53258 | PA      | $5053.29      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 1998-58, Class PC                                             | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50427 | PA      | $51167.34     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 1999-W4, Class A9                           | CUSIP: 31359VA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11507 | PA      | $11684.36     | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2000-8, Class Z                                               | CUSIP: 31359XYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29129 | PA      | $30332.92     | 0.00%             | 2030-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2011-145, Class PB                                            | CUSIP: 3136A3BT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4340212 | PA      | $4287827.06   | 0.22%             | 2032-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-50, Class HY                                             | CUSIP: 3136A52B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5566000 | PA      | $5420677.31   | 0.28%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-60, Class EP                                             | CUSIP: 3136A6MJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432285 | PA      | $418922.80    | 0.02%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-100, Class AY                                            | CUSIP: 3136A8PH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798432 | PA      | $3713539.86   | 0.19%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-115, Class ME                                            | CUSIP: 3136A9CG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115556 | PA      | $1066148.97   | 0.05%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-141, Class PB                                            | CUSIP: 3136AAAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3305000 | PA      | $2857889.02   | 0.15%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-138, Class YS                                            | CUSIP: 3136AAEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3322952 | PA      | $2510983.57   | 0.13%             | 2042-12-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-139, Class JA                                            | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2075611 | PA      | $2017470.16   | 0.10%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-50, Class YO                                             | CUSIP: 3136AD5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1606046 | PA      | $1417280.08   | 0.07%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-106, Class PY                                            | CUSIP: 3136AGG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2448895 | PA      | $2390761.53   | 0.12%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-130, Class GY                                            | CUSIP: 3136AHE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3699000 | PA      | $3634864.52   | 0.19%             | 2034-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-128, Class AO                                            | CUSIP: 3136AHMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3304871 | PA      | $2617987.77   | 0.13%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2014-2, Class QB                                              | CUSIP: 3136AJBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2577917 | PA      | $2513939.94   | 0.13%             | 2034-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-11, Class AQ                                             | CUSIP: 3136AMXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4005692 | PA      | $3862989.20   | 0.20%             | 2035-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-28, Class GB                                             | CUSIP: 3136ANVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3943762.00   | 0.20%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-41, Class AY                                             | CUSIP: 3136ANYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4653181 | PA      | $4442767.88   | 0.23%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-65, Class LD                                             | CUSIP: 3136AP3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7057000 | PA      | $6888389.22   | 0.35%             | 2036-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-51, Class LY                                             | CUSIP: 3136APJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2309676 | PA      | $2236543.85   | 0.11%             | 2035-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-48, Class DE                                             | CUSIP: 3136APKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10805880 | PA      | $10440113.46  | 0.53%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-59, Class EB                                             | CUSIP: 3136APVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3701968 | PA      | $3579714.12   | 0.18%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-28, Class DW                                             | CUSIP: 3136AR2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4491425 | PA      | $4333351.54   | 0.22%             | 2036-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-38, Class NA                                             | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4463833 | PA      | $4272585.95   | 0.22%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-45, Class PC                                             | CUSIP: 3136ASZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3949316 | PA      | $3760960.88   | 0.19%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                        | FNMA, Grantor Trust, Series 2017-T1, Class A                                      | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28667525 | PA      | $28284054.20  | 1.44%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M7, Class A2                                               | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3235114 | PA      | $3207220.03   | 0.16%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M4, Class A2                                               | CUSIP: 3136AVY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3429716 | PA      | $3393507.49   | 0.17%             | 2026-12-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M3, Class A2                                               | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3411988 | PA      | $3375783.75   | 0.17%             | 2026-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2018-M4, Class A2                                               | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9086939 | PA      | $8986816.04   | 0.46%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2018-M8, Class A2                                               | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7815658 | PA      | $7762503.99   | 0.40%             | 2028-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M5, Class A2                                               | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7696278 | PA      | $7610313.26   | 0.39%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-38, Class PC                                             | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4108357 | PA      | $3950088.72   | 0.20%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-34, Class WA                                             | CUSIP: 3136B5KL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4009400 | PA      | $3912235.15   | 0.20%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M14, Class AL2                                             | CUSIP: 3136B5RA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5665873 | PA      | $5351052.90   | 0.27%             | 2048-04-25      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-42, Class KA                                             | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7415576 | PA      | $6923428.69   | 0.35%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-71, Class CA                                             | CUSIP: 3136B6ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8236083 | PA      | $7858455.53   | 0.40%             | 2046-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-65, Class PA                                             | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4447179 | PA      | $4184197.74   | 0.21%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-77, Class ZL                                             | CUSIP: 3136B7L66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17386724 | PA      | $15520073.14  | 0.79%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M31, Class A2                                              | CUSIP: 3136B7S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $4975715.25   | 0.25%             | 2034-04-25      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2020-M8, Class AL                                               | CUSIP: 3136B86L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17833239 | PA      | $15158586.50  | 0.77%             | 2035-03-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-81, Class JA                                             | CUSIP: 3136B8FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8476134 | PA      | $7618824.62   | 0.39%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2020-12, Class JC                                             | CUSIP: 3136B8G60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15121062 | PA      | $13086952.55  | 0.67%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2020-M24, Class A3                                              | CUSIP: 3136B9J81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $12540073.50  | 0.64%             | 2037-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2022-M2S, Class A2                                              | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4752573 | PA      | $4702086.40   | 0.24%             | 2032-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2024-6, Class AL                                              | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11863000 | PA      | $9531613.25   | 0.49%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2023-41                                                       | CUSIP: 3136BQFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3933910 | PA      | $3337488.77   | 0.17%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2024-41, Class HV                                             | CUSIP: 3136BSMV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4896108 | PA      | $3824468.44   | 0.20%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2025-18, Class MA                                             | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14227057 | PA      | $12214969.63  | 0.62%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2025-31, Class MA                                             | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378601 | PA      | $1175662.28   | 0.06%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31371FJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $134.71       | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3699, Class QH                                               | CUSIP: 3137A0AV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309467 | PA      | $320714.46    | 0.02%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3772, Class PE                                               | CUSIP: 3137A4J99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2292687 | PA      | $2327047.69   | 0.12%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3926, Class MW                                               | CUSIP: 3137AFC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18054 | PA      | $18024.69     | 0.00%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3927, Class PC                                               | CUSIP: 3137AFE73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3079442 | PA      | $3128039.93   | 0.16%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4002, Class CY                                               | CUSIP: 3137ALZ93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4819000 | PA      | $4488592.01   | 0.23%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4039, Class SA                                               | CUSIP: 3137AQR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2093322 | PA      | $270008.24    | 0.01%             | 2042-05-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4047, Class PB                                               | CUSIP: 3137AQSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149495 | PA      | $149219.61    | 0.01%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4061, Class LB                                               | CUSIP: 3137ARCM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3569638 | PA      | $3107073.24   | 0.16%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4062, Class GY                                               | CUSIP: 3137ARFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6109000 | PA      | $6084474.20   | 0.31%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4091, Class BQ                                               | CUSIP: 3137ATCU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4553547 | PA      | $4200747.83   | 0.21%             | 2042-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4091, Class PB                                               | CUSIP: 3137ATFQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3672531 | PA      | $3243610.96   | 0.17%             | 2042-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4122, Class PY                                               | CUSIP: 3137AV2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2812714.20   | 0.14%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4156, Class SB                                               | CUSIP: 3137AXTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547866 | PA      | $503773.18    | 0.03%             | 2033-01-15      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4170, Class TS                                               | CUSIP: 3137AYZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3349536 | PA      | $3075971.65   | 0.16%             | 2033-02-15      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4186, Class JE                                               | CUSIP: 3137B0S70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3105415 | PA      | $2971515.13   | 0.15%             | 2033-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4188, Class JG                                               | CUSIP: 3137B1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2076597 | PA      | $1988314.25   | 0.10%             | 2033-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4206, Class DA                                               | CUSIP: 3137B2FD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1431702 | PA      | $1367637.61   | 0.07%             | 2033-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4314, Class DY                                               | CUSIP: 3137B9EY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487970 | PA      | $486506.67    | 0.02%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4336, Class YB                                               | CUSIP: 3137BAZY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62462 | PA      | $62284.04     | 0.00%             | 2029-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4365, Class HZ                                               | CUSIP: 3137BCP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2460889 | PA      | $2346060.47   | 0.12%             | 2040-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4394, Class PL                                               | CUSIP: 3137BEUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4765094.00   | 0.24%             | 2044-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4429, Class HB                                               | CUSIP: 3137BG6W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6292600 | PA      | $6039604.13   | 0.31%             | 2035-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4448, Class DY                                               | CUSIP: 3137BGYD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5541618 | PA      | $5363925.46   | 0.27%             | 2035-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4458, Class BW                                               | CUSIP: 3137BHE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5993745 | PA      | $5808416.92   | 0.30%             | 2035-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4594, Class GN                                               | CUSIP: 3137BQK22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235773 | PA      | $1178337.39   | 0.06%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4606, Class KP                                               | CUSIP: 3137BR4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7903515 | PA      | $7169836.96   | 0.37%             | 2046-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5072, Class QC                                               | CUSIP: 3137F9AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6436170 | PA      | $5329293.74   | 0.27%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K067, Class A2   | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6558000 | PA      | $6508603.83   | 0.33%             | 2027-07-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4748, Class HE                                               | CUSIP: 3137FCZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6437803 | PA      | $5966071.71   | 0.30%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX  | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3436000 | PA      | $3403664.83   | 0.17%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2 | CUSIP: 3137FHQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1124975 | PA      | $1122610.35   | 0.06%             | 2047-10-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2   | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $8699491.05   | 0.44%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4867, Class WF                                               | CUSIP: 3137FL2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2474798 | PA      | $2447388.47   | 0.12%             | 2037-04-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A1 | CUSIP: 3137FLYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7027558 | PA      | $6953458.87   | 0.35%             | 2030-10-25      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A3 | CUSIP: 3137FLYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9610671.00   | 0.49%             | 2034-03-25      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1512, Class A3 | CUSIP: 3137FMTT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9260712.00   | 0.47%             | 2034-04-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4925, Class PA                                               | CUSIP: 3137FPBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6871610 | PA      | $6396488.87   | 0.33%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4933, Class PA                                               | CUSIP: 3137FQJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5132078 | PA      | $4599912.12   | 0.23%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4974, Class PH                                               | CUSIP: 3137FTE29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958742 | PA      | $797912.23    | 0.04%             | 2048-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5000, Class CB                                               | CUSIP: 3137FVEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2730796 | PA      | $2540910.37   | 0.13%             | 2035-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2 | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8338643 | PA      | $8118260.27   | 0.41%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5190, Class PH                                               | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4831769 | PA      | $4544557.46   | 0.23%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5258, Class KZ                                               | CUSIP: 3137H8YN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20262454 | PA      | $18769447.68  | 0.96%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31382JNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28425 | PA      | $28878.94     | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37453 | PA      | $39338.85     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA                                                                              | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1502 | PA      | $1488.65      | 0.00%             | 2027-11-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMK28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4091492 | PA      | $3961978.10   | 0.20%             | 2033-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMMN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5866398 | PA      | $5660049.93   | 0.29%             | 2033-03-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4385608 | PA      | $4277880.10   | 0.22%             | 2030-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WWC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1060888 | PA      | $1055084.58   | 0.05%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class A4                           | CUSIP: 31392DD41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299974 | PA      | $302998.55    | 0.02%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                          | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200650 | PA      | $202714.90    | 0.01%             | 2042-12-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                           | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117062 | PA      | $118483.31    | 0.01%             | 2042-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2002-92, Class FB                                             | CUSIP: 31392HBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71861 | PA      | $72088.97     | 0.00%             | 2030-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2003-21, Class PZ                                             | CUSIP: 31392JV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421754 | PA      | $417875.29    | 0.02%             | 2033-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2480, Class EJ                                               | CUSIP: 31392TF85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96107 | PA      | $100325.81    | 0.01%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A    | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    793143 | PA      | $837748.29    | 0.04%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2003-67, Class SA                                             | CUSIP: 31393DNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5497 | PA      | $6168.96      | 0.00%             | 2031-10-25      | Floating      | 20.92%                | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A    | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834860 | PA      | $848433.06    | 0.04%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2611, Class QZ                                               | CUSIP: 31393QYN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500638 | PA      | $511468.35    | 0.03%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A     | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    586207 | PA      | $570884.50    | 0.03%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                        | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83231 | PA      | $86158.90     | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2004-54, Class FL                                             | CUSIP: 31394AGS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116907 | PA      | $116790.28    | 0.01%             | 2034-07-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2                          | CUSIP: 31394CB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672845 | PA      | $704708.12    | 0.04%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-22, Class EH                                             | CUSIP: 31394DDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913691 | PA      | $940404.00    | 0.05%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-58, Class EP                                             | CUSIP: 31394ECS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52910 | PA      | $54645.49     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-83, Class LA                                             | CUSIP: 31394FH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95875 | PA      | $99283.75     | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2647, Class A                                                | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20570 | PA      | $20318.25     | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-116, Class PC                                            | CUSIP: 31394VBX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331529 | PA      | $342664.25    | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-51, Class FP                                             | CUSIP: 31395DS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328965 | PA      | $328589.48    | 0.02%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2915, Class MU                                               | CUSIP: 31395LE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    565595 | PA      | $580066.50    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3085, Class VS                                               | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100999 | PA      | $124629.06    | 0.01%             | 2035-12-15      | Floating      | 13.63%                | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-81, Class FA                                             | CUSIP: 31396KM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10881 | PA      | $10816.45     | 0.00%             | 2036-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-110                                                      | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124580 | PA      | $110006.99    | 0.01%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3188, Class GE                                               | CUSIP: 31396UNR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4226 | PA      | $4224.88      | 0.00%             | 2026-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3181, Class OP                                               | CUSIP: 31396URH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393893 | PA      | $349030.64    | 0.02%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2007-76, Class PE                                             | CUSIP: 31396WZ41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413611 | PA      | $440216.31    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3325, Class JL                                               | CUSIP: 31397JE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973711 | PA      | $1025112.73   | 0.05%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3341, Class PE                                               | CUSIP: 31397JNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594756 | PA      | $631480.48    | 0.03%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3413, Class B                                                | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194182 | PA      | $203090.04    | 0.01%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                            | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118208 | PA      | $123587.64    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-11, Class CB                                             | CUSIP: 31398GA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43642 | PA      | $42953.35     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-4, Class SL                                              | CUSIP: 31398GU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45615 | PA      | $39821.68     | 0.00%             | 2040-02-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-47, Class MB                                             | CUSIP: 31398PNS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934907 | PA      | $961116.51    | 0.05%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31401ALQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298267 | PA      | $307267.98    | 0.02%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31401JEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91447 | PA      | $92909.39     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31402JYG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138805 | PA      | $141386.18    | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403ASQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132910 | PA      | $135034.92    | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403DRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240894 | PA      | $254634.11    | 0.01%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403FSR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181886 | PA      | $183640.75    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403NJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151977 | PA      | $155066.59    | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403RN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191417 | PA      | $195041.76    | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31406JZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487793 | PA      | $511674.75    | 0.03%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31407HVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239151 | PA      | $248188.86    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31408AV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117914 | PA      | $122368.94    | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31409CVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136936 | PA      | $142689.43    | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104547 | PA      | $101368.14    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4593597 | PA      | $3880814.86   | 0.20%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HUHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1593435.14   | 0.08%             | 2034-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HUUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11685906 | PA      | $10480252.61  | 0.53%             | 2034-09-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HVVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6601672 | PA      | $5775793.79   | 0.29%             | 2036-09-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HVY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14744408 | PA      | $13126570.62  | 0.67%             | 2034-10-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HWCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $14093137.20  | 0.72%             | 2031-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HY4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7896409 | PA      | $6459260.60   | 0.33%             | 2037-06-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140J2AZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19508877 | PA      | $17509722.65  | 0.89%             | 2030-11-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140JAA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1956002 | PA      | $1914142.11   | 0.10%             | 2030-03-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140LDAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9518904 | PA      | $7963883.87   | 0.41%             | 2036-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140LDRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4544796 | PA      | $3982347.97   | 0.20%             | 2033-09-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140M5PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11740345 | PA      | $11840232.31  | 0.60%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3966868 | PA      | $4004886.92   | 0.20%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q9XT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779422 | PA      | $778049.76    | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QB4R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2842278 | PA      | $2702965.48   | 0.14%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 15 Year                                                                | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10419002 | PA      | $9967405.78   | 0.51%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4627388 | PA      | $4096160.92   | 0.21%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17876623 | PA      | $18454210.38  | 0.94%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QQVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11901890 | PA      | $12035489.51  | 0.61%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QSS85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11908294 | PA      | $12135649.41  | 0.62%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4W21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3710596 | PA      | $3786775.63   | 0.19%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1718378 | PA      | $1756078.46   | 0.09%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4X20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729311 | PA      | $762405.70    | 0.04%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4XA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7035181 | PA      | $7152219.18   | 0.36%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4XQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3568957 | PA      | $3679212.64   | 0.19%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4XT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3380855 | PA      | $3487080.53   | 0.18%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4XV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3658720 | PA      | $3776432.71   | 0.19%             | 2056-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4XY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1512106 | PA      | $1579374.15   | 0.08%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U4XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3336186 | PA      | $3485576.42   | 0.18%             | 2056-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U5GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $4481239.40   | 0.23%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140U5GS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5091705.55   | 0.26%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140W1MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10626143 | PA      | $10947184.44  | 0.56%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 15 Year                                                                | CUSIP: 3140X75K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3256434 | PA      | $3210679.01   | 0.16%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XJYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5329563 | PA      | $5376540.84   | 0.27%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31410FX67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48803 | PA      | $50899.16     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31414LYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30612 | PA      | $30894.64     | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31418FQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  64517681 | PA      | $65587047.19  | 3.35%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 31427GW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7496508 | PA      | $7629709.79   | 0.39%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 31427HRK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5906759 | PA      | $6010621.08   | 0.31%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3142GTG67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8420905 | PA      | $8795946.18   | 0.45%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3142JUYW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3672877.21   | 0.19%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D              | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1199985 | PA      | $1148643.39   | 0.06%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G              | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10512065 | PA      | $9632382.63   | 0.49%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4044087 | PA      | $3682256.91   | 0.19%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust        | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                     | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13000864 | PA      | $12193043.60  | 0.62%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4246710 | PA      | $3749967.01   | 0.19%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3617N65U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.08         | 0.00%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 3617WTN47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9701144 | PA      | $8992872.39   | 0.46%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       272 | PA      | $272.73       | 0.00%             | 2026-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $139.55       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4039 | PA      | $4086.42      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53 | PA      | $53.48        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2N32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314971 | PA      | $314507.44    | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 36291FPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161262 | PA      | $161024.50    | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2009-69, Class WM                                                    | CUSIP: 38373AN69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599412 | PA      | $630211.59    | 0.03%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2008-15, Class NB                                                    | CUSIP: 383742RV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146559 | PA      | $146407.08    | 0.01%             | 2038-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2004-27, Class PD                                                    | CUSIP: 38374GFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357887 | PA      | $357183.85    | 0.02%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2009-42, Class TX                                                    | CUSIP: 38374UC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2421193 | PA      | $2455516.47   | 0.13%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2008-40, Class SA                                                    | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    644566 | PA      | $32000.56     | 0.00%             | 2038-05-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2011-29, Class Z                                                     | CUSIP: 38377QQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9825677 | PA      | $10028564.23  | 0.51%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2012-126, Class BE                                                   | CUSIP: 38378H3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3358602.80   | 0.17%             | 2042-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2019-123, Class MA                                                   | CUSIP: 38382AKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8922163 | PA      | $8218982.32   | 0.42%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2020-61, Class HC                                                    | CUSIP: 38382EU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10465012 | PA      | $8692204.84   | 0.44%             | 2048-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2020-133, Class KB                                                   | CUSIP: 38382JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7119110 | PA      | $5903517.75   | 0.30%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2022-94, Class AO                                                    | CUSIP: 38383RX44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6809848 | PA      | $4862169.95   | 0.25%             | 2052-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2022-120, Class LN                                                   | CUSIP: 38383TA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6221410.30   | 0.32%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2023-1, Class E                                                      | CUSIP: 38383VDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4308325 | PA      | $4251987.21   | 0.22%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-151, Class CM                                                   | CUSIP: 38384WCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7945240.00   | 0.41%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-164, Class AO                                                   | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4477616 | PA      | $3611181.20   | 0.18%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-159, Class PA                                                   | CUSIP: 38384YHQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15176910 | PA      | $15118683.97  | 0.77%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-197, Class BN                                                   | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10339905 | PA      | $9794025.29   | 0.50%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2025-100, Class JS                                                   | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6546594 | PA      | $6545664.27   | 0.33%             | 2055-06-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2025-79, Class NM                                                    | CUSIP: 38385GWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8010893 | PA      | $7278385.76   | 0.37%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund | JPMorgan U.S. Government Money Market Fund, Class Institutional                   | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        | 102551529 | NS      | $102551529.06 | 5.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116EHK9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  15000000 | PA      | $13907041.95  | 0.71%             | 2028-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  15700000 | PA      | $13658734.36  | 0.70%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  15900000 | PA      | $13699197.53  | 0.70%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810FF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20961718.80  | 1.07%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75300000 | PA      | $68061199.41  | 3.47%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $24688593.75  | 1.26%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $25876757.90  | 1.32%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $21404687.50  | 1.09%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $2004218.76   | 0.10%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19491000 | PA      | $10033296.70  | 0.51%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14500000 | PA      | $10467753.87  | 0.53%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $19482187.50  | 0.99%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $13897265.70  | 0.71%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9243359.40   | 0.47%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45380000 | PA      | $47202290.63  | 2.41%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5960000 | PA      | $5999112.50   | 0.31%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39323437.60  | 2.01%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24831054.75  | 1.27%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34576992.10  | 1.76%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 912828ZE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19396875.00  | 0.99%             | 2027-03-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11120000 | PA      | $10628287.50  | 0.54%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $18123437.60  | 0.92%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30025781.40  | 1.53%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5010937.50   | 0.26%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9997929.70   | 0.51%             | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17330000 | PA      | $17510746.53  | 0.89%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25345703.00  | 1.29%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16190000 | PA      | $16241226.13  | 0.83%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25935547.00  | 1.32%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25812500.00  | 1.32%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5135000 | PA      | $5142622.29   | 0.26%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24075000 | PA      | $24692862.24  | 1.26%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30435000 | PA      | $30912924.46  | 1.58%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11900000 | PA      | $12195640.63  | 0.62%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8308000 | PA      | $8351162.64   | 0.43%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12040000 | PA      | $12083268.75  | 0.62%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12750000 | PA      | $12875507.81  | 0.66%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7450000 | PA      | $7484339.88   | 0.38%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840000 | PA      | $839540.62    | 0.04%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CPY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10800000 | PA      | $10985625.00  | 0.56%             | 2033-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4720000 | PA      | $4782687.50   | 0.24%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury STRIPS Bonds                                                        | CUSIP: 9128335A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58400000 | PA      | $39913732.87  | 2.04%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury STRIPS Bonds                                                        | CUSIP: 912833Y20<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6800000 | PA      | $4471280.57   | 0.23%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                        | U.S. Treasury 5 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       926 | NC      | $259529.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 2 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       469 | NC      | $98459.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 10 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       714 | NC      | $350264.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury Long Bond                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -56 | NC      | $-81907.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 10 Year Ultra Note                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -594 | NC      | $-400165.40   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury Ultra Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -46 | NC      | $-78839.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 30 Year Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      6175 | NC      | $820114.10    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 30 Year Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -6175 | NC      | $-482421.88   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer